XLE Options History — June 2019

In June 2019, XLE traded between $29.75 and $31.84. ATM implied volatility averaged 20.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.5% (HV 20d: 20.9%). Max pain ranged from $31.50 to $32.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2019-06-20: Highest Volume — 378,186 contracts
  • 2019-06-04: Largest IV drop — 8.3% change
  • 2019-06-03: Highest IV Rank — 38.8%
  • 2019-06-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.94$29.75$31.84$29.75$31.76
Max Pain$31.65$31.50$32.50$32.50$31.50
ATM IV20.4%18.6%24.4%24.4%19.6%
Expected Move5.9%5.3%7.4%7.4%5.6%
HV 20d20.9%17.3%23.1%19.6%17.3%
HV 60d18.2%17.8%18.5%18.3%18.4%
IV Rank23.9%17.2%38.8%38.8%20.7%
IV Percentile59.5%43.3%81.3%81.3%52.8%
Term Structure-0.1%-0.5%0.7%-0.5%0.1%
VWIV20.8%18.8%25.7%25.7%20.1%
Skew 25d4.0%3.1%5.2%5.2%3.6%
Skew 10d7.3%6.1%8.8%8.8%7.4%
Call IV 25d18.6%17.7%21.6%21.6%17.7%
Put IV 25d22.7%21.0%26.9%26.9%21.3%
Bid-Ask Spread %2.331.732.861.942.28
Gamma HHI0.100.080.130.100.08
Net GEX-19.8M-51.3M22.9M-46.2M10.0M
Net DEX534.4M-132.4M1.15B1.15B-107.0M
Net VEX-6.8M-8.1M-5.7M-5.7M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.211.860.211.30
Total Volume97,052.535,226378,18672,30076,254
Total OI1,591,870.31,334,3881,883,9881,479,4121,482,348

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$29.75$32.5024.4%7.4%19.6%38.8%25.7%5.2%-0.5%-46.2M1.15B-5.7M0.211.9459,62612,674629,152850,260
2019-06-04$30.23$32.5022.4%6.7%20.8%31.3%23.0%4.8%-0.3%-42.2M956.0M-5.9M0.941.9225,31623,910673,536854,854
2019-06-05$29.93$32.5022.8%7.0%20.9%32.8%25.4%4.8%-0.4%-43.7M1.08B-5.8M1.551.9224,11637,344684,240867,034
2019-06-06$30.55$31.5021.6%6.0%22.3%28.5%21.1%4.8%-0.3%-40.8M820.7M-6.1M1.002.1831,04031,154693,136873,320
2019-06-07$30.66$31.5020.8%6.0%22.4%25.3%21.0%4.7%-0.2%-42.8M764.0M-6.1M0.952.6136,07434,246703,738878,978
2019-06-10$30.75$31.5020.5%5.9%22.4%24.3%20.1%4.4%0.5%-38.8M741.1M-6.0M1.212.3915,97219,254697,556879,396
2019-06-11$30.87$31.5020.1%5.6%21.8%22.7%21.5%4.3%-0.3%-41.3M694.0M-5.9M1.572.4215,32224,006695,244887,608
2019-06-12$30.30$31.5020.4%5.7%22.1%23.9%19.5%4.1%-0.4%-51.3M988.0M-5.9M1.121.8557,87464,986703,478906,314
2019-06-13$30.63$31.5020.2%5.8%22.3%23.1%20.3%3.9%0.1%-48.5M818.4M-6.6M0.772.7049,77438,288746,766934,810
2019-06-14$30.52$31.5019.6%5.6%22.2%21.0%20.4%3.8%0.1%-38.1M883.2M-6.5M1.011.7345,20245,702756,692941,914
2019-06-17$30.79$31.5019.0%5.4%22.4%18.6%19.6%3.9%0.7%-44.4M740.8M-6.4M1.861.8713,11624,460741,670936,588
2019-06-18$31.20$31.5019.5%5.6%23.0%20.6%19.4%3.9%-0.4%-24.6M530.1M-6.5M0.372.37155,33257,562748,450951,658
2019-06-19$31.20$31.5019.5%5.6%22.4%20.5%20.0%3.6%-0.3%-2.1M403.2M-7.3M1.172.6536,13242,122847,982970,730
2019-06-20$31.84$31.5018.6%5.3%23.1%17.2%19.8%3.1%0.2%3.4M38.0M-7.4M0.292.86292,75685,430853,344978,152
2019-06-21$31.75$31.5019.4%5.6%18.6%20.2%18.8%3.4%-0.4%18.0M206.1M-7.7M0.532.4497,96652,034863,0201,020,968
2019-06-24$31.50$31.5019.8%5.7%18.8%21.7%19.5%3.3%-0.1%19.1M-650.4K-7.7M1.342.6521,90429,312622,688711,700
2019-06-25$31.29$31.5020.3%5.8%18.5%23.4%20.9%3.5%-0.1%14.5M101.3M-7.8M1.142.7539,22044,824632,868736,128
2019-06-26$31.79$31.5019.9%5.8%18.9%21.8%20.0%3.7%0.0%21.7M-132.4M-7.9M1.542.7345,31469,844645,798763,528
2019-06-27$31.52$31.5019.7%5.7%18.7%21.2%19.4%3.9%0.1%22.9M13.6M-8.1M0.642.2539,88225,706669,236802,524
2019-06-28$31.76$31.5019.6%5.6%17.3%20.7%20.1%3.6%0.1%10.0M-107.0M-8.1M1.302.2833,11643,138670,580811,768