XLE Options History — June 2014

In June 2014, XLE traded between $47.58 and $50.65. ATM implied volatility averaged 12.7%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.2% (HV 20d: 8.5%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 4.35.

Notable Days

2014-06-12: Highest Volume — 519,396 contracts
2014-06-24: Largest IV spike — 16.1% change
2014-06-24: Highest IV Rank — 33.2%
2014-06-05: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.18	$47.58	$50.65	$47.58	$50.10
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	12.7%	11.5%	13.9%	12.4%	13.6%
Expected Move	4.8%	4.7%	5.0%	5.0%	4.8%
HV 20d	8.5%	5.9%	10.9%	9.7%	10.6%
HV 60d	10.5%	10.0%	11.0%	10.8%	11.0%
IV Rank	22.2%	12.5%	33.2%	19.4%	30.0%
IV Percentile	10.2%	0.4%	32.9%	2.8%	22.2%
Term Structure	0.2%	-0.2%	0.9%	0.3%	0.1%
VWIV	17.6%	15.7%	19.4%	17.5%	18.4%
Skew 25d	2.8%	2.1%	3.3%	3.0%	2.7%
Skew 10d	5.8%	4.4%	7.1%	6.0%	5.1%
Call IV 25d	11.8%	10.5%	13.0%	11.4%	12.5%
Put IV 25d	14.6%	13.4%	16.1%	14.4%	15.2%
Bid-Ask Spread %	13.03	9.18	21.19	9.72	11.89
Gamma HHI	0.17	0.13	0.22	0.18	0.15
Net GEX	-100.1M	-316.2M	-33.6M	-84.3M	-132.0M
Net DEX	-496.2M	-1.21B	427.6M	-443.7M	186.9M
Net VEX	-7.4M	-9.6M	-6.2M	-6.2M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.35	0.50	16.15	7.52	7.25
Total Volume	110,950.952	24,542	519,396	52,272	54,178
Total OI	1,913,370.857	1,572,636	2,300,488	1,572,636	1,943,534

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-06-02	$47.58	$44.00	12.4%	5.0%	9.7%	19.4%	17.5%	3.0%	0.3%	-84.3M	-443.7M	-6.2M	7.52	9.72	6,134	46,138	428,000	1,144,636
2014-06-03	$47.79	$44.00	12.7%	5.0%	9.7%	21.6%	17.7%	3.3%	-0.1%	-76.1M	-531.3M	-6.2M	4.45	12.11	22,536	100,178	428,194	1,166,168
2014-06-04	$47.73	$44.00	12.7%	4.9%	9.7%	21.5%	18.2%	3.2%	-0.1%	-102.6M	-373.1M	-7.2M	0.69	9.18	28,636	19,806	442,990	1,253,322
2014-06-05	$48.00	$44.00	12.4%	5.0%	9.6%	19.4%	15.7%	3.0%	0.2%	-75.3M	-595.2M	-6.8M	6.50	11.41	9,530	61,970	468,098	1,266,428
2014-06-06	$48.44	$44.00	11.7%	4.9%	8.3%	13.5%	16.2%	3.0%	0.2%	-61.7M	-816.2M	-6.5M	1.10	11.75	26,060	28,654	471,890	1,314,590
2014-06-09	$48.51	$44.00	11.8%	4.9%	8.2%	14.8%	18.0%	2.6%	0.2%	-61.2M	-815.8M	-6.2M	1.13	15.11	11,520	13,022	472,606	1,314,700
2014-06-10	$48.44	$44.00	11.6%	4.9%	8.1%	13.3%	17.5%	2.8%	0.4%	-63.5M	-799.7M	-6.5M	9.10	17.75	4,730	43,020	478,204	1,322,182
2014-06-11	$48.59	$44.00	11.7%	4.9%	8.0%	14.1%	17.5%	3.1%	-0.2%	-42.3M	-938.1M	-6.2M	2.02	10.88	9,214	18,594	479,042	1,321,052
2014-06-12	$48.73	$44.00	12.9%	5.0%	8.0%	23.3%	19.4%	2.5%	0.5%	-33.6M	-990.7M	-6.2M	8.39	14.73	55,320	464,076	480,984	1,334,222
2014-06-13	$49.23	$44.00	13.1%	4.8%	6.9%	25.9%	16.9%	2.8%	0.8%	-76.7M	-886.0M	-7.4M	3.97	21.19	41,670	165,364	514,906	1,574,364
2014-06-16	$49.51	$44.00	13.6%	4.8%	6.7%	30.5%	16.6%	3.1%	-0.0%	-90.0M	-850.3M	-8.3M	1.48	13.37	23,684	34,992	527,200	1,729,006
2014-06-17	$49.47	$44.00	13.3%	4.8%	6.8%	27.8%	17.3%	2.8%	0.0%	-97.9M	-836.2M	-8.0M	1.80	12.23	16,262	29,346	529,504	1,742,090
2014-06-18	$49.85	$44.00	12.8%	4.7%	6.8%	24.2%	17.4%	2.7%	0.5%	-70.0M	-1.10B	-7.7M	3.65	16.76	17,928	65,436	536,334	1,762,434
2014-06-19	$50.23	$44.00	11.8%	4.8%	6.4%	15.1%	18.1%	2.2%	0.4%	-54.1M	-1.21B	-7.2M	0.50	13.95	63,036	31,618	514,118	1,786,370
2014-06-20	$50.49	$44.00	11.5%	4.8%	6.3%	12.5%	17.2%	2.9%	0.9%	-60.2M	-398.6M	-7.2M	1.27	13.28	55,556	70,830	341,100	1,795,616
2014-06-23	$50.65	$44.00	12.0%	4.7%	5.9%	17.1%	17.5%	2.1%	0.5%	-36.1M	-489.8M	-6.4M	1.72	11.64	37,170	63,872	324,524	1,325,808
2014-06-24	$49.56	$44.00	13.9%	4.8%	10.7%	33.2%	17.4%	2.8%	-0.1%	-145.9M	273.6M	-8.3M	9.18	11.24	26,950	247,440	346,358	1,375,668
2014-06-25	$49.95	$44.00	13.5%	4.7%	10.9%	29.8%	17.9%	2.8%	0.1%	-209.0M	386.7M	-9.2M	16.15	11.02	11,400	184,120	365,696	1,585,514
2014-06-26	$49.97	$44.00	13.6%	4.8%	10.8%	30.3%	19.1%	2.6%	0.1%	-213.9M	373.7M	-9.2M	2.22	11.95	14,568	32,282	350,518	1,621,670
2014-06-27	$49.98	$44.00	13.4%	4.8%	10.7%	28.8%	18.9%	3.2%	0.3%	-316.2M	427.6M	-9.6M	1.36	12.40	30,972	42,158	360,116	1,641,032
2014-06-30	$50.10	$44.00	13.6%	4.8%	10.6%	30.0%	18.4%	2.7%	0.1%	-132.0M	186.9M	-8.6M	7.25	11.89	6,568	47,610	346,888	1,596,646