XLE Options History — May 2019

In May 2019, XLE traded between $29.43 and $32.59. ATM implied volatility averaged 20.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.3% (HV 20d: 17.4%). Max pain ranged from $32.50 to $33.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2019-05-23: Highest Volume — 559,526 contracts
  • 2019-05-23: Largest IV spike — 19.4% change
  • 2019-05-31: Highest IV Rank — 37.3%
  • 2019-05-31: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.51$29.43$32.59$32.59$29.43
Max Pain$32.61$32.50$33.50$33.50$32.50
ATM IV20.7%17.9%23.9%18.4%23.9%
Expected Move6.1%5.2%7.2%5.4%7.2%
HV 20d17.4%15.4%20.6%15.4%19.5%
HV 60d16.9%16.1%18.1%16.5%18.1%
IV Rank25.2%14.5%37.3%16.4%37.3%
IV Percentile64.5%36.9%79.8%47.6%79.8%
Term Structure-0.1%-1.2%1.6%-0.0%-0.4%
VWIV21.5%17.3%24.9%18.6%24.9%
Skew 25d4.3%3.2%5.4%3.3%5.4%
Skew 10d7.7%5.3%10.0%5.3%9.2%
Call IV 25d18.7%16.4%21.5%16.9%21.5%
Put IV 25d23.0%19.8%26.9%20.2%26.9%
Bid-Ask Spread %2.391.884.142.761.88
Gamma HHI0.100.070.280.090.10
Net GEX-30.8M-58.5M27.3M-28.5M-47.2M
Net DEX616.4M212.2M1.26B291.3M1.26B
Net VEX-6.4M-6.8M-5.5M-6.6M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.262.151.191.50
Total Volume100,662.45525,290559,526106,07850,382
Total OI1,499,683.8181,290,0241,714,2401,290,0241,714,240

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$32.59$33.5018.4%5.4%15.4%16.4%18.6%3.3%-0.0%-28.5M291.3M-6.6M1.192.7648,41057,668555,038734,986
2019-05-02$31.91$33.5019.1%5.7%16.8%19.1%19.8%3.7%0.1%-33.1M566.1M-6.5M1.042.06103,810108,286586,714740,422
2019-05-03$32.22$33.0017.9%5.2%17.1%14.5%17.3%3.2%0.2%-22.4M430.4M-6.7M0.872.4242,48436,880620,088792,542
2019-05-06$32.06$32.5019.9%6.1%15.7%21.9%20.2%3.8%0.1%-30.7M488.5M-6.6M1.211.9537,59845,670615,692788,268
2019-05-07$31.76$32.5022.8%6.6%15.6%33.1%24.7%4.9%-0.0%-31.6M594.2M-6.7M1.032.1759,41861,406625,118791,148
2019-05-08$31.95$32.5021.9%6.6%15.7%29.7%24.1%4.7%-0.1%-32.6M513.9M-6.8M1.402.2145,54863,694636,004819,122
2019-05-09$31.91$32.5022.3%6.5%15.5%31.1%23.4%4.9%-0.2%-37.2M567.1M-6.8M1.672.0948,47480,956643,462845,220
2019-05-10$31.96$32.5019.9%6.1%15.6%22.1%20.4%4.3%-0.3%-44.4M560.4M-6.8M0.262.8868,73617,900656,116871,836
2019-05-13$31.45$32.5023.2%6.8%16.2%34.5%23.8%5.0%0.5%-58.5M806.0M-6.5M1.112.3634,64238,568636,852859,822
2019-05-14$31.86$32.5020.9%6.2%17.1%25.8%21.8%4.4%0.4%-51.4M567.9M-6.7M0.802.7234,69827,830678,602871,618
2019-05-15$32.08$32.5019.3%5.9%17.2%19.8%20.5%4.2%1.0%-43.8M441.5M-6.6M0.772.3124,06018,532682,846870,098
2019-05-16$32.19$32.5018.4%5.7%17.3%16.3%19.6%3.9%1.6%-34.1M349.3M-6.6M0.972.3633,10032,148696,228868,026
2019-05-17$31.88$32.5019.1%5.6%17.5%19.0%21.0%3.8%0.8%-31.8M505.6M-6.5M1.494.1428,10241,988705,016874,214
2019-05-20$31.89$32.5019.9%5.8%15.7%21.8%21.0%4.4%-0.6%-19.7M385.0M-6.4M0.492.4216,9848,306597,894747,528
2019-05-21$32.29$32.5018.9%5.5%16.7%18.3%19.2%4.1%-1.2%-10.8M212.2M-6.5M0.902.3217,92216,130608,438750,914
2019-05-22$31.79$32.5019.3%5.5%16.7%19.7%19.5%3.8%-1.2%-23.9M446.0M-6.2M1.252.4722,82628,586612,250757,688
2019-05-23$30.64$32.5023.0%6.6%20.6%33.8%23.1%4.5%-0.3%-37.2M872.2M-5.9M0.922.53291,088268,438619,408763,480
2019-05-24$30.80$32.5021.3%6.2%20.1%27.2%21.6%4.1%-0.9%27.3M692.9M-6.5M0.862.0738,42832,954862,944837,958
2019-05-28$30.45$32.5021.8%6.4%20.2%29.1%22.9%4.7%-0.5%-9.0M900.5M-6.0M0.792.2019,78015,568839,818829,176
2019-05-29$30.27$32.5022.2%6.7%20.1%30.7%22.2%4.6%0.1%-30.4M987.1M-5.9M0.962.2341,20839,358848,300833,356
2019-05-30$29.92$32.5022.7%6.7%19.9%32.4%24.2%5.0%-0.6%-47.5M1.12B-5.8M2.151.9320,97045,040853,580850,974
2019-05-31$29.43$32.5023.9%7.2%19.5%37.3%24.9%5.4%-0.4%-47.2M1.26B-5.5M1.501.8820,11430,268861,354852,886