XLE Options History — January 2016

In January 2016, XLE traded between $25.91 and $30.27. ATM implied volatility averaged 35.8%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.1% (HV 20d: 35.7%). Max pain ranged from $27.50 to $30.50. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.28.

Notable Days

2016-01-12: Highest Volume — 394,240 contracts
2016-01-06: Largest IV spike — 12.6% change
2016-01-20: Highest IV Rank — 91.6%
2016-01-20: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.84	$25.91	$30.27	$30.13	$29.07
Max Pain	$28.68	$27.50	$30.50	$30.50	$27.50
ATM IV	35.8%	28.1%	42.8%	29.5%	33.1%
Expected Move	10.1%	8.0%	12.3%	8.3%	9.4%
HV 20d	35.7%	30.5%	44.5%	31.5%	44.5%
HV 60d	30.5%	27.2%	35.1%	27.3%	35.1%
IV Rank	69.8%	45.8%	91.6%	50.3%	61.7%
IV Percentile	94.2%	73.8%	99.6%	79.8%	88.1%
Term Structure	-0.4%	-1.8%	0.7%	-0.1%	0.7%
VWIV	35.7%	28.1%	44.0%	29.6%	33.4%
Skew 25d	6.5%	4.8%	9.1%	5.2%	5.4%
Skew 10d	12.5%	7.1%	18.0%	10.3%	12.7%
Call IV 25d	32.9%	25.8%	38.9%	27.4%	30.4%
Put IV 25d	39.4%	30.6%	48.0%	32.6%	35.8%
Bid-Ask Spread %	8.76	4.75	14.45	10.07	11.41
Gamma HHI	0.12	0.05	0.49	0.09	0.05
Net GEX	-29.9M	-70.8M	19.8M	-45.1M	19.8M
Net DEX	1.25B	-145.5M	2.36B	1.51B	-145.5M
Net VEX	-4.4M	-6.6M	-3.4M	-4.3M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.41	2.78	1.03	0.78
Total Volume	198,761.579	89,190	394,240	117,204	131,602
Total OI	1,838,443.684	1,155,010	2,406,426	1,994,488	1,790,902

Daily Data (19 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
2016-01-04	$30.13	$30.50	29.5%	8.3%	31.5%	50.3%	29.6%	5.2%	-0.1%	-45.1M	1.51B	-4.3M	1.03	10.07	57,784	59,420	861,636	1,132,852
2016-01-05	$30.27	$30.50	28.1%	8.0%	31.6%	45.8%	28.1%	4.9%	0.2%	-41.2M	1.46B	-4.2M	0.99	8.88	44,854	44,336	881,200	1,132,076
2016-01-06	$29.02	$30.50	31.6%	8.8%	32.4%	56.8%	30.8%	4.8%	-0.2%	-55.1M	1.83B	-3.8M	1.64	12.60	63,544	104,262	898,506	1,124,328
2016-01-07	$28.48	$30.25	35.2%	10.0%	32.8%	68.1%	33.9%	5.2%	-0.5%	-59.3M	2.01B	-3.9M	1.97	14.45	86,032	169,856	925,162	1,163,838
2016-01-08	$28.00	$29.50	34.9%	9.6%	32.6%	67.1%	32.2%	5.5%	-0.5%	-70.8M	2.20B	-3.8M	0.49	11.99	108,078	53,232	962,888	1,231,832
2016-01-11	$27.44	$29.00	35.1%	9.7%	32.6%	67.8%	34.8%	6.0%	-1.1%	-65.7M	2.25B	-3.4M	2.78	11.32	84,886	236,336	954,418	1,190,912
2016-01-12	$27.45	$29.00	34.8%	9.8%	30.5%	66.8%	33.6%	5.5%	-0.4%	-57.9M	2.19B	-3.5M	2.14	8.64	125,674	268,566	998,946	1,177,666
2016-01-13	$26.84	$28.75	37.7%	10.6%	30.9%	75.8%	37.7%	6.3%	-0.4%	-67.4M	2.36B	-3.5M	1.25	13.50	78,134	97,772	1,055,170	1,255,428
2016-01-14	$27.99	$28.75	35.5%	10.0%	33.5%	68.9%	33.1%	6.4%	-0.5%	-53.9M	1.92B	-4.0M	0.78	8.63	126,712	99,294	1,084,046	1,256,284
2016-01-15	$27.18	$28.75	39.4%	11.0%	34.5%	81.0%	38.8%	7.9%	-1.8%	-68.6M	2.17B	-3.9M	1.83	7.55	79,180	145,252	1,148,294	1,258,132
2016-01-19	$26.64	$28.50	38.9%	11.1%	34.3%	79.5%	38.5%	8.9%	-0.7%	-5.9M	712.3M	-3.7M	1.10	8.45	75,636	83,100	591,322	563,688
2016-01-20	$25.91	$28.50	42.8%	12.3%	34.5%	91.6%	44.0%	9.1%	-0.3%	-8.4M	788.9M	-3.8M	0.78	8.37	98,154	76,912	627,088	593,912
2016-01-21	$26.78	$27.50	40.4%	11.6%	37.2%	84.3%	41.3%	8.8%	-0.5%	-2.1M	633.7M	-4.3M	0.68	4.90	89,322	60,922	666,020	618,084
2016-01-22	$27.84	$27.50	35.5%	10.2%	39.9%	69.0%	37.5%	6.8%	-0.2%	6.6M	381.1M	-4.8M	1.09	5.24	143,188	156,644	701,478	636,582
2016-01-25	$26.59	$27.50	38.5%	11.2%	38.7%	78.4%	43.9%	7.8%	-0.0%	-4.1M	581.0M	-5.1M	2.54	4.75	56,728	144,338	744,764	694,502
2016-01-26	$27.55	$27.50	36.7%	10.6%	41.6%	72.8%	35.3%	6.7%	-0.1%	-1.6M	413.1M	-5.6M	0.41	4.97	150,094	61,222	757,216	803,636
2016-01-27	$27.39	$27.50	36.4%	10.4%	41.3%	71.9%	36.4%	6.6%	-0.2%	1.5M	407.6M	-5.8M	0.95	5.68	88,036	83,360	842,180	844,982
2016-01-28	$28.30	$27.50	35.5%	10.2%	43.3%	68.9%	35.8%	5.5%	-0.1%	11.3M	133.6M	-6.4M	1.06	4.95	70,070	73,938	865,960	894,500
2016-01-29	$29.07	$27.50	33.1%	9.4%	44.5%	61.7%	33.4%	5.4%	0.7%	19.8M	-145.5M	-6.6M	0.78	11.41	74,044	57,558	877,806	913,096