XLE Options History — February 2016

In February 2016, XLE traded between $27.03 and $29.11. ATM implied volatility averaged 36.2%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 5.7% (HV 20d: 42.0%). Max pain ranged from $27.75 to $29.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-02-23: Highest Volume — 307,894 contracts
  • 2016-02-12: Largest IV drop — 10.0% change
  • 2016-02-11: Highest IV Rank — 96.8%
  • 2016-02-11: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.15$27.03$29.11$28.68$28.42
Max Pain$28.66$27.75$29.00$27.75$28.50
ATM IV36.2%31.1%44.4%34.0%31.1%
Expected Move10.5%9.0%12.7%9.8%9.5%
HV 20d42.0%32.3%48.1%44.6%32.3%
HV 60d36.1%34.7%36.7%34.7%36.7%
IV Rank71.3%55.3%96.8%64.3%55.3%
IV Percentile89.9%74.2%99.6%90.5%74.2%
Term Structure-0.1%-1.2%1.0%0.0%-0.1%
VWIV36.8%32.3%44.3%34.2%32.4%
Skew 25d6.6%5.5%7.8%5.5%6.7%
Skew 10d12.3%10.6%15.4%10.9%11.3%
Call IV 25d33.2%28.1%40.8%31.6%28.2%
Put IV 25d39.8%34.1%48.6%37.0%34.9%
Bid-Ask Spread %8.634.5116.806.115.91
Gamma HHI0.050.040.100.050.06
Net GEX10.8M-8.7M37.7M11.8M9.8M
Net DEX188.3M-252.8M600.7M35.5M156.8M
Net VEX-6.4M-6.9M-5.9M-6.4M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.341.411.120.79
Total Volume131,170.977,122307,894129,77677,122
Total OI1,856,722.21,616,8862,116,8881,763,5181,723,928

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$28.68$27.7534.0%9.8%44.6%64.3%34.2%5.5%0.0%11.8M35.5M-6.4M1.126.1161,19068,586854,566908,952
2016-02-02$27.64$27.7536.6%10.7%46.2%72.4%38.3%6.5%-0.1%-1.2K395.9M-6.2M1.324.5146,68261,804875,808921,966
2016-02-03$28.61$27.7536.4%10.6%48.1%71.7%37.3%6.0%-0.0%12.7M69.3M-6.5M1.004.8257,96057,962887,366928,566
2016-02-04$28.61$29.0036.1%10.5%45.8%70.9%37.4%5.9%-0.0%14.7M25.5M-6.6M1.167.0161,32471,320904,496942,900
2016-02-05$27.90$29.0037.5%10.9%46.2%75.1%39.0%6.1%-0.2%3.6M337.7M-6.3M1.109.3562,76069,250908,142973,164
2016-02-08$27.88$29.0040.0%11.6%45.8%83.0%39.7%7.4%0.3%1.2M321.2M-6.4M0.759.26104,07477,784903,448953,540
2016-02-09$27.20$29.0041.7%12.1%46.1%88.4%42.0%6.9%0.6%-6.9M553.2M-6.0M0.6410.1561,04039,286899,956945,986
2016-02-10$27.04$29.0042.3%12.2%46.1%90.3%38.8%7.3%0.3%-8.7M600.7M-5.9M0.3416.7569,38223,312910,486951,046
2016-02-11$27.03$29.0044.4%12.7%45.4%96.8%44.3%7.8%0.3%-6.3M565.8M-6.2M0.5416.80145,86078,420963,784961,828
2016-02-12$27.63$29.0040.0%11.7%43.5%83.0%39.5%6.8%1.0%7.0M314.6M-6.8M0.487.66100,85848,4141,043,3361,000,890
2016-02-16$27.85$29.0038.7%11.1%42.2%79.0%38.9%7.5%-0.1%16.1M211.5M-6.6M0.498.0589,76044,3781,046,514989,040
2016-02-17$28.84$29.0036.4%10.4%43.0%71.7%37.4%6.4%-0.0%37.7M-252.8M-6.9M0.919.2183,61276,4081,066,416994,930
2016-02-18$28.45$29.0034.6%9.9%41.9%66.2%35.0%6.9%-0.5%34.4M-53.3M-6.6M0.9110.0564,67658,7341,069,0721,018,974
2016-02-19$28.34$29.0033.9%9.7%40.6%64.1%34.5%5.9%0.5%24.8M99.4M-6.6M1.417.7039,11855,2661,063,0021,053,886
2016-02-22$29.11$28.5031.2%9.1%39.4%55.5%32.3%5.9%-0.7%18.9M-109.4M-6.5M0.746.9350,08437,228881,730735,156
2016-02-23$28.18$28.5033.0%9.6%37.5%61.4%32.5%7.0%-0.5%10.1M205.5M-6.2M1.019.08153,050154,844898,690746,012
2016-02-24$28.41$28.5033.1%9.7%35.6%61.5%34.4%6.5%-1.0%9.2M126.6M-6.8M0.866.6354,86647,294926,246813,804
2016-02-25$28.45$28.5032.6%9.6%35.5%59.9%34.8%6.9%-1.2%12.2M131.6M-6.6M0.748.1144,34832,956922,732799,352
2016-02-26$28.64$28.5031.2%9.0%33.6%55.6%33.0%6.8%-0.1%14.2M31.4M-6.6M1.028.4945,71246,694934,274810,460
2016-02-29$28.42$28.5031.1%9.5%32.3%55.3%32.4%6.7%-0.1%9.8M156.8M-6.4M0.795.9143,07834,044919,692804,236