XLE Options History — February 2015

In February 2015, XLE traded between $38.95 and $41.13. ATM implied volatility averaged 24.8%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.9% (HV 20d: 27.8%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 7 of 18 trading days. Term structure was in contango for 9 of 18 days. Put/call ratio averaged 1.54.

Notable Days

2015-02-03: Highest Volume — 532,444 contracts
2015-02-25: Largest IV drop — 11.7% change
2015-02-04: Highest IV Rank — 65.8%
2015-02-04: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.05	$38.95	$41.13	$38.95	$39.53
Max Pain	$39.49	$38.00	$40.00	$38.00	$40.00
ATM IV	24.8%	20.7%	28.3%	27.4%	21.9%
Expected Move	7.3%	6.0%	8.3%	7.8%	6.4%
HV 20d	27.8%	21.4%	33.0%	33.0%	21.4%
HV 60d	30.7%	27.5%	31.2%	30.5%	27.5%
IV Rank	53.1%	37.7%	65.8%	62.3%	42.1%
IV Percentile	77.3%	61.1%	88.5%	87.3%	63.9%
Term Structure	0.1%	-0.9%	1.7%	-0.1%	-0.9%
VWIV	26.6%	21.0%	30.1%	28.4%	24.5%
Skew 25d	5.1%	3.2%	6.5%	6.2%	3.2%
Skew 10d	10.2%	6.5%	13.7%	13.7%	6.5%
Call IV 25d	22.7%	19.0%	25.5%	25.5%	20.7%
Put IV 25d	27.8%	23.1%	31.7%	31.7%	23.9%
Bid-Ask Spread %	12.49	9.81	21.46	21.46	9.81
Gamma HHI	0.09	0.07	0.13	0.09	0.13
Net GEX	-5.4M	-97.8M	46.6M	-45.1M	-97.8M
Net DEX	-16.0M	-715.9M	646.0M	646.0M	448.6M
Net VEX	-11.1M	-12.3M	-9.4M	-9.4M	-10.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.34	3.46	1.39	3.46
Total Volume	157,810.444	93,386	532,444	124,656	143,318
Total OI	2,372,489.444	1,912,856	2,622,430	1,912,856	2,276,326

Daily Data (18 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
2015-02-02	$38.95	$38.00	27.4%	7.8%	33.0%	62.3%	28.4%	6.2%	-0.1%	-45.1M	646.0M	-9.4M	1.39	21.46	52,054	72,602	692,222	1,220,634
2015-02-03	$40.01	$38.25	26.4%	7.8%	30.5%	58.8%	28.4%	6.0%	0.5%	-19.6M	161.4M	-9.7M	0.34	11.51	396,248	136,196	711,614	1,273,838
2015-02-04	$39.29	$38.50	28.3%	8.3%	30.7%	65.8%	30.0%	5.7%	-0.5%	-20.7M	331.9M	-12.0M	1.36	13.18	92,194	124,960	1,010,342	1,360,542
2015-02-05	$39.88	$39.50	27.0%	7.8%	31.0%	60.8%	30.1%	6.2%	-0.2%	-998.8K	-49.3M	-12.3M	1.05	12.29	67,782	71,008	1,038,936	1,409,114
2015-02-06	$39.84	$39.50	26.9%	7.8%	30.2%	60.7%	28.7%	4.3%	0.2%	-2.6M	-67.2M	-12.0M	1.55	13.49	63,382	98,326	1,053,872	1,419,892
2015-02-09	$39.95	$39.50	26.6%	7.8%	30.0%	59.5%	27.7%	4.5%	0.9%	-2.0M	-35.2M	-11.9M	1.57	12.26	52,918	83,100	1,013,494	1,388,984
2015-02-10	$39.94	$39.50	26.2%	7.7%	27.7%	57.9%	27.8%	6.5%	0.4%	-6.1M	40.6M	-11.8M	1.84	12.33	49,172	90,588	1,020,648	1,423,156
2015-02-11	$39.65	$39.50	26.1%	7.8%	27.5%	57.8%	27.1%	6.0%	0.6%	-19.3M	221.6M	-11.8M	1.56	13.43	39,904	62,120	1,030,738	1,456,480
2015-02-12	$40.18	$39.50	24.1%	7.2%	27.7%	50.4%	26.1%	4.3%	1.7%	11.9M	-180.3M	-11.4M	1.38	11.57	55,724	76,920	1,034,566	1,461,948
2015-02-13	$41.02	$39.50	22.9%	6.8%	27.5%	46.0%	27.3%	5.3%	0.9%	46.6M	-685.8M	-11.6M	1.48	11.29	64,250	95,072	1,049,406	1,487,880
2015-02-17	$41.13	$39.50	25.0%	7.2%	25.9%	53.5%	25.2%	5.2%	-0.7%	43.8M	-715.9M	-11.2M	1.63	11.22	49,890	81,228	1,029,736	1,476,476
2015-02-18	$40.63	$40.00	24.9%	7.1%	26.5%	53.4%	26.6%	4.9%	-0.3%	27.1M	-386.5M	-11.2M	1.70	11.43	34,602	58,784	1,031,304	1,507,114
2015-02-19	$40.42	$40.00	23.8%	6.9%	26.0%	49.2%	26.0%	4.4%	-0.4%	24.9M	-260.1M	-10.9M	2.55	11.64	47,254	120,290	1,030,294	1,525,576
2015-02-20	$40.27	$40.00	23.3%	6.7%	26.1%	47.4%	25.0%	4.7%	0.2%	1.3M	-133.1M	-10.7M	1.35	15.20	52,732	71,078	1,042,290	1,580,140
2015-02-23	$40.09	$40.00	23.4%	6.8%	26.1%	47.8%	24.3%	4.0%	-0.4%	-11.5M	112.8M	-10.9M	0.92	11.98	57,048	52,714	957,700	1,216,540
2015-02-25	$40.41	$40.00	20.7%	6.0%	25.7%	37.7%	21.0%	4.1%	-0.5%	8.9M	-139.2M	-10.0M	1.09	10.45	47,174	51,206	972,614	1,249,982
2015-02-26	$39.69	$40.00	22.3%	6.6%	26.7%	43.8%	24.1%	5.4%	0.0%	-35.8M	401.1M	-10.4M	1.49	10.36	51,708	77,042	991,650	1,258,762
2015-02-27	$39.53	$40.00	21.9%	6.4%	21.4%	42.1%	24.5%	3.2%	-0.9%	-97.8M	448.6M	-10.1M	3.46	9.81	32,136	111,182	998,214	1,278,112