XLE Options History — May 2021

In May 2021, XLE traded between $25.36 and $27.30. ATM implied volatility averaged 31.1%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.2% (HV 20d: 29.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2021-05-05: Highest Volume — 639,608 contracts
  • 2021-05-14: Largest IV drop — 9.6% change
  • 2021-05-12: Highest IV Rank — 24.1%
  • 2021-05-12: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.25$25.36$27.30$25.41$26.09
Max Pain$24.13$22.50$25.00$25.00$25.00
ATM IV31.1%28.2%35.6%29.6%28.2%
Expected Move8.9%7.7%10.1%8.8%7.7%
HV 20d29.9%26.2%33.4%26.3%29.4%
HV 60d29.8%29.1%30.6%30.6%29.1%
IV Rank8.5%0.0%24.1%1.0%0.0%
IV Percentile7.3%0.0%19.4%1.6%0.0%
Term Structure0.2%-0.7%1.5%-0.0%-0.2%
VWIV31.7%26.8%35.9%32.0%26.8%
Skew 25d1.8%-1.2%4.1%-0.0%3.1%
Skew 10d3.8%-4.7%10.3%-0.0%6.1%
Call IV 25d30.8%26.8%34.7%30.5%26.8%
Put IV 25d32.6%28.4%38.3%30.4%29.9%
Bid-Ask Spread %8.241.8929.792.861.96
Gamma HHI0.090.080.120.120.08
Net GEX202.0M157.8M249.2M181.3M167.8M
Net DEX-4.51B-6.24B-3.40B-3.53B-3.62B
Net VEX-24.5M-25.9M-22.1M-22.1M-23.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.150.890.180.39
Total Volume388,920.3209,010639,608458,140209,010
Total OI6,931,502.36,116,8327,697,0566,116,8327,085,118

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$25.41$25.0029.6%8.8%26.3%1.0%32.0%-0.0%-0.0%181.3M-3.53B-22.1M0.182.86387,87870,2624,017,1242,099,708
2021-05-04$25.36$25.0030.7%9.2%26.2%4.5%33.1%0.3%-0.1%186.3M-3.62B-23.8M0.393.38227,39089,5924,241,6882,122,362
2021-05-05$26.17$25.0030.6%9.1%28.3%4.1%33.1%-0.1%-0.2%223.5M-4.80B-24.0M0.292.69494,498145,1104,350,7562,149,376
2021-05-06$26.28$22.5030.0%8.7%27.4%2.0%31.3%-0.4%0.3%219.3M-4.89B-23.9M0.3718.29208,78277,4064,362,9182,198,876
2021-05-07$26.83$22.5028.2%8.3%27.8%0.0%29.7%-1.2%-0.1%246.8M-5.84B-23.4M0.4412.47334,712148,7184,404,5122,228,498
2021-05-10$26.97$22.5030.3%8.7%27.4%6.8%31.0%0.5%0.0%241.0M-5.80B-24.1M0.4129.16365,680150,3464,398,3002,212,122
2021-05-11$26.13$23.0032.6%9.3%30.5%14.1%32.5%1.7%-0.1%201.2M-4.48B-24.6M0.7929.79278,660220,9544,476,3542,309,586
2021-05-12$26.27$23.5035.6%10.1%29.4%24.1%35.9%3.6%-0.4%197.3M-4.58B-25.9M0.383.80380,390146,2744,583,0522,459,174
2021-05-13$25.99$23.5033.2%9.5%29.6%16.2%33.1%2.6%-0.1%194.2M-4.19B-24.9M0.2716.86223,00459,4544,630,0262,441,746
2021-05-14$26.70$23.5030.0%8.7%30.4%5.8%31.4%1.1%0.7%238.1M-5.33B-24.9M0.444.37218,84695,6284,634,4122,448,650
2021-05-17$27.30$24.0031.1%8.9%30.9%9.4%33.1%2.2%0.9%249.2M-6.24B-24.2M0.891.89168,764150,2664,610,4402,434,718
2021-05-18$26.91$24.0031.3%9.0%29.6%9.9%32.3%2.2%1.3%241.9M-5.52B-25.1M0.482.15293,650140,1404,645,0902,530,166
2021-05-19$26.00$24.5034.2%9.8%32.7%19.3%34.6%3.4%1.1%189.9M-4.02B-25.7M0.569.25235,978132,7924,795,4662,609,990
2021-05-20$26.10$24.5032.1%9.1%32.2%12.7%32.4%2.2%1.2%199.2M-4.33B-25.2M0.698.66207,890144,3844,883,3742,648,704
2021-05-21$26.16$24.5031.8%9.0%32.2%11.6%32.1%2.4%1.5%206.3M-4.44B-25.6M0.562.98189,150106,3864,965,6342,731,422
2021-05-24$26.39$25.0030.6%8.4%32.2%7.6%30.1%2.1%-0.3%175.1M-4.24B-24.9M0.493.74259,688126,7984,376,1182,429,298
2021-05-25$25.84$25.0031.2%8.5%33.4%9.7%30.3%3.1%-0.4%157.8M-3.40B-25.0M0.502.13248,500125,1444,531,0082,489,042
2021-05-26$26.08$25.0030.6%8.3%31.3%7.7%29.4%4.1%-0.3%163.3M-3.72B-25.1M0.156.16370,15054,4424,538,0542,570,608
2021-05-27$26.06$25.0029.5%8.1%31.2%4.0%29.1%3.5%-0.7%159.9M-3.56B-23.5M0.312.21222,17669,5144,388,3522,598,204
2021-05-28$26.09$25.0028.2%7.7%29.4%0.0%26.8%3.1%-0.2%167.8M-3.62B-23.4M0.391.96150,11658,8944,446,5762,638,542