XLE Options History — September 2015

In September 2015, XLE traded between $29.87 and $32.67. ATM implied volatility averaged 31.5%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 5.4% (HV 20d: 37.0%). Max pain ranged from $32.00 to $36.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2015-09-17: Highest Volume — 195,714 contracts
2015-09-28: Largest IV spike — 13.5% change
2015-09-01: Highest IV Rank — 78.7%
2015-09-01: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.59	$29.87	$32.67	$31.98	$30.63
Max Pain	$32.45	$32.00	$36.50	$36.50	$32.00
ATM IV	31.5%	26.9%	38.0%	38.0%	31.0%
Expected Move	9.2%	7.7%	11.7%	11.7%	9.4%
HV 20d	37.0%	29.8%	40.6%	40.4%	31.0%
HV 60d	28.4%	27.2%	30.4%	27.2%	30.4%
IV Rank	56.8%	42.3%	78.7%	78.7%	55.1%
IV Percentile	87.7%	77.0%	99.2%	99.2%	85.7%
Term Structure	-0.2%	-1.1%	0.5%	0.2%	-0.3%
VWIV	32.3%	28.1%	42.0%	42.0%	31.9%
Skew 25d	7.2%	5.0%	10.3%	10.3%	5.8%
Skew 10d	14.0%	10.2%	18.5%	16.6%	13.0%
Call IV 25d	28.6%	24.9%	33.3%	33.3%	28.4%
Put IV 25d	35.8%	30.0%	43.5%	43.5%	34.2%
Bid-Ask Spread %	19.19	11.15	44.24	44.24	12.27
Gamma HHI	0.13	0.10	0.15	0.12	0.15
Net GEX	-66.7M	-83.6M	-52.0M	-67.7M	-58.2M
Net DEX	2.02B	1.32B	2.50B	2.30B	1.73B
Net VEX	-6.3M	-7.8M	-5.2M	-7.8M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.64	4.81	2.31	1.34
Total Volume	118,447.5	68,444	195,714	140,864	137,154
Total OI	2,027,681.2	1,468,418	2,330,450	2,289,038	1,655,896

Daily Data (20 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
2015-09-01	$31.98	$36.50	38.0%	11.7%	40.4%	78.7%	42.0%	10.3%	0.2%	-67.7M	2.30B	-7.8M	2.31	44.24	42,606	98,258	801,686	1,487,352
2015-09-02	$32.29	$36.50	35.2%	10.6%	40.6%	68.2%	37.5%	7.9%	0.0%	-61.6M	2.12B	-7.5M	1.27	42.41	58,256	73,716	809,366	1,384,678
2015-09-03	$32.48	$32.00	32.8%	9.1%	40.1%	60.7%	33.4%	9.7%	-0.0%	-58.6M	2.07B	-7.6M	1.44	20.87	52,638	75,552	832,838	1,413,008
2015-09-04	$32.00	$32.00	34.0%	9.7%	39.9%	64.4%	35.7%	9.7%	0.1%	-61.0M	2.25B	-7.4M	1.25	19.82	55,594	69,376	847,634	1,428,184
2015-09-08	$32.40	$32.00	33.6%	9.1%	38.1%	63.1%	34.8%	7.6%	-1.0%	-70.1M	2.14B	-7.2M	4.81	17.50	23,780	114,358	837,392	1,411,490
2015-09-09	$31.77	$32.00	33.8%	9.3%	38.5%	63.6%	32.3%	9.2%	-1.1%	-76.4M	2.40B	-6.9M	1.29	16.17	45,352	58,370	850,134	1,445,834
2015-09-10	$31.94	$32.00	31.8%	9.1%	37.8%	57.4%	32.1%	7.9%	0.2%	-75.2M	2.28B	-6.5M	1.27	16.51	47,122	59,946	856,762	1,389,130
2015-09-11	$31.61	$32.00	32.1%	9.2%	37.8%	58.4%	32.4%	6.3%	-0.7%	-83.6M	2.42B	-6.3M	1.12	13.19	51,704	57,846	865,532	1,392,988
2015-09-14	$31.38	$32.00	32.4%	9.2%	37.8%	59.3%	30.9%	6.8%	-0.4%	-80.4M	2.49B	-6.0M	0.66	13.47	55,012	36,288	839,942	1,385,850
2015-09-15	$31.76	$32.00	29.9%	8.6%	38.2%	51.7%	30.8%	6.2%	-0.3%	-83.3M	2.33B	-6.1M	0.89	13.87	47,870	42,492	855,360	1,391,334
2015-09-16	$32.67	$32.00	27.4%	7.8%	39.9%	43.7%	29.2%	6.2%	0.1%	-73.2M	1.88B	-6.2M	0.75	13.83	77,566	57,838	889,506	1,403,000
2015-09-17	$32.59	$32.00	26.9%	7.7%	38.5%	42.3%	28.1%	5.0%	0.2%	-73.7M	1.88B	-6.2M	0.64	42.89	119,472	76,242	918,222	1,404,536
2015-09-18	$31.50	$32.00	29.4%	8.4%	39.7%	50.1%	29.0%	7.1%	-0.3%	-74.8M	2.50B	-5.8M	0.78	20.35	58,370	45,494	917,032	1,413,418
2015-09-21	$31.73	$32.00	27.4%	7.9%	37.9%	43.9%	28.3%	6.3%	0.3%	-57.6M	1.32B	-5.8M	0.99	11.74	34,338	34,106	518,062	950,356
2015-09-23	$31.00	$32.00	29.4%	8.6%	34.5%	49.9%	30.6%	6.6%	0.0%	-57.5M	1.52B	-5.5M	2.22	11.15	36,294	80,438	544,872	967,150
2015-09-24	$31.13	$32.00	30.0%	8.9%	34.2%	52.0%	30.1%	6.2%	-0.1%	-58.8M	1.52B	-5.6M	0.69	13.61	86,694	59,990	558,452	995,102
2015-09-25	$31.16	$32.00	29.3%	8.7%	33.5%	49.7%	30.9%	6.6%	0.5%	-55.5M	1.53B	-5.8M	1.20	14.15	53,374	63,966	605,442	1,021,534
2015-09-28	$29.96	$32.00	33.3%	10.1%	31.4%	62.1%	33.3%	6.5%	-0.4%	-52.0M	1.86B	-5.2M	1.22	13.28	45,546	55,510	576,240	1,041,644
2015-09-29	$29.87	$32.00	33.1%	10.0%	29.8%	61.7%	33.6%	6.6%	-0.3%	-54.9M	1.92B	-5.2M	1.00	12.41	40,156	40,266	587,226	1,059,440
2015-09-30	$30.63	$32.00	31.0%	9.4%	31.0%	55.1%	31.9%	5.8%	-0.3%	-58.2M	1.73B	-5.4M	1.34	12.27	58,610	78,544	596,640	1,059,256