XLE Options History — July 2015 In July 2015, XLE traded between $34.26 and $37.27. ATM implied volatility averaged 19.6%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.2% (HV 20d: 16.4%). Max pain ranged from $36.75 to $39.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.73.
Notable Days 2015-07-07 : Highest Volume — 231,316 contracts2015-07-28 : Largest IV drop — 13.8% change2015-07-27 : Highest IV Rank — 50.4%2015-07-27 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $36.11 $34.26 $37.27 $37.09 $34.66 Max Pain $37.58 $36.75 $39.00 $39.00 $36.75 ATM IV 19.6% 16.6% 24.1% 18.3% 21.1% Expected Move 5.7% 4.8% 7.1% 5.6% 6.0% HV 20d 16.4% 13.7% 21.0% 14.2% 21.0% HV 60d 14.3% 13.3% 16.4% 14.3% 16.4% IV Rank 33.7% 22.9% 50.4% 29.1% 39.2% IV Percentile 46.5% 23.8% 73.0% 43.7% 54.8% Term Structure -0.2% -0.5% 0.3% 0.1% -0.0% VWIV 20.4% 16.8% 24.2% 19.5% 20.8% Skew 25d 3.9% 2.8% 4.8% 3.9% 3.8% Skew 10d 7.5% 6.1% 9.2% 7.6% 7.0% Call IV 25d 18.1% 15.6% 22.1% 16.7% 19.6% Put IV 25d 22.0% 18.6% 26.6% 20.6% 23.5% Bid-Ask Spread % 11.05 8.16 14.76 9.96 9.19 Gamma HHI 0.13 0.08 0.41 0.10 0.09 Net GEX -95.4M -194.9M -54.5M -79.8M -72.8M Net DEX 1.42B 1.08B 1.90B 1.21B 1.76B Net VEX -6.9M -7.5M -6.3M -7.2M -6.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.73 0.58 3.52 2.01 1.12 Total Volume 142,681.909 88,458 231,316 124,626 165,360 Total OI 1,515,150.636 1,358,418 1,676,856 1,358,418 1,676,856
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 2015-07-01 $37.09 $39.00 18.3% 5.6% 14.2% 29.1% 19.5% 3.9% 0.1% -79.8M 1.21B -7.2M 2.01 9.96 41,386 83,240 515,772 842,646 2015-07-02 $37.27 $39.00 18.0% 5.5% 13.7% 28.0% 19.3% 3.7% 0.3% -71.6M 1.18B -7.3M 1.81 8.69 34,642 62,868 533,796 866,198 2015-07-06 $36.74 $38.00 19.6% 5.6% 13.9% 33.9% 21.7% 4.4% -0.1% -91.4M 1.33B -7.0M 3.52 14.08 32,546 114,462 509,620 868,592 2015-07-07 $37.09 $38.00 19.4% 5.5% 14.5% 33.1% 20.3% 3.7% -0.2% -92.5M 1.20B -7.2M 2.94 13.43 58,658 172,658 513,844 900,890 2015-07-08 $36.43 $38.00 21.4% 6.1% 15.6% 40.3% 23.3% 4.6% -0.2% -120.3M 1.56B -7.4M 2.33 13.71 51,922 120,734 525,514 973,620 2015-07-09 $36.62 $38.00 20.8% 6.1% 15.0% 38.4% 21.9% 4.2% -0.0% -110.7M 1.40B -7.5M 2.13 8.16 47,644 101,588 552,748 977,568 2015-07-10 $36.78 $38.00 19.7% 5.6% 15.2% 34.3% 20.8% 4.8% -0.5% -194.9M 1.38B -7.4M 2.37 14.07 42,260 100,090 567,892 1,014,022 2015-07-13 $37.02 $38.00 17.7% 5.1% 15.3% 26.7% 19.7% 3.1% -0.1% -101.0M 1.21B -7.1M 1.28 14.76 41,480 53,228 542,706 954,094 2015-07-14 $37.27 $38.00 16.6% 4.8% 15.6% 22.9% 18.0% 2.8% -0.1% -87.9M 1.08B -7.1M 1.15 11.93 41,074 47,384 554,162 965,528 2015-07-15 $36.62 $38.00 18.3% 5.3% 16.3% 28.9% 18.7% 3.6% -0.2% -116.4M 1.36B -6.9M 2.18 9.42 39,552 86,148 566,282 969,980 2015-07-16 $36.67 $38.00 16.8% 4.8% 16.3% 23.6% 16.8% 3.6% -0.0% -157.6M 1.38B -6.8M 1.19 11.19 62,136 74,236 576,996 1,013,646 2015-07-17 $36.22 $37.00 17.8% 5.1% 16.7% 27.1% 17.2% 3.3% 0.2% -161.2M 1.57B -6.7M 0.81 8.94 77,956 63,436 605,538 1,000,930 2015-07-20 $35.73 $37.00 19.0% 5.4% 16.6% 31.5% 19.0% 4.0% -0.4% -54.5M 1.32B -6.3M 1.19 12.13 59,822 71,086 535,010 826,080 2015-07-21 $35.74 $37.00 19.2% 5.5% 15.9% 32.5% 20.2% 3.7% -0.3% -59.1M 1.36B -6.5M 1.35 9.69 65,954 89,272 542,366 856,820 2015-07-22 $35.45 $37.00 20.0% 5.7% 15.8% 35.2% 20.4% 4.0% -0.5% -70.1M 1.50B -6.5M 1.16 10.68 50,450 58,312 562,560 902,010 2015-07-23 $35.41 $37.00 20.2% 5.8% 15.8% 35.9% 20.2% 3.8% -0.4% -71.2M 1.52B -6.7M 1.69 11.57 37,402 63,318 580,708 928,486 2015-07-24 $34.76 $37.00 22.8% 6.6% 16.5% 45.7% 23.2% 4.5% -0.4% -74.5M 1.76B -6.5M 3.04 13.60 55,732 169,378 588,810 954,906 2015-07-27 $34.26 $37.00 24.1% 7.1% 16.6% 50.4% 24.2% 4.5% -0.4% -76.9M 1.90B -6.4M 1.78 8.24 60,746 107,994 574,140 986,240 2015-07-28 $35.26 $37.00 20.8% 6.0% 19.9% 38.2% 22.1% 4.3% 0.0% -85.0M 1.56B -7.0M 1.37 8.33 64,562 88,362 593,296 1,022,882 2015-07-29 $35.73 $37.00 19.4% 5.6% 20.4% 33.1% 21.4% 3.5% 0.1% -75.8M 1.33B -7.2M 1.03 11.62 77,756 80,110 607,300 1,024,740 2015-07-30 $35.47 $37.00 19.3% 5.6% 19.9% 32.8% 19.4% 3.5% -0.5% -74.7M 1.41B -7.0M 0.58 9.63 77,140 44,918 631,128 1,026,392 2015-07-31 $34.66 $36.75 21.1% 6.0% 21.0% 39.2% 20.8% 3.8% -0.0% -72.8M 1.76B -6.6M 1.12 9.19 78,050 87,310 639,820 1,037,036
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