XLE Options History — May 2016

In May 2016, XLE traded between $32.17 and $33.70. ATM implied volatility averaged 24.1%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.8% (HV 20d: 20.3%). Max pain ranged from $31.00 to $33.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.21.

Notable Days

  • 2016-05-11: Highest Volume — 310,306 contracts
  • 2016-05-26: Largest IV drop — 7.0% change
  • 2016-05-04: Highest IV Rank — 41.8%
  • 2016-05-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.99$32.17$33.70$33.70$33.48
Max Pain$31.56$31.00$33.50$33.50$31.50
ATM IV24.1%20.5%26.8%24.6%21.3%
Expected Move7.0%5.9%7.9%7.1%6.3%
HV 20d20.3%16.7%23.3%21.3%16.7%
HV 60d23.4%21.4%25.3%25.1%21.4%
IV Rank33.4%22.3%41.8%35.2%24.8%
IV Percentile39.6%16.7%57.1%46.4%18.3%
Term Structure0.3%-0.4%1.3%-0.4%0.1%
VWIV25.0%21.2%28.7%24.6%21.5%
Skew 25d4.0%3.2%4.5%4.4%3.8%
Skew 10d7.9%4.0%9.8%9.8%7.4%
Call IV 25d22.2%18.9%25.1%22.9%19.7%
Put IV 25d26.1%22.3%29.5%27.3%23.6%
Bid-Ask Spread %4.863.927.055.154.57
Gamma HHI0.080.060.150.070.08
Net GEX4.2M-45.3M35.1M7.3M23.1M
Net DEX-495.4M-983.4M-22.7M-730.6M-766.0M
Net VEX-9.7M-10.0M-9.3M-9.5M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.211.075.051.561.80
Total Volume149,735.90580,802310,306157,202115,814
Total OI2,404,740.6672,149,1342,602,6062,326,2142,237,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$33.70$33.5024.6%7.1%21.3%35.2%24.6%4.4%-0.4%7.3M-730.6M-9.5M1.565.1561,42095,782875,5661,450,648
2016-05-03$32.91$33.2525.3%7.4%23.3%37.2%26.6%4.1%0.1%-11.1M-315.2M-9.7M1.455.0365,93895,282882,7521,469,410
2016-05-04$32.46$33.2526.8%7.9%23.3%41.8%28.7%4.4%0.2%-23.4M-76.4M-9.8M2.185.4558,654127,696899,4401,486,160
2016-05-05$32.66$31.0026.0%7.7%23.0%39.3%27.6%4.1%0.1%-17.2M-204.7M-9.8M1.344.0853,90672,204917,7741,508,044
2016-05-06$32.59$31.0025.3%7.5%22.1%37.4%27.9%4.0%0.1%-27.2M-194.5M-10.0M2.575.1622,62658,176946,7041,529,164
2016-05-09$32.17$31.2525.7%7.7%22.7%38.6%27.9%4.1%0.9%-26.2M-22.7M-9.8M2.254.0843,68498,274931,4601,504,308
2016-05-10$32.71$31.2524.6%7.4%21.3%35.2%27.2%3.6%1.0%-4.8M-352.2M-9.5M1.494.1539,66659,016943,3321,520,250
2016-05-11$32.81$31.2524.2%7.2%21.3%33.7%26.2%3.7%1.1%-473.2K-410.3M-9.6M4.774.0453,802256,504957,7581,531,568
2016-05-12$32.90$31.2523.8%7.0%21.3%32.4%24.8%3.6%0.9%4.2M-442.9M-9.8M5.056.1836,736185,566978,6101,587,402
2016-05-13$32.52$31.2524.4%7.2%21.1%34.5%25.2%3.2%1.3%-45.3M-216.6M-9.9M2.354.1744,062103,382991,7301,501,092
2016-05-16$33.03$31.2524.4%7.1%21.1%34.3%25.9%4.2%-0.1%20.8M-561.8M-9.6M3.694.5731,426115,892987,1261,487,952
2016-05-17$33.16$31.2524.5%7.1%20.1%34.7%26.7%4.2%0.6%21.8M-594.7M-9.6M4.207.0522,67495,306992,7841,523,094
2016-05-18$32.81$31.2525.6%7.3%20.0%38.2%25.9%4.2%-0.1%14.0M-453.2M-9.8M1.384.4279,098109,1181,044,0601,539,020
2016-05-19$32.91$31.2525.2%7.2%20.0%37.0%25.2%4.0%-0.0%11.0M-444.6M-9.8M1.734.1864,926112,3141,034,6981,558,656
2016-05-20$33.05$31.2523.6%6.8%19.4%32.0%22.9%3.7%0.3%17.2M-574.1M-9.7M1.253.9272,12490,2641,044,7521,557,854
2016-05-23$32.98$31.2523.4%6.8%18.9%31.4%24.1%4.5%-0.2%14.8M-589.8M-9.5M1.194.3660,35271,544906,3101,242,824
2016-05-24$33.18$31.2523.1%6.4%18.1%30.3%22.5%4.1%-0.2%19.9M-699.2M-9.6M1.075.3367,77072,454925,0161,270,484
2016-05-25$33.70$31.2522.0%6.1%17.6%27.1%21.3%3.5%-0.2%35.1M-983.4M-9.5M1.496.2645,58467,894935,5861,283,998
2016-05-26$33.52$31.5020.5%6.1%16.7%22.3%21.5%4.0%0.4%27.6M-885.4M-9.4M2.374.6536,08285,474933,3001,301,226
2016-05-27$33.58$31.5021.2%5.9%16.7%24.5%21.2%3.3%-0.1%26.6M-885.0M-9.5M1.245.3042,83853,130938,6541,341,872
2016-05-31$33.48$31.5021.3%6.3%16.7%24.8%21.5%3.8%0.1%23.1M-766.0M-9.3M1.804.5741,41874,396910,2121,326,904