XLE Options History — March 2016

In March 2016, XLE traded between $28.98 and $31.94. ATM implied volatility averaged 26.4%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.7% (HV 20d: 29.1%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-03-18: Highest Volume — 406,962 contracts
  • 2016-03-08: Largest IV spike — 10.2% change
  • 2016-03-08: Highest IV Rank — 54.6%
  • 2016-03-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.79$28.98$31.94$28.98$30.97
Max Pain$28.95$27.00$30.00$28.50$30.00
ATM IV26.4%23.3%30.9%29.0%23.3%
Expected Move7.5%6.3%8.9%8.9%6.3%
HV 20d29.1%25.0%32.7%32.7%25.0%
HV 60d36.1%35.0%37.4%36.4%35.0%
IV Rank40.7%30.9%54.6%48.7%30.9%
IV Percentile56.6%39.3%73.0%67.5%39.3%
Term Structure0.3%-0.4%0.9%0.2%0.1%
VWIV27.2%23.2%32.4%32.4%23.3%
Skew 25d4.8%3.2%7.0%7.0%4.0%
Skew 10d10.2%6.5%13.8%13.8%8.5%
Call IV 25d24.5%21.6%28.4%26.2%21.6%
Put IV 25d29.3%25.4%33.7%33.1%25.6%
Bid-Ask Spread %7.014.2310.757.876.30
Gamma HHI0.070.060.090.060.06
Net GEX26.3M15.8M54.2M18.6M21.3M
Net DEX-516.0M-1.24B-48.1M-48.1M-287.9M
Net VEX-7.1M-8.2M-6.2M-6.4M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.432.750.732.36
Total Volume133,052.81861,054406,96261,05480,616
Total OI1,863,5661,675,5942,084,2841,750,1221,897,990

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$28.98$28.5029.0%8.9%32.7%48.7%32.4%7.0%0.2%18.6M-48.1M-6.4M0.737.8735,26625,788937,372812,750
2016-03-02$29.73$28.5027.2%8.0%30.7%43.1%28.9%6.3%0.5%30.8M-363.7M-6.5M0.438.2491,30639,706942,382819,364
2016-03-03$30.20$27.0026.3%7.8%28.9%40.5%29.8%5.6%0.4%40.0M-581.1M-6.2M1.087.7855,55059,774948,254829,902
2016-03-04$30.45$27.0027.6%8.0%29.0%44.4%28.4%5.2%0.5%37.2M-675.9M-6.4M1.0710.75124,246132,790953,190859,682
2016-03-07$31.13$27.0028.0%8.0%27.7%45.7%28.7%5.6%-0.1%29.5M-839.2M-6.6M0.688.47102,99469,922954,700920,938
2016-03-08$29.86$27.5030.9%8.7%32.3%54.6%32.3%5.3%-0.4%15.8M-280.3M-6.9M1.926.5745,12486,636968,580950,518
2016-03-09$30.34$28.0029.9%8.4%30.8%51.6%29.9%4.8%0.1%16.9M-470.8M-7.1M1.186.5973,88087,522977,016993,736
2016-03-10$30.32$28.0029.9%8.5%30.6%51.6%31.8%5.1%-0.1%23.9M-498.7M-6.7M1.278.9540,94251,942983,908975,534
2016-03-11$31.16$28.0027.5%8.0%31.5%44.2%29.2%4.9%0.5%28.3M-882.1M-6.4M1.065.6566,98471,226973,654991,322
2016-03-14$30.95$29.0028.3%8.1%31.3%46.6%30.2%5.4%0.2%22.6M-754.7M-6.6M1.344.2345,64061,330971,458986,074
2016-03-15$30.87$29.5027.5%7.9%31.4%44.1%29.3%4.8%0.5%19.2M-714.6M-6.7M0.974.9457,84455,900989,0901,008,658
2016-03-16$31.48$29.5024.9%7.1%30.0%36.0%26.2%4.2%0.9%38.8M-985.3M-6.8M1.057.6455,86058,6421,011,2961,030,338
2016-03-17$31.94$29.5023.3%6.6%29.4%31.0%23.5%3.2%0.7%54.2M-1.24B-6.7M0.897.9847,72242,5201,034,6081,049,676
2016-03-18$31.70$30.0024.1%6.9%29.6%33.6%24.9%3.5%-0.1%24.2M-486.7M-6.9M0.897.74215,516191,446832,5421,066,920
2016-03-21$31.59$30.0024.8%7.0%28.6%35.6%24.6%4.4%0.3%24.2M-481.5M-7.5M0.937.4837,69635,128770,724904,870
2016-03-22$31.49$30.0023.6%6.6%25.4%32.1%23.2%4.1%0.4%25.9M-480.5M-7.7M0.716.8152,69837,328799,616914,988
2016-03-23$30.81$30.0024.8%7.0%27.2%35.5%25.1%4.2%0.9%20.4M-245.3M-7.4M0.956.7568,94065,490814,446904,116
2016-03-24$30.88$30.0025.2%6.9%27.1%36.9%24.0%4.5%0.3%19.7M-262.1M-8.0M0.906.6267,81060,860829,996937,518
2016-03-28$30.73$30.0026.0%7.4%27.3%39.4%25.7%4.4%0.5%19.3M-210.9M-8.2M1.016.1140,23440,524839,316949,790
2016-03-29$30.86$30.0025.3%6.9%27.0%37.1%23.7%4.3%0.1%21.7M-262.5M-8.2M0.945.1860,86657,314847,406963,344
2016-03-30$30.95$30.0023.7%6.5%26.3%32.3%24.2%4.1%0.2%24.9M-298.7M-8.1M2.755.4834,02693,614855,866995,004
2016-03-31$30.97$30.0023.3%6.3%25.0%30.9%23.3%4.0%0.1%21.3M-287.9M-8.2M2.366.3024,02856,588861,5901,036,400