XLE Options History — March 2015

In March 2015, XLE traded between $37.31 and $39.40. ATM implied volatility averaged 21.9%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.0% (HV 20d: 15.9%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.23.

Notable Days

2015-03-16: Highest Volume — 635,886 contracts
2015-03-13: Largest IV spike — 58.0% change
2015-03-13: Highest IV Rank — 86.0%
2015-03-13: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.36	$37.31	$39.40	$39.24	$38.72
Max Pain	$38.81	$38.00	$40.00	$40.00	$38.75
ATM IV	21.9%	19.4%	33.8%	21.9%	20.7%
Expected Move	6.2%	5.4%	8.2%	6.6%	5.7%
HV 20d	15.9%	11.9%	21.7%	21.7%	16.7%
HV 60d	24.9%	23.0%	27.5%	27.5%	23.6%
IV Rank	42.2%	33.1%	86.0%	42.3%	37.7%
IV Percentile	61.3%	53.2%	95.6%	64.3%	53.6%
Term Structure	-1.1%	-29.2%	1.4%	0.4%	-0.2%
VWIV	22.4%	18.9%	25.9%	24.7%	20.8%
Skew 25d	3.1%	-16.0%	5.2%	4.7%	4.1%
Skew 10d	7.4%	-6.1%	11.1%	7.7%	7.7%
Call IV 25d	21.0%	17.5%	46.4%	19.6%	18.9%
Put IV 25d	24.1%	21.3%	30.4%	24.3%	23.0%
Bid-Ask Spread %	16.66	9.40	42.69	12.79	23.04
Gamma HHI	0.16	0.08	0.27	0.10	0.08
Net GEX	-111.5M	-192.9M	-23.7M	-67.8M	-58.6M
Net DEX	1.08B	173.0M	2.22B	714.8M	477.1M
Net VEX	-10.0M	-11.0M	-8.8M	-10.0M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.24	4.79	3.93	1.15
Total Volume	162,045.182	57,706	635,886	289,902	80,112
Total OI	2,280,616.455	1,735,050	2,714,198	2,269,804	1,877,698

Daily Data (22 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
2015-03-02	$39.24	$40.00	21.9%	6.6%	21.7%	42.3%	24.7%	4.7%	0.4%	-67.8M	714.8M	-10.0M	3.93	12.79	58,746	231,156	973,846	1,295,958
2015-03-03	$39.40	$40.00	21.0%	6.3%	21.6%	39.0%	23.6%	3.9%	-0.1%	-64.2M	685.2M	-10.4M	1.48	10.31	29,092	43,162	1,002,126	1,381,638
2015-03-04	$39.30	$40.00	21.3%	6.5%	18.7%	40.1%	22.8%	5.0%	-0.3%	-74.2M	708.0M	-10.2M	1.15	12.57	41,510	47,616	999,332	1,386,688
2015-03-05	$39.13	$39.00	21.5%	6.0%	15.9%	40.8%	21.1%	4.4%	-1.1%	-80.6M	848.2M	-10.1M	0.98	13.38	29,112	28,594	1,013,492	1,399,464
2015-03-06	$38.37	$39.00	22.4%	6.4%	16.1%	44.2%	23.5%	3.8%	-0.0%	-132.0M	1.38B	-9.7M	4.76	12.51	35,310	168,020	1,019,572	1,401,508
2015-03-09	$38.12	$39.00	22.8%	6.5%	15.1%	45.5%	24.1%	4.0%	0.0%	-136.5M	1.49B	-9.2M	2.95	12.22	32,916	96,972	1,003,106	1,369,572
2015-03-10	$37.83	$39.00	22.8%	6.6%	15.2%	45.5%	24.6%	3.8%	0.3%	-179.7M	1.86B	-9.0M	3.65	13.10	22,680	82,674	1,018,618	1,427,092
2015-03-11	$37.70	$39.00	23.3%	6.7%	15.0%	47.3%	23.7%	4.0%	-0.1%	-173.9M	1.90B	-9.5M	1.52	9.40	38,064	57,900	1,024,604	1,454,050
2015-03-12	$37.66	$39.00	21.4%	6.2%	15.0%	40.4%	22.1%	2.3%	0.2%	-192.9M	1.95B	-9.0M	3.18	11.13	14,688	46,656	1,037,564	1,461,666
2015-03-13	$37.31	$39.00	33.8%	8.2%	15.1%	86.0%	25.9%	-16.0%	-29.2%	-174.1M	2.22B	-8.8M	3.62	42.43	38,068	137,908	1,041,446	1,468,224
2015-03-16	$37.73	$38.50	22.7%	6.6%	14.8%	45.3%	23.2%	3.5%	-0.4%	-175.2M	1.81B	-9.1M	0.24	18.31	510,936	124,950	1,037,818	1,455,996
2015-03-17	$37.67	$38.50	22.2%	6.4%	11.9%	43.5%	23.6%	3.7%	0.3%	-179.3M	1.64B	-9.7M	4.79	10.89	37,534	179,948	1,085,462	1,459,474
2015-03-18	$38.51	$38.50	20.8%	6.0%	14.9%	38.3%	22.5%	5.2%	0.1%	-100.5M	790.8M	-10.2M	2.06	24.72	70,720	146,010	1,097,638	1,530,052
2015-03-19	$38.19	$38.00	21.3%	6.1%	14.7%	39.9%	22.0%	4.4%	0.4%	-116.1M	1.19B	-10.2M	1.56	16.80	90,302	141,272	1,109,462	1,604,736
2015-03-20	$38.44	$38.00	19.5%	5.6%	15.0%	33.5%	20.4%	2.9%	1.4%	-164.5M	1.08B	-10.1M	3.11	42.69	61,168	190,194	1,083,102	1,630,964
2015-03-23	$38.36	$38.00	19.4%	5.4%	15.0%	33.1%	19.2%	4.5%	0.6%	-60.7M	550.3M	-10.6M	1.48	15.90	26,822	39,676	661,492	1,073,558
2015-03-24	$38.03	$38.50	19.5%	5.5%	15.2%	33.6%	18.9%	3.9%	0.8%	-74.4M	735.2M	-10.5M	1.42	10.54	24,556	34,818	679,588	1,098,816
2015-03-25	$38.54	$38.50	20.2%	5.8%	15.8%	36.0%	20.3%	4.2%	0.6%	-47.3M	416.8M	-10.7M	0.93	17.06	66,198	61,324	693,940	1,112,360
2015-03-26	$38.52	$38.50	21.1%	6.0%	14.6%	39.3%	22.0%	4.2%	0.2%	-48.2M	445.7M	-11.0M	2.75	10.79	36,512	100,356	737,342	1,149,676
2015-03-27	$38.20	$38.50	21.2%	6.0%	14.8%	39.8%	22.4%	4.3%	0.4%	-127.9M	719.9M	-11.0M	1.56	15.67	30,606	47,760	741,064	1,175,062
2015-03-30	$39.00	$38.50	20.3%	5.7%	16.6%	36.3%	21.3%	4.3%	0.5%	-23.7M	173.0M	-10.8M	0.78	10.18	102,398	79,978	733,724	1,164,972
2015-03-31	$38.72	$38.75	20.7%	5.7%	16.7%	37.7%	20.8%	4.1%	-0.2%	-58.6M	477.1M	-10.4M	1.15	23.04	37,278	42,834	680,978	1,196,720