XLE Options History — October 2017

In October 2017, XLE traded between $33.54 and $34.34. ATM implied volatility averaged 12.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.7% (HV 20d: 8.3%). Max pain ranged from $33.50 to $34.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2017-10-20: Highest Volume — 212,190 contracts
  • 2017-10-30: Largest IV spike — 6.2% change
  • 2017-10-30: Highest IV Rank — 16.1%
  • 2017-10-25: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.98$33.54$34.34$34.22$33.97
Max Pain$33.93$33.50$34.00$33.50$34.00
ATM IV12.9%12.0%14.2%13.5%13.7%
Expected Move3.7%3.4%4.0%3.7%3.8%
HV 20d8.3%6.0%11.2%11.2%6.9%
HV 60d11.1%10.1%11.8%11.6%10.1%
IV Rank6.2%0.0%16.1%10.0%12.1%
IV Percentile4.6%0.0%14.7%4.4%13.1%
Term Structure0.4%-0.5%1.5%0.1%0.1%
VWIV13.4%11.9%15.9%14.1%13.6%
Skew 25d2.0%1.5%2.4%1.9%2.3%
Skew 10d3.8%3.1%4.6%3.9%4.1%
Call IV 25d12.2%11.5%13.7%12.9%13.0%
Put IV 25d14.2%13.2%15.8%14.9%15.3%
Bid-Ask Spread %2.801.854.453.423.12
Gamma HHI0.080.070.160.070.07
Net GEX31.2M-23.2M86.6M63.8M48.8M
Net DEX-200.6M-596.8M203.6M-484.6M-213.4M
Net VEX-12.2M-12.8M-11.8M-12.8M-12.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.602.361.971.10
Total Volume120,894.18277,244212,190138,090119,392
Total OI2,694,264.0912,512,7182,875,2362,590,1762,724,398

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$34.22$33.5013.5%3.7%11.2%10.0%14.1%1.9%0.1%63.8M-484.6M-12.8M1.973.4246,48691,6041,107,3941,482,782
2017-10-03$34.20$33.5013.2%3.6%11.2%7.8%13.7%2.0%0.3%58.2M-459.6M-12.8M1.743.0732,58056,7901,119,5801,539,328
2017-10-04$34.17$33.5012.6%3.4%10.3%3.9%12.3%1.7%0.4%65.8M-432.2M-12.6M1.073.5656,07860,2181,124,5541,546,200
2017-10-05$34.34$34.0012.4%3.6%10.3%2.7%13.1%1.5%0.3%79.5M-596.8M-12.5M0.702.2079,57455,8641,128,3901,558,144
2017-10-06$34.01$34.0013.1%3.8%10.2%7.4%14.3%1.8%0.1%86.6M-255.8M-12.5M1.632.4452,10884,8721,146,7161,563,060
2017-10-09$34.09$34.0013.3%3.9%9.8%8.9%14.0%1.9%0.2%34.1M-305.6M-12.3M1.852.0927,11650,1281,111,1681,537,914
2017-10-10$34.13$34.0012.8%3.8%9.7%5.1%13.5%2.0%0.5%33.0M-323.9M-12.2M1.472.6337,69855,3161,108,1401,544,582
2017-10-11$34.21$34.0012.4%3.8%8.9%2.6%13.2%1.8%0.7%39.7M-388.9M-12.0M0.772.0082,34063,6821,112,1801,553,968
2017-10-12$34.07$34.0012.9%3.8%9.1%6.2%13.5%1.7%0.5%29.7M-296.5M-12.3M0.952.4957,74054,7921,163,4521,567,070
2017-10-13$34.07$34.0012.9%3.7%7.8%6.2%13.9%1.9%0.1%24.9M-322.8M-12.2M1.172.3658,31868,2761,186,2061,573,788
2017-10-16$34.15$34.0012.5%3.6%7.7%2.9%12.2%1.9%-0.1%38.7M-369.4M-11.8M1.312.4146,97061,5781,179,9201,569,744
2017-10-17$34.16$34.0012.8%3.7%7.6%5.2%12.1%2.1%-0.5%41.7M-374.9M-11.9M1.643.5644,00072,1741,188,9341,593,646
2017-10-18$33.91$34.0012.6%3.6%7.9%3.6%12.8%1.8%-0.1%9.1M-121.5M-11.8M2.042.0742,66087,0541,205,1881,606,724
2017-10-19$33.79$34.0012.2%3.5%8.1%0.8%13.1%2.0%0.3%-23.2M71.6M-12.0M1.841.8545,36483,6281,219,3421,645,498
2017-10-20$33.85$34.0012.0%3.4%7.8%0.0%11.9%1.7%-0.1%6.8M-33.4M-11.8M2.362.7763,112149,0781,232,2181,643,018
2017-10-23$33.69$34.0012.4%3.6%6.0%3.0%12.1%1.8%1.1%-6.3M113.3M-12.0M1.443.2747,54468,2721,029,9561,482,762
2017-10-24$33.76$34.0012.5%3.7%6.0%3.9%12.7%2.2%1.0%4.4M53.7M-12.1M0.602.9592,84655,6481,053,2581,491,162
2017-10-25$33.54$34.0013.3%4.0%6.1%9.3%14.0%2.4%1.0%-7.1M203.6M-12.4M1.134.4550,55456,9441,113,6101,502,842
2017-10-26$33.63$34.0013.3%3.9%6.2%9.3%15.9%2.3%1.0%10.3M120.8M-12.5M1.792.8028,76051,3981,139,9161,517,702
2017-10-27$33.65$34.0013.4%3.8%6.2%10.2%14.1%2.3%1.5%11.1M106.3M-12.3M1.173.6148,82856,9941,146,6561,526,092
2017-10-30$33.86$34.0014.2%3.9%6.7%16.1%14.4%2.1%-0.1%35.7M-103.0M-12.1M1.622.5743,99671,2981,153,2981,533,310
2017-10-31$33.97$34.0013.7%3.8%6.9%12.1%13.6%2.3%0.1%48.8M-213.4M-12.1M1.103.1256,87062,5221,171,6841,552,714