XLE Options History — May 2020

In May 2020, XLE traded between $17.86 and $19.97. ATM implied volatility averaged 47.2%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 9.8% (HV 20d: 57.0%). Max pain ranged from $17.50 to $21.11. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2020-05-05: Highest Volume — 241,564 contracts
  • 2020-05-13: Largest IV spike — 12.0% change
  • 2020-05-01: Highest IV Rank — 34.1%
  • 2020-05-01: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.91$17.86$19.97$17.89$19.36
Max Pain$20.70$17.50$21.11$17.50$20.61
ATM IV47.2%41.3%55.5%55.5%41.6%
Expected Move13.4%11.3%17.0%17.0%11.7%
HV 20d57.0%49.6%61.5%61.5%51.7%
HV 60d90.4%88.9%92.0%88.9%91.0%
IV Rank27.1%22.2%34.1%34.1%22.4%
IV Percentile80.8%75.8%86.1%86.1%75.8%
Term Structure-0.4%-3.8%2.3%-0.2%-3.8%
VWIV47.6%40.4%57.0%57.0%41.0%
Skew 25d12.1%9.2%16.6%16.4%9.3%
Skew 10d23.8%16.3%37.0%31.8%16.3%
Call IV 25d41.4%35.9%48.7%48.7%37.4%
Put IV 25d53.5%46.5%65.1%65.1%46.8%
Bid-Ask Spread %2.291.942.692.102.45
Gamma HHI0.060.040.120.040.05
Net GEX6.8M-12.3M18.9M454.9K2.1M
Net DEX695.0M449.8M960.4M855.4M748.8M
Net VEX-7.3M-7.9M-6.4M-7.0M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.301.791.310.51
Total Volume135,933.674,960241,564178,626122,434
Total OI3,474,703.93,168,7903,747,3543,555,4843,437,684

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$17.89$17.5055.5%17.0%61.5%34.1%57.0%16.4%-0.2%454.9K855.4M-7.0M1.312.1077,300101,3261,945,4441,610,040
2020-05-04$18.43$21.1155.1%15.5%61.2%33.7%56.5%16.6%0.3%6.9M704.1M-7.2M1.052.6752,17854,7421,916,2241,519,862
2020-05-05$18.50$21.1154.7%15.2%58.9%33.4%55.9%15.6%0.2%7.0M665.2M-7.4M1.702.5989,318152,2461,938,1261,548,118
2020-05-06$18.20$21.1151.9%15.0%57.8%31.1%52.4%14.6%0.1%481.5K811.7M-6.9M1.692.1239,59466,9441,975,5561,590,200
2020-05-07$18.54$21.1150.4%14.3%56.9%29.8%54.3%14.0%0.7%4.7M707.9M-7.1M1.792.6251,34091,7421,993,4521,602,178
2020-05-08$19.34$21.1145.2%13.4%58.5%25.5%47.2%12.4%0.6%15.6M449.8M-7.6M1.491.9962,53693,2202,012,6661,658,576
2020-05-11$19.14$21.1144.3%12.9%58.8%24.7%44.4%12.0%0.3%17.5M540.0M-7.3M0.722.2654,65239,6142,003,0701,542,718
2020-05-12$18.80$21.1146.2%13.0%59.2%26.3%45.7%11.7%-1.9%13.3M669.1M-6.9M0.782.2757,72044,9262,020,6281,561,118
2020-05-13$17.86$21.1151.7%14.4%59.6%30.9%52.3%13.4%-1.7%4.0M960.4M-6.4M1.482.2377,436114,8282,044,9201,583,446
2020-05-14$17.95$21.1152.7%14.9%57.1%31.8%49.9%13.0%-1.2%-1.2M930.0M-6.8M0.651.9481,03652,6082,074,7681,634,824
2020-05-15$18.05$21.1150.3%14.2%49.6%29.8%46.3%11.9%-2.1%-12.3M874.4M-6.6M1.272.0253,47267,7082,106,2621,641,092
2020-05-18$19.55$20.6144.4%12.7%55.8%24.7%45.1%10.5%0.1%5.5M609.3M-7.7M0.492.5997,72047,8541,737,0381,431,752
2020-05-19$19.06$20.6145.2%12.9%56.7%25.4%46.3%10.2%2.1%5.3M735.6M-7.4M0.462.1775,71834,7021,759,8641,448,110
2020-05-20$19.68$20.6141.9%12.0%56.7%22.6%42.5%9.3%1.0%9.8M559.7M-7.8M0.301.9685,48625,4501,804,7301,467,264
2020-05-21$19.32$20.6144.0%12.5%56.5%24.4%46.2%9.7%2.3%8.5M662.3M-7.6M0.612.69100,94261,5841,827,7721,471,826
2020-05-22$19.20$20.6143.5%12.3%56.7%24.0%44.9%9.2%1.4%7.7M710.0M-7.6M0.312.24120,20037,7281,886,8321,504,108
2020-05-26$19.88$20.6142.6%11.9%57.4%23.3%42.5%10.9%-2.9%18.9M500.9M-7.9M0.392.17115,55044,5341,887,8041,503,488
2020-05-27$19.97$20.6141.3%11.3%57.3%22.2%40.4%10.8%-2.1%13.8M528.5M-7.9M0.852.5140,58834,3721,866,7001,523,976
2020-05-28$19.54$20.6141.4%11.5%52.3%22.2%41.2%10.2%-1.7%7.6M677.8M-7.5M1.312.2142,21455,1101,875,0361,536,806
2020-05-29$19.36$20.6141.6%11.7%51.7%22.4%41.0%9.3%-3.8%2.1M748.8M-7.4M0.512.4581,35441,0801,889,6261,548,058