XLE Options History — March 2019

In March 2019, XLE traded between $31.95 and $33.63. ATM implied volatility averaged 18.1%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.9% (HV 20d: 17.2%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2019-03-11: Highest Volume — 153,472 contracts
  • 2019-03-22: Largest IV spike — 19.9% change
  • 2019-03-08: Highest IV Rank — 25.6%
  • 2019-03-08: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.95$31.95$33.63$33.06$33.06
Max Pain$32.48$32.00$33.00$32.00$32.50
ATM IV18.1%15.8%20.8%17.7%17.9%
Expected Move5.4%4.9%6.6%5.2%5.3%
HV 20d17.2%16.0%19.1%17.5%17.9%
HV 60d22.1%18.0%25.2%25.2%18.0%
IV Rank15.3%6.6%25.6%13.9%14.4%
IV Percentile35.6%11.9%64.3%28.6%31.0%
Term Structure0.1%-0.4%0.5%0.2%0.4%
VWIV19.5%17.2%24.5%18.3%19.0%
Skew 25d3.5%2.6%4.3%3.9%3.2%
Skew 10d6.7%4.9%9.5%7.2%6.3%
Call IV 25d16.7%14.6%19.5%16.0%16.2%
Put IV 25d20.2%17.2%23.7%19.9%19.4%
Bid-Ask Spread %2.571.506.021.501.87
Gamma HHI0.090.060.120.110.06
Net GEX19.2M-7.1M63.0M46.5M15.0M
Net DEX-193.5M-489.5M219.4M-273.7M-221.0M
Net VEX-6.2M-6.5M-6.0M-6.3M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.232.470.390.91
Total Volume77,967.33333,838153,47287,83246,998
Total OI1,395,599.1431,159,5501,589,0661,504,0321,377,866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$33.06$32.0017.7%5.2%17.5%13.9%18.3%3.9%0.2%46.5M-273.7M-6.3M0.391.5063,11024,722785,216718,816
2019-03-04$33.17$32.0018.5%5.6%16.0%16.7%20.4%3.8%0.1%30.7M-299.3M-6.4M0.881.7024,19021,304787,396708,018
2019-03-05$33.13$32.2518.1%5.4%16.0%15.1%20.4%3.8%0.1%28.4M-275.9M-6.3M1.331.7214,56019,316792,036715,868
2019-03-06$32.67$32.2519.2%6.0%16.9%19.3%21.7%4.1%0.0%10.6M-80.5M-6.2M0.421.5350,77621,544797,144717,794
2019-03-07$32.61$32.2520.0%6.4%16.8%22.3%22.0%4.3%0.0%11.4M-55.1M-6.2M0.531.6355,23229,006827,042722,108
2019-03-08$31.95$32.2520.8%6.6%16.3%25.6%24.5%4.2%0.4%-7.1M219.4M-6.2M0.781.6769,44254,100851,390737,676
2019-03-11$32.46$32.5018.8%5.5%16.9%17.7%20.0%3.9%-0.0%3.2M518.6K-6.1M0.252.94122,81830,654814,754684,736
2019-03-12$32.67$32.5017.8%5.4%16.8%14.3%18.5%3.3%0.5%5.6M-88.8M-6.2M0.346.0225,2368,602779,348694,768
2019-03-13$32.99$32.5017.1%5.1%16.7%11.5%18.8%3.1%0.1%17.9M-254.4M-6.2M0.352.5343,88815,508785,350694,244
2019-03-14$33.06$32.5016.5%5.0%16.1%9.4%18.3%2.9%0.3%32.0M-282.3M-6.1M0.235.7676,40817,790794,216697,090
2019-03-15$32.77$32.5015.8%4.9%16.3%6.6%17.4%2.6%0.2%4.7M-90.4M-6.0M0.692.6232,33622,246750,124696,304
2019-03-18$33.24$32.5016.0%4.9%16.6%7.4%17.2%2.8%-0.4%32.1M-317.1M-6.0M1.652.1026,34243,392629,736529,814
2019-03-19$32.99$33.0017.1%5.0%16.7%11.4%18.5%3.0%-0.1%20.8M-222.1M-6.0M0.672.6648,05432,232642,230560,706
2019-03-20$33.56$33.0016.9%5.0%17.8%10.8%18.6%3.0%-0.1%52.5M-447.3M-6.1M1.103.0149,47054,478659,328574,040
2019-03-21$33.63$33.0016.6%5.0%16.3%9.6%18.5%3.0%0.1%63.0M-489.5M-6.1M0.372.1365,50624,116669,754597,848
2019-03-22$32.84$32.5019.9%5.6%18.5%22.0%20.2%3.5%-0.3%5.5M-108.3M-6.2M0.732.8459,31843,218683,874607,430
2019-03-25$32.76$32.5019.6%5.6%18.5%20.9%20.0%3.6%0.2%-1.6M-92.2M-6.1M1.172.5123,24227,198644,944603,938
2019-03-26$33.15$32.5018.7%5.6%19.0%17.6%19.2%3.7%0.3%14.4M-264.1M-6.2M0.932.8257,49053,220656,490614,986
2019-03-27$33.01$32.5018.9%5.6%19.1%18.1%19.5%3.8%0.3%6.0M-192.8M-6.4M2.472.3526,43265,192684,044656,690
2019-03-28$33.12$32.5018.6%5.5%18.6%17.1%19.0%3.6%0.4%11.9M-229.1M-6.5M0.972.1524,74223,886691,026671,400
2019-03-29$33.06$32.5017.9%5.3%17.9%14.4%19.0%3.2%0.4%15.0M-221.0M-6.4M0.911.8724,55222,446702,682675,184