XLE Options History — January 2017

In January 2017, XLE traded between $36.38 and $38.08. ATM implied volatility averaged 16.6%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.9% (HV 20d: 11.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.78.

Notable Days

  • 2017-01-25: Highest Volume — 194,302 contracts
  • 2017-01-30: Largest IV spike — 15.0% change
  • 2017-01-31: Highest IV Rank — 10.4%
  • 2017-01-10: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.33$36.38$38.08$38.08$36.38
Max Pain$37.55$37.00$38.00$37.00$37.50
ATM IV16.6%13.8%18.9%18.7%17.0%
Expected Move4.7%3.9%5.5%5.0%4.8%
HV 20d11.7%10.1%13.4%12.4%13.1%
HV 60d18.0%17.7%18.4%18.1%18.3%
IV Rank3.5%0.0%10.4%7.7%10.4%
IV Percentile5.7%0.0%20.6%17.1%6.7%
Term Structure0.3%0.0%0.5%0.3%0.3%
VWIV16.9%13.9%20.1%17.7%16.3%
Skew 25d2.7%2.0%3.3%3.3%2.9%
Skew 10d5.7%3.3%8.2%8.2%6.9%
Call IV 25d15.5%13.0%17.9%17.4%15.8%
Put IV 25d18.2%15.0%20.7%20.7%18.8%
Bid-Ask Spread %9.896.4213.8710.558.44
Gamma HHI0.080.060.110.080.07
Net GEX-10.5M-45.8M19.1M18.3M-44.7M
Net DEX-102.2M-585.8M530.5M-585.8M518.8M
Net VEX-7.7M-8.7M-7.2M-7.3M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.781.004.721.041.15
Total Volume111,165.375,284194,302150,23083,032
Total OI1,777,9481,131,5362,166,5221,879,6481,367,554

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$38.08$37.0018.7%5.0%12.4%7.7%17.7%3.3%0.3%18.3M-585.8M-7.3M1.0410.5573,65276,578637,4841,242,164
2017-01-04$38.02$37.0018.5%4.9%11.9%7.1%17.9%2.8%0.4%17.8M-558.5M-7.5M1.667.5336,68460,724665,0941,279,794
2017-01-05$37.94$38.0018.3%5.4%11.9%6.4%19.7%2.8%0.3%12.9M-503.8M-7.6M1.256.4242,96653,914678,1361,304,210
2017-01-06$38.02$38.0017.2%5.2%11.9%2.5%18.4%2.3%0.5%19.1M-569.7M-7.5M1.087.5551,58655,836684,1201,320,536
2017-01-09$37.41$38.0018.6%5.4%12.9%7.5%19.4%2.9%0.2%256.3K-203.1M-7.7M1.447.5246,43666,902690,2241,316,994
2017-01-10$37.10$38.0018.9%5.5%13.1%8.6%20.1%2.7%0.1%-12.5M-198.7K-7.9M1.358.8232,06843,216709,0081,337,728
2017-01-11$37.43$37.5017.8%5.2%13.4%4.4%18.4%2.8%0.3%-4.9M-237.5M-7.7M1.0011.2944,84644,788715,0041,341,902
2017-01-12$37.31$37.5017.3%5.0%12.0%2.6%18.0%2.9%0.3%-6.9M-168.9M-7.6M1.4110.1842,58259,904733,4541,350,722
2017-01-13$37.27$37.5016.7%4.8%10.1%0.6%17.5%2.5%0.2%-24.0M-127.1M-7.7M1.738.9235,16860,876745,8721,372,598
2017-01-17$37.35$37.5016.8%4.8%10.2%0.9%17.0%2.7%0.0%2.1M-200.1M-7.5M1.139.2342,87448,350732,6941,375,904
2017-01-18$37.30$37.5016.0%4.6%10.2%0.0%16.6%2.9%0.1%151.5K-157.4M-7.4M1.5110.0231,79248,056735,8061,384,366
2017-01-19$37.13$37.5016.1%4.6%10.3%0.1%15.9%2.9%0.5%-2.8M-7.7M-7.5M2.0512.8527,83457,050747,7681,393,108
2017-01-20$37.22$37.5015.1%4.3%10.3%0.0%15.3%2.8%0.2%-45.3M-84.8M-7.4M1.3211.9055,98873,894749,2801,417,242
2017-01-23$36.89$37.5015.4%4.4%10.4%1.2%16.3%2.9%0.3%-32.0M168.7M-7.2M2.068.4534,01470,144423,450708,086
2017-01-24$37.34$37.5014.6%4.1%11.4%0.0%14.6%2.4%0.5%-21.2M16.1M-7.6M1.9912.8240,37680,510441,856755,710
2017-01-25$37.48$37.5013.8%3.9%11.5%0.0%13.9%2.2%0.5%-11.5M-55.5M-7.5M3.3513.8744,700149,602455,840779,504
2017-01-26$37.48$37.5013.9%3.9%11.4%0.1%14.2%2.0%0.3%-1.6M-24.1M-8.0M4.729.1026,820126,618482,048828,078
2017-01-27$37.05$37.5014.2%4.0%11.7%1.2%14.2%2.0%0.3%-27.9M205.0M-8.0M3.069.0038,634118,366490,828833,582
2017-01-30$36.39$37.5016.3%4.6%13.1%8.2%16.3%2.9%0.3%-45.8M530.5M-8.6M1.2813.4342,05853,868479,806851,406
2017-01-31$36.38$37.5017.0%4.8%13.1%10.4%16.3%2.9%0.3%-44.7M518.8M-8.7M1.158.4438,69844,334495,192872,362