XLE Options History — October 2015

In October 2015, XLE traded between $30.55 and $34.70. ATM implied volatility averaged 24.8%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 6.6% (HV 20d: 31.3%). Max pain ranged from $30.50 to $33.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2015-10-06: Highest Volume — 222,822 contracts
2015-10-02: Largest IV drop — 9.4% change
2015-10-01: Highest IV Rank — 56.6%
2015-10-01: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.65	$30.55	$34.70	$30.55	$34.10
Max Pain	$32.77	$30.50	$33.50	$32.00	$33.50
ATM IV	24.8%	22.4%	31.5%	31.5%	22.5%
Expected Move	7.2%	6.5%	9.7%	9.7%	6.5%
HV 20d	31.3%	24.6%	34.1%	27.9%	24.6%
HV 60d	32.6%	30.3%	33.2%	30.3%	32.7%
IV Rank	35.6%	28.2%	56.6%	56.6%	28.5%
IV Percentile	60.3%	43.3%	86.5%	86.5%	44.8%
Term Structure	-0.0%	-0.7%	0.8%	-0.7%	0.8%
VWIV	25.9%	21.4%	32.0%	32.0%	23.2%
Skew 25d	4.7%	3.8%	6.1%	6.1%	3.8%
Skew 10d	9.6%	7.4%	13.3%	12.0%	7.4%
Call IV 25d	22.8%	20.5%	28.8%	28.8%	20.5%
Put IV 25d	27.5%	24.3%	34.9%	34.9%	24.3%
Bid-Ask Spread %	13.70	9.95	18.80	11.74	14.74
Gamma HHI	0.10	0.07	0.18	0.15	0.10
Net GEX	-16.0M	-67.7M	2.9M	-65.6M	-6.6M
Net DEX	637.5M	229.1M	1.57B	1.57B	542.3M
Net VEX	-6.2M	-6.8M	-5.5M	-5.5M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.33	3.09	0.71	0.60
Total Volume	117,025.091	73,256	222,822	73,256	132,158
Total OI	1,660,361.364	1,484,724	1,856,606	1,585,126	1,657,398

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
2015-10-01	$30.55	$32.00	31.5%	9.7%	27.9%	56.6%	32.0%	6.1%	-0.7%	-65.6M	1.57B	-5.5M	0.71	11.74	42,862	30,394	567,896	1,017,230
2015-10-02	$31.88	$32.00	28.6%	8.2%	31.9%	47.4%	30.3%	5.2%	-0.2%	-67.7M	1.08B	-5.9M	0.63	14.11	62,844	39,606	587,674	1,021,776
2015-10-05	$32.83	$30.50	27.2%	7.8%	33.6%	43.2%	27.3%	5.9%	0.2%	-23.8M	770.0M	-5.9M	0.91	18.80	46,320	42,144	570,558	954,776
2015-10-06	$33.64	$31.00	26.5%	7.5%	34.1%	40.8%	31.6%	5.5%	-0.1%	-10.7M	522.9M	-6.0M	3.09	15.93	54,432	168,390	588,116	976,390
2015-10-07	$33.99	$32.00	26.5%	7.6%	34.0%	41.0%	27.0%	5.2%	-0.3%	-16.0M	488.4M	-6.6M	0.74	18.15	119,538	87,890	603,226	1,101,606
2015-10-08	$34.70	$32.50	24.9%	7.1%	33.5%	36.0%	27.2%	4.9%	-0.1%	-4.6M	229.1M	-6.8M	1.04	15.96	65,186	67,630	655,420	1,147,650
2015-10-09	$34.48	$32.50	24.9%	7.2%	33.7%	35.8%	26.0%	4.2%	-0.2%	-16.5M	288.1M	-6.6M	0.83	15.00	57,516	47,616	662,860	1,158,258
2015-10-12	$33.99	$32.50	25.1%	7.2%	34.0%	36.5%	26.9%	5.0%	-0.0%	-6.0M	488.3M	-6.4M	0.77	14.21	47,130	36,140	643,696	1,100,944
2015-10-13	$33.68	$33.00	25.2%	7.2%	34.1%	36.8%	26.0%	5.1%	-0.0%	-11.9M	610.9M	-6.4M	0.61	12.19	48,476	29,392	646,540	1,115,642
2015-10-14	$33.91	$33.00	24.8%	7.1%	33.9%	35.7%	27.0%	4.8%	-0.1%	-5.9M	520.8M	-6.3M	1.26	13.67	52,294	65,760	653,730	1,125,392
2015-10-15	$34.55	$33.00	23.6%	6.8%	33.2%	32.0%	25.0%	4.9%	0.4%	2.9M	319.9M	-6.4M	0.43	13.53	99,978	42,742	663,440	1,156,678
2015-10-16	$34.58	$33.00	22.8%	6.5%	33.1%	29.3%	24.2%	4.0%	0.1%	-4.2M	239.4M	-6.5M	0.90	13.98	62,522	56,290	685,678	1,170,928
2015-10-19	$33.94	$33.00	23.4%	6.7%	31.3%	31.4%	24.1%	4.5%	-0.6%	-16.3M	671.1M	-6.1M	0.49	12.30	72,298	35,602	595,270	889,454
2015-10-20	$33.91	$33.25	23.4%	6.7%	31.3%	31.4%	25.7%	4.3%	-0.6%	-15.8M	658.6M	-6.3M	0.33	12.23	80,450	26,866	621,024	901,870
2015-10-21	$33.58	$33.25	24.0%	6.9%	30.1%	33.2%	24.1%	4.4%	-0.4%	-17.0M	719.8M	-6.2M	0.58	11.94	82,462	48,056	653,502	907,736
2015-10-22	$34.20	$33.50	22.4%	6.5%	30.5%	28.2%	21.7%	4.2%	-0.6%	-2.7M	514.6M	-6.3M	0.44	11.63	67,820	29,714	691,114	923,160
2015-10-23	$34.13	$33.50	22.4%	6.5%	30.6%	28.4%	21.4%	4.3%	-0.7%	1.7M	538.3M	-6.3M	0.50	13.02	98,788	49,760	698,478	932,608
2015-10-26	$33.31	$33.50	24.0%	7.0%	28.1%	33.2%	24.6%	4.6%	0.5%	-18.0M	832.7M	-6.1M	0.64	9.95	53,654	34,400	672,178	923,742
2015-10-27	$32.90	$33.50	24.6%	7.3%	28.7%	35.1%	25.4%	4.9%	0.4%	-27.5M	1.00B	-5.9M	0.79	9.95	57,224	45,276	675,318	932,514
2015-10-28	$33.60	$33.50	23.5%	7.0%	28.4%	31.6%	25.7%	4.3%	0.7%	-14.8M	756.5M	-6.0M	0.55	16.28	72,008	39,860	681,284	946,788
2015-10-29	$33.79	$33.50	23.0%	6.9%	28.3%	30.1%	23.7%	4.2%	0.6%	-4.7M	656.0M	-6.1M	0.62	12.17	46,310	28,754	693,472	954,936
2015-10-30	$34.10	$33.50	22.5%	6.5%	24.6%	28.5%	23.2%	3.8%	0.8%	-6.6M	542.3M	-6.2M	0.60	14.74	82,556	49,602	691,306	966,092