XLE Options History — February 2017

In February 2017, XLE traded between $35.41 and $36.83. ATM implied volatility averaged 16.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 13.9%). Max pain ranged from $36.75 to $37.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.67.

Notable Days

  • 2017-02-23: Highest Volume — 212,310 contracts
  • 2017-02-03: Largest IV drop — 10.1% change
  • 2017-02-28: Highest IV Rank — 32.8%
  • 2017-02-28: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.18$35.41$36.83$36.15$35.65
Max Pain$37.03$36.75$37.50$37.50$36.75
ATM IV16.9%15.0%19.5%16.6%19.5%
Expected Move5.0%4.6%5.7%4.6%5.7%
HV 20d13.9%11.9%15.8%11.9%14.7%
HV 60d17.3%13.0%18.3%18.3%13.0%
IV Rank13.9%3.8%32.8%8.9%32.8%
IV Percentile10.8%1.6%39.3%4.0%39.3%
Term Structure0.2%-1.2%1.2%0.3%-0.9%
VWIV18.0%16.3%20.5%16.3%20.5%
Skew 25d2.6%1.9%3.3%3.0%2.8%
Skew 10d5.1%3.5%8.1%6.4%7.1%
Call IV 25d15.8%14.1%17.9%15.6%17.9%
Put IV 25d18.4%16.3%20.7%18.5%20.7%
Bid-Ask Spread %8.605.2215.3215.3211.80
Gamma HHI0.080.060.190.080.10
Net GEX-54.3M-108.9M-28.0M-49.3M-71.9M
Net DEX681.4M375.7M1.06B608.1M854.5M
Net VEX-9.4M-9.9M-8.7M-8.7M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.373.711.430.96
Total Volume135,662.31690,000212,310133,10290,000
Total OI1,695,431.1581,381,0001,921,9781,381,0001,921,978

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$36.15$37.5016.6%4.6%11.9%8.9%16.3%3.0%0.3%-49.3M608.1M-8.7M1.4315.3254,84678,256503,082877,918
2017-02-02$36.31$37.2516.7%5.1%12.1%9.3%18.2%3.3%0.3%-47.8M587.8M-9.2M0.925.2268,04662,696525,014916,106
2017-02-03$36.74$37.2515.0%4.7%13.1%3.8%17.1%2.2%0.5%-33.6M422.1M-9.2M1.507.3939,51459,284562,652939,702
2017-02-06$36.38$37.2515.7%4.8%13.4%6.0%17.0%2.6%1.0%-45.1M624.1M-9.1M0.737.8775,26054,682567,682953,978
2017-02-07$35.87$37.2517.1%5.2%13.1%10.7%18.3%2.2%1.0%-58.4M874.1M-9.0M1.017.6172,90673,338586,096977,032
2017-02-08$35.97$37.0017.4%5.3%13.0%11.6%18.3%2.7%0.8%-54.1M825.4M-9.4M0.838.2578,52864,848615,5941,008,482
2017-02-09$36.38$37.0016.5%5.0%13.3%8.7%17.6%2.1%0.9%-38.7M606.6M-9.7M1.465.4444,88865,528647,3481,042,698
2017-02-10$36.65$37.2516.0%4.8%13.6%7.0%17.4%1.9%1.2%-28.0M431.5M-9.6M2.115.8739,54283,318661,4941,082,886
2017-02-13$36.71$37.2516.6%4.8%13.7%10.6%18.0%2.6%-0.2%-41.4M438.1M-9.4M2.386.4136,50086,874642,6321,079,966
2017-02-14$36.83$37.0016.3%4.7%13.7%9.9%17.1%2.4%-0.1%-34.1M375.7M-9.4M2.487.0230,59475,822653,7341,101,330
2017-02-15$36.70$37.0016.7%4.8%13.7%12.9%17.5%2.6%-0.5%-44.5M446.5M-9.4M2.879.6233,32095,558658,4801,105,100
2017-02-16$36.15$37.0017.1%4.9%14.6%15.9%19.6%2.8%-0.5%-75.5M853.2M-9.5M2.328.5255,556129,124667,0801,136,740
2017-02-17$35.95$37.0016.7%4.8%14.6%14.4%17.3%2.7%-0.2%-108.9M1.01B-9.6M1.606.1071,094113,850692,8841,182,970
2017-02-21$36.27$36.7516.4%4.8%14.7%13.5%16.8%2.5%-1.1%-33.4M538.8M-9.6M1.516.1847,45671,848618,9581,081,304
2017-02-22$35.68$36.7517.3%5.2%14.9%18.3%19.0%2.5%0.7%-59.4M854.9M-9.5M2.0310.2052,428106,230631,1561,089,306
2017-02-23$35.80$36.7517.5%5.1%14.9%19.2%18.3%2.7%1.2%-51.8M787.0M-9.6M3.7111.8945,092167,218651,5801,126,848
2017-02-24$35.41$36.7517.9%5.3%15.1%22.0%18.9%3.0%0.7%-83.6M1.06B-9.7M1.4813.2545,01266,686671,6441,177,582
2017-02-27$35.89$36.7518.6%5.3%15.8%27.6%18.3%2.7%-1.2%-71.7M749.0M-9.8M0.379.48103,62638,216656,7361,197,420
2017-02-28$35.65$36.7519.5%5.7%14.7%32.8%20.5%2.8%-0.9%-71.9M854.5M-9.9M0.9611.8045,88044,120712,0521,209,926