XLE Options History — September 2018

In September 2018, XLE traded between $36.38 and $38.35. ATM implied volatility averaged 15.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.1% (HV 20d: 13.7%). Max pain ranged from $37.00 to $37.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.75.

Notable Days

  • 2018-09-20: Highest Volume — 247,582 contracts
  • 2018-09-17: Largest IV spike — 7.2% change
  • 2018-09-07: Highest IV Rank — 30.9%
  • 2018-09-05: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.32$36.38$38.35$37.06$37.97
Max Pain$37.18$37.00$37.50$37.00$37.50
ATM IV15.8%14.4%17.4%16.4%14.8%
Expected Move4.6%4.1%5.1%5.0%4.1%
HV 20d13.7%11.0%17.3%17.0%11.5%
HV 60d16.0%14.3%17.7%17.5%14.3%
IV Rank22.2%14.3%30.9%25.7%16.6%
IV Percentile38.1%22.6%53.6%48.0%26.2%
Term Structure0.2%-0.3%0.7%0.1%0.4%
VWIV16.1%13.9%18.4%17.3%14.5%
Skew 25d2.9%2.5%3.7%3.3%2.6%
Skew 10d5.6%4.5%6.9%5.6%4.9%
Call IV 25d14.8%13.3%16.1%15.1%13.9%
Put IV 25d17.8%15.9%19.8%18.4%16.5%
Bid-Ask Spread %2.591.735.982.062.35
Gamma HHI0.100.060.230.060.09
Net GEX16.1M-44.0M92.2M-6.3M43.2M
Net DEX-324.9M-850.2M339.1M-211.9M-653.6M
Net VEX-7.4M-8.1M-6.7M-7.7M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.514.034.031.78
Total Volume138,132.42187,666247,582135,884106,478
Total OI1,852,608.2111,502,0742,052,1601,820,4541,569,456

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$37.06$37.0016.4%5.0%17.0%25.7%17.3%3.3%0.1%-6.3M-211.9M-7.7M4.032.0627,038108,846779,0721,041,382
2018-09-05$37.09$37.0016.5%5.1%16.6%26.1%17.6%3.4%0.1%-13.2M-148.0M-8.1M1.952.0941,77081,246786,9641,104,174
2018-09-06$36.46$37.5017.3%5.0%17.3%30.7%18.0%3.4%0.0%-36.1M252.9M-8.1M2.212.1648,362106,728795,2261,109,592
2018-09-07$36.38$37.0017.4%5.0%17.1%30.9%18.4%3.7%0.1%-44.0M339.1M-8.1M2.333.4232,69876,200806,6001,130,814
2018-09-10$36.41$37.0016.9%4.9%17.0%28.2%17.9%3.3%0.2%-41.8M272.3M-7.8M2.381.7325,96461,702796,3841,114,104
2018-09-11$36.79$37.0017.0%4.8%17.2%28.8%17.2%3.4%-0.0%-29.6M18.9M-7.7M1.542.1147,59873,198800,3701,119,518
2018-09-12$36.98$37.0016.4%4.8%17.3%25.8%16.3%3.2%0.3%-15.6M-142.2M-7.6M1.102.0470,83878,066819,4981,134,890
2018-09-13$36.88$37.0015.9%4.6%11.9%22.8%16.7%3.0%0.2%-15.9M-74.2M-7.7M1.222.2168,08683,376846,2101,138,392
2018-09-14$37.17$37.0015.5%4.6%12.0%20.1%15.5%2.7%0.7%19.0M-351.6M-7.5M1.132.6069,42678,618882,2041,142,932
2018-09-17$37.13$37.0016.6%4.8%12.0%26.5%16.4%3.2%-0.3%6.8M-293.5M-7.6M1.753.0045,64880,070890,0041,127,322
2018-09-18$37.50$37.0015.6%4.5%12.3%21.0%16.1%2.9%0.1%35.6M-583.5M-7.4M1.592.7641,56466,288896,4141,137,368
2018-09-19$37.64$37.0015.2%4.3%12.2%18.3%15.6%2.5%-0.1%60.2M-690.1M-7.3M1.402.0353,48274,980902,8581,138,874
2018-09-20$37.56$37.0014.5%4.1%11.5%14.4%15.6%2.6%0.3%92.2M-649.3M-7.1M0.563.82159,20888,374901,7001,150,460
2018-09-21$37.56$37.5014.4%4.1%11.0%14.3%14.6%2.6%0.2%48.5M-357.5M-7.0M1.532.0665,824100,916789,9541,173,370
2018-09-24$38.11$37.5015.3%4.3%11.7%19.4%15.3%2.7%0.3%49.5M-735.1M-6.7M1.232.0160,48274,506597,518904,556
2018-09-25$38.35$37.5015.1%4.3%11.7%18.2%14.9%2.6%0.4%58.8M-850.2M-6.8M0.512.03127,07264,938618,224916,536
2018-09-26$38.08$37.5015.0%4.2%11.9%17.5%14.5%2.5%0.3%52.6M-692.2M-6.9M2.425.9841,512100,600639,026931,224
2018-09-27$37.97$37.5014.6%4.1%11.7%15.4%13.9%2.5%0.4%41.9M-622.6M-6.9M2.682.6625,23467,580646,084920,282
2018-09-28$37.97$37.5014.8%4.1%11.5%16.6%14.5%2.6%0.4%43.2M-653.6M-6.8M1.782.3538,32468,154649,734919,722