XLE Options History — September 2017

In September 2017, XLE traded between $31.82 and $34.26. ATM implied volatility averaged 13.5%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.9% (HV 20d: 11.6%). Max pain ranged from $32.00 to $34.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2017-09-14: Highest Volume — 387,754 contracts
  • 2017-09-25: Largest IV spike — 7.2% change
  • 2017-09-08: Highest IV Rank — 12.5%
  • 2017-09-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.15$31.82$34.26$31.82$34.22
Max Pain$32.88$32.00$34.50$34.50$33.50
ATM IV13.5%12.1%15.3%14.9%12.4%
Expected Move3.9%3.3%4.8%4.8%3.3%
HV 20d11.6%10.8%13.0%10.9%11.3%
HV 60d13.0%11.6%14.1%14.1%11.6%
IV Rank4.5%0.0%12.5%8.7%2.3%
IV Percentile1.9%0.0%10.3%3.2%0.4%
Term Structure0.4%0.1%0.8%0.1%0.4%
VWIV13.9%11.8%16.9%16.9%11.8%
Skew 25d2.8%1.6%4.3%3.5%1.6%
Skew 10d4.9%3.4%7.0%6.0%3.4%
Call IV 25d12.5%11.3%13.7%13.1%11.7%
Put IV 25d15.3%13.2%18.0%16.6%13.2%
Bid-Ask Spread %3.081.8310.243.934.48
Gamma HHI0.100.070.340.270.07
Net GEX6.6M-111.0M77.3M-111.0M67.5M
Net DEX427.0M-588.6M1.73B1.73B-532.6M
Net VEX-11.2M-12.9M-9.5M-9.6M-12.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.322.061.111.17
Total Volume187,137.2109,730387,754171,418112,056
Total OI2,739,245.92,251,2783,111,0962,893,0242,761,766

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$31.82$34.5014.9%4.8%10.9%8.7%16.9%3.5%0.1%-111.0M1.73B-9.6M1.113.9381,26290,1561,181,5721,711,452
2017-09-05$31.98$32.0015.3%4.4%10.8%11.7%15.7%4.3%0.3%-106.1M1.62B-9.5M1.152.3651,01058,7201,176,2921,661,380
2017-09-06$32.50$32.0014.4%4.2%12.3%4.7%15.1%3.9%0.3%-26.6M1.17B-9.8M0.792.4992,33672,6621,189,8541,671,130
2017-09-07$32.52$32.5014.5%4.2%12.3%5.5%15.5%4.2%0.2%-23.9M1.14B-9.8M0.842.9369,37658,0781,213,7901,677,546
2017-09-08$32.18$32.5015.3%4.5%12.1%12.5%15.1%4.3%0.4%-34.4M1.42B-10.1M0.922.0574,85268,6161,244,4741,699,174
2017-09-11$32.51$32.5014.4%4.2%12.5%5.0%15.3%3.8%0.1%-31.8M1.20B-10.0M0.712.1597,49269,5401,245,7221,693,310
2017-09-12$32.70$32.5013.9%4.1%12.5%0.3%14.7%3.6%0.6%-28.7M1.00B-10.3M1.181.8365,22876,6541,299,5061,708,906
2017-09-13$33.10$32.5013.5%4.0%13.0%0.0%14.2%3.0%0.6%-1.3M603.8M-10.5M0.522.75111,10257,4181,320,8381,737,450
2017-09-14$33.26$32.5013.2%3.8%12.0%0.0%14.8%3.5%0.2%30.8M457.0M-10.9M0.321.99294,58693,1681,361,9221,749,174
2017-09-15$32.88$33.0013.0%3.8%11.7%0.0%13.4%2.0%0.3%-43.9M948.7M-10.8M0.672.22147,81498,6801,239,5661,770,778
2017-09-18$33.08$33.0012.9%3.7%11.6%0.0%12.9%2.1%0.8%16.8M179.3M-11.2M1.572.3156,76089,3601,004,6361,246,642
2017-09-19$33.19$33.0012.7%3.7%11.1%0.0%13.1%2.0%0.1%21.2M111.8M-11.3M1.752.6843,05875,4821,019,1161,267,226
2017-09-20$33.43$33.0012.8%3.7%11.1%0.8%12.7%2.1%0.7%29.6M-37.5M-11.5M1.9610.24117,206229,6281,030,6661,277,444
2017-09-21$33.41$33.0012.1%3.4%11.2%0.0%11.9%1.9%0.4%33.6M-35.7M-12.1M2.062.9192,734190,7001,074,4221,438,836
2017-09-22$33.62$33.0012.7%3.6%11.2%4.2%12.9%1.9%0.4%57.5M-253.2M-12.3M1.792.8158,724104,8961,111,5621,442,746
2017-09-25$34.11$33.0013.6%3.8%11.8%10.7%13.5%2.1%0.3%59.5M-522.8M-12.3M0.723.23153,620110,6421,090,2201,452,562
2017-09-26$34.05$33.0013.4%3.7%11.3%9.2%13.0%2.0%0.6%70.8M-513.9M-12.6M0.883.2399,67287,3501,146,1621,483,490
2017-09-27$34.19$33.0013.1%3.6%11.2%7.3%12.9%1.9%0.4%74.4M-553.1M-12.7M1.602.6546,96274,9361,148,6521,519,254
2017-09-28$34.26$33.5013.0%3.5%11.1%7.0%12.4%1.8%0.4%77.3M-588.6M-12.9M1.592.3865,810104,3981,161,0841,554,596
2017-09-29$34.22$33.5012.4%3.3%11.3%2.3%11.8%1.6%0.4%67.5M-532.6M-12.8M1.174.4851,59060,4661,174,8781,586,888