XLE Options History — February 2020

In February 2020, XLE traded between $22.46 and $27.55. ATM implied volatility averaged 25.3%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.4% (HV 20d: 24.9%). Max pain ranged from $27.50 to $29.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.24.

Notable Days

  • 2020-02-27: Highest Volume — 437,396 contracts
  • 2020-02-28: Largest IV spike — 30.9% change
  • 2020-02-24: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.29$22.46$27.55$26.38$22.46
Max Pain$27.95$27.50$29.00$29.00$27.50
ATM IV25.3%19.2%54.5%22.7%54.5%
Expected Move7.4%5.5%17.2%6.6%17.2%
HV 20d24.9%15.9%35.2%16.5%34.9%
HV 60d20.2%17.2%25.4%17.8%25.4%
IV Rank63.4%36.5%100.0%65.9%100.0%
IV Percentile81.9%55.6%100.0%90.5%100.0%
Term Structure-0.3%-2.9%1.1%-0.6%-2.9%
VWIV25.3%19.2%56.3%22.2%56.3%
Skew 25d4.8%3.2%12.8%4.3%12.8%
Skew 10d8.3%5.6%20.2%7.7%20.2%
Call IV 25d23.0%17.9%49.2%20.4%49.2%
Put IV 25d27.9%21.1%61.9%24.8%61.9%
Bid-Ask Spread %2.461.4312.532.0312.53
Gamma HHI0.110.070.140.140.07
Net GEX-67.6M-102.3M-27.1M-84.2M-27.1M
Net DEX1.43B738.0M2.60B1.81B2.39B
Net VEX-8.8M-9.8M-6.4M-8.5M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.422.301.310.53
Total Volume180,409.68462,272437,396182,216368,948
Total OI2,738,260.5262,452,6103,030,4382,521,2243,030,438

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$26.38$29.0022.7%6.6%16.5%65.9%22.2%4.3%-0.6%-84.2M1.81B-8.5M1.312.0378,736103,4801,078,1041,443,120
2020-02-04$26.42$28.5021.5%6.3%15.9%55.7%21.1%3.9%-0.5%-83.6M1.69B-8.5M0.861.8373,41262,8821,104,5281,410,774
2020-02-05$27.45$28.5021.2%5.9%22.6%53.2%20.8%3.9%-0.3%-53.7M899.6M-9.5M0.581.69167,28897,4861,154,3521,442,060
2020-02-06$27.23$28.1121.0%6.0%22.4%51.7%21.7%3.5%-0.3%-49.3M998.8M-9.8M0.711.5656,72640,1441,240,2241,476,164
2020-02-07$27.00$28.1121.3%6.0%22.2%54.0%21.5%3.6%-0.3%-70.0M1.20B-9.8M1.301.8282,232107,3021,272,6201,492,442
2020-02-10$26.80$28.1121.4%6.1%22.2%54.9%21.0%3.7%0.1%-82.8M1.38B-9.2M2.251.4337,84685,3021,220,7661,489,080
2020-02-11$27.14$28.0020.6%6.0%23.1%48.7%22.0%3.6%0.2%-70.4M1.09B-9.5M2.001.6631,09262,1221,242,6741,495,434
2020-02-12$27.55$28.0020.1%5.8%24.0%44.2%19.4%3.3%0.0%-52.1M738.0M-9.6M0.721.6890,66665,6641,249,0361,530,126
2020-02-13$27.39$28.0020.4%5.8%23.9%47.0%20.6%3.3%-0.0%-61.4M899.2M-9.6M0.711.5036,39825,8741,275,2221,562,498
2020-02-14$27.25$28.0019.7%5.7%23.8%40.7%19.2%3.5%0.3%-102.3M1.05B-9.4M2.301.8935,64082,0721,280,2381,564,458
2020-02-18$27.07$28.0020.0%5.7%23.7%43.5%20.0%3.4%0.9%-97.7M1.23B-9.1M1.521.8134,21251,8961,256,2981,571,792
2020-02-19$27.46$27.6119.2%5.5%24.0%36.5%19.9%3.2%0.7%-68.5M840.3M-9.2M1.231.5667,60682,9301,278,3581,599,918
2020-02-20$27.41$27.6120.1%5.7%23.9%44.2%20.1%3.4%0.7%-66.0M847.0M-9.3M0.961.8447,40045,6081,319,3081,605,182
2020-02-21$27.05$27.6122.5%6.4%24.2%63.9%21.8%4.2%1.1%-77.3M1.20B-9.3M1.091.7148,52652,7641,338,4701,609,260
2020-02-24$25.87$27.6128.0%8.0%28.2%100.0%26.8%5.9%-1.8%-72.4M1.71B-8.5M1.731.9887,046150,3581,028,7081,423,902
2020-02-25$24.70$27.6131.7%9.4%31.0%100.0%32.0%6.4%-0.0%-63.8M2.23B-7.5M1.862.75112,146208,1921,068,1701,467,516
2020-02-26$24.05$27.6133.4%9.7%31.6%100.0%32.2%6.5%-2.2%-60.6M2.47B-7.2M1.502.4684,040126,3521,122,9061,555,810
2020-02-27$22.86$27.6141.6%12.6%35.2%100.0%42.2%9.2%-0.8%-41.0M2.60B-6.4M0.423.11308,928128,4681,169,3961,557,598
2020-02-28$22.46$27.5054.5%17.2%34.9%100.0%56.3%12.8%-2.9%-27.1M2.39B-7.7M0.5312.53240,682128,2661,421,3701,609,068