XLE Options History — October 2014

In October 2014, XLE traded between $40.30 and $44.38. ATM implied volatility averaged 25.4%, placing in the 78.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.4% (HV 20d: 22.0%). Max pain ranged from $45.00 to $45.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 2.03.

Notable Days

2014-10-13: Highest Volume — 674,380 contracts
2014-10-09: Largest IV spike — 19.8% change
2014-10-09: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.58	$40.30	$44.38	$44.38	$43.74
Max Pain	$45.07	$45.00	$45.50	$45.50	$45.00
ATM IV	25.4%	20.5%	34.1%	20.5%	22.4%
Expected Move	6.5%	5.7%	7.7%	5.7%	6.3%
HV 20d	22.0%	13.8%	29.4%	15.1%	29.4%
HV 60d	17.3%	14.4%	20.0%	14.7%	20.0%
IV Rank	78.6%	51.7%	100.0%	88.3%	51.7%
IV Percentile	97.8%	93.7%	100.0%	99.2%	93.7%
Term Structure	-0.5%	-2.0%	0.5%	-0.1%	-1.6%
VWIV	23.1%	20.0%	28.4%	20.3%	21.5%
Skew 25d	5.6%	3.7%	10.1%	4.3%	5.7%
Skew 10d	10.9%	6.0%	22.7%	7.9%	11.5%
Call IV 25d	23.0%	18.9%	30.5%	19.0%	20.8%
Put IV 25d	28.6%	23.0%	40.1%	23.3%	26.6%
Bid-Ask Spread %	24.18	18.05	40.33	20.76	20.24
Gamma HHI	0.12	0.07	0.44	0.11	0.08
Net GEX	-166.4M	-448.6M	-101.3M	-189.8M	-143.9M
Net DEX	2.86B	1.05B	4.82B	2.67B	1.05B
Net VEX	-11.3M	-13.3M	-9.4M	-9.6M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.03	0.44	7.53	4.53	0.93
Total Volume	254,487.826	72,682	674,380	209,432	162,774
Total OI	2,478,854.261	1,709,408	2,991,222	1,709,408	2,991,222

Daily Data (23 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
2014-10-01	$44.38	$45.50	20.5%	5.7%	15.1%	88.3%	20.3%	4.3%	-0.1%	-189.8M	2.67B	-9.6M	4.53	20.76	37,866	171,566	392,540	1,316,868
2014-10-02	$44.16	$45.50	20.9%	5.8%	14.8%	90.9%	20.0%	3.7%	-0.1%	-192.1M	2.90B	-9.9M	2.18	19.93	62,756	136,582	412,330	1,445,874
2014-10-03	$44.09	$45.50	21.1%	5.8%	14.2%	93.1%	20.3%	4.1%	-0.6%	-194.2M	2.97B	-10.2M	0.44	19.50	146,040	63,584	437,390	1,502,730
2014-10-06	$44.10	$45.00	20.8%	5.7%	13.8%	90.4%	21.5%	4.1%	-0.5%	-173.3M	2.83B	-10.1M	1.14	18.05	77,498	88,234	541,104	1,499,954
2014-10-07	$43.62	$45.00	21.9%	5.9%	14.0%	99.2%	20.5%	4.2%	-0.1%	-153.2M	3.17B	-10.2M	1.15	18.28	33,866	38,816	597,584	1,535,230
2014-10-08	$44.01	$45.00	21.1%	5.8%	14.8%	92.5%	20.8%	4.7%	-0.4%	-152.1M	2.94B	-10.3M	1.20	19.04	128,604	154,034	619,514	1,539,444
2014-10-09	$42.31	$45.00	25.2%	6.2%	19.3%	100.0%	21.0%	4.8%	-0.2%	-141.8M	3.84B	-9.8M	0.70	20.23	84,586	59,202	659,050	1,584,490
2014-10-10	$41.66	$45.00	28.9%	6.9%	19.4%	100.0%	23.0%	5.1%	0.3%	-122.1M	4.18B	-9.4M	1.48	31.26	140,336	207,874	704,352	1,601,542
2014-10-13	$40.48	$45.00	34.1%	7.5%	20.3%	100.0%	26.2%	5.6%	-0.4%	-101.3M	4.32B	-9.4M	7.53	38.51	79,062	595,318	717,892	1,630,110
2014-10-14	$40.98	$45.00	32.3%	7.3%	20.4%	92.3%	25.0%	7.4%	-1.2%	-137.5M	4.82B	-10.8M	2.40	25.08	60,520	145,424	757,410	1,914,864
2014-10-15	$40.30	$45.00	33.9%	7.7%	20.6%	99.1%	26.4%	10.1%	-2.0%	-137.2M	4.74B	-10.7M	1.62	29.62	186,712	302,766	800,566	1,881,464
2014-10-16	$41.00	$45.00	32.8%	7.6%	22.5%	94.7%	28.4%	8.0%	-1.2%	-125.6M	4.15B	-11.7M	1.04	40.33	150,692	156,440	900,100	1,942,736
2014-10-17	$41.35	$45.00	30.0%	7.2%	23.1%	83.2%	24.3%	7.1%	-1.5%	-118.4M	3.86B	-12.0M	0.89	29.11	128,640	114,542	960,706	2,003,452
2014-10-20	$41.74	$45.00	26.6%	6.9%	23.5%	68.8%	24.1%	6.1%	-0.3%	-138.4M	2.39B	-11.9M	0.62	23.39	109,256	68,146	738,476	1,606,218
2014-10-21	$42.88	$45.00	23.3%	6.5%	26.1%	55.2%	23.2%	5.3%	0.4%	-117.1M	1.56B	-12.1M	0.64	25.32	111,616	71,062	787,572	1,629,282
2014-10-22	$42.14	$45.00	24.8%	6.9%	26.5%	61.2%	23.9%	5.9%	-0.7%	-134.9M	2.02B	-12.2M	2.84	28.33	80,128	227,418	833,738	1,661,526
2014-10-23	$42.92	$45.00	23.3%	6.5%	27.4%	55.1%	22.8%	4.3%	-0.7%	-141.0M	1.51B	-12.6M	1.80	21.70	61,772	111,260	860,824	1,750,112
2014-10-24	$42.80	$45.00	24.3%	6.5%	26.8%	59.2%	23.5%	5.4%	-0.4%	-448.6M	1.65B	-12.3M	4.58	20.10	104,542	478,750	867,278	1,777,138
2014-10-27	$41.90	$45.00	26.0%	6.8%	27.5%	66.4%	25.4%	6.1%	-1.0%	-198.0M	2.72B	-13.3M	4.11	21.15	42,592	175,072	842,422	1,973,248
2014-10-28	$42.85	$45.00	23.4%	6.3%	28.9%	55.6%	24.8%	5.6%	-0.2%	-188.1M	1.92B	-13.1M	1.11	19.59	59,416	65,668	845,658	2,040,798
2014-10-29	$43.02	$45.00	23.3%	6.3%	28.3%	55.0%	22.0%	6.1%	-0.2%	-183.9M	1.75B	-13.3M	1.76	26.66	84,772	149,186	863,074	2,073,622
2014-10-30	$42.83	$45.00	23.2%	6.4%	28.2%	54.9%	22.2%	4.8%	0.5%	-195.4M	1.93B	-13.2M	1.99	19.88	46,212	92,018	902,048	2,070,096
2014-10-31	$43.74	$45.00	22.4%	6.3%	29.4%	51.7%	21.5%	5.7%	-1.6%	-143.9M	1.05B	-12.8M	0.93	20.24	84,168	78,606	906,176	2,085,046