XLE Options History — April 2016

In April 2016, XLE traded between $30.09 and $34.30. ATM implied volatility averaged 23.3%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.3% (HV 20d: 20.9%). Max pain ranged from $30.00 to $33.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2016-04-15: Highest Volume — 417,062 contracts
2016-04-18: Largest IV drop — 10.3% change
2016-04-05: Highest IV Rank — 39.9%
2016-04-05: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.20	$30.09	$34.30	$30.52	$33.73
Max Pain	$31.77	$30.00	$33.50	$30.00	$33.50
ATM IV	23.3%	20.8%	26.1%	24.2%	24.7%
Expected Move	6.6%	6.0%	7.4%	6.4%	7.1%
HV 20d	20.9%	18.3%	25.1%	25.1%	21.6%
HV 60d	30.6%	25.1%	35.1%	35.1%	25.1%
IV Rank	30.9%	23.2%	39.9%	33.7%	35.3%
IV Percentile	38.2%	27.8%	55.2%	46.8%	46.8%
Term Structure	0.1%	-0.3%	0.8%	-0.3%	0.0%
VWIV	24.0%	20.9%	28.0%	22.7%	24.8%
Skew 25d	3.8%	3.1%	4.6%	3.9%	3.8%
Skew 10d	8.0%	6.3%	10.3%	8.5%	10.3%
Call IV 25d	21.7%	19.4%	23.5%	22.2%	23.5%
Put IV 25d	25.5%	23.0%	28.0%	26.1%	27.3%
Bid-Ask Spread %	5.74	4.41	7.83	6.72	5.39
Gamma HHI	0.07	0.05	0.10	0.07	0.08
Net GEX	15.6M	-8.6M	40.5M	1.6M	-8.6M
Net DEX	-578.2M	-1.15B	44.6M	-130.8M	-778.2M
Net VEX	-8.5M	-9.6M	-7.7M	-8.1M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.87	4.12	2.00	2.09
Total Volume	166,544.381	75,476	417,062	89,948	206,934
Total OI	2,032,990.762	1,798,880	2,298,072	1,806,112	2,298,072

Daily Data (21 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
2016-04-01	$30.52	$30.00	24.2%	6.4%	25.1%	33.7%	22.7%	3.9%	-0.3%	1.6M	-130.8M	-8.1M	2.00	6.72	29,936	60,012	829,654	976,458
2016-04-04	$30.30	$31.00	24.5%	7.2%	25.1%	34.9%	24.8%	3.9%	-0.0%	6.6M	-35.1M	-7.8M	1.62	4.69	28,822	46,654	827,086	971,794
2016-04-05	$30.09	$31.00	26.1%	7.4%	23.8%	39.9%	28.0%	4.6%	0.0%	89.4K	44.6M	-7.7M	2.68	5.07	29,430	78,968	830,738	978,580
2016-04-06	$30.74	$31.00	23.6%	6.8%	19.9%	31.9%	24.7%	3.6%	-0.2%	13.4M	-218.5M	-7.7M	2.26	5.28	33,472	75,516	834,410	1,015,836
2016-04-07	$30.54	$31.00	25.3%	7.2%	19.3%	37.2%	26.1%	4.2%	0.1%	5.4M	-85.6M	-8.1M	1.95	6.37	27,714	54,158	844,192	1,051,236
2016-04-08	$31.18	$30.75	23.1%	6.7%	20.6%	30.3%	24.6%	4.0%	0.1%	26.8M	-416.0M	-8.1M	0.93	6.41	60,362	56,264	850,918	1,075,320
2016-04-11	$31.12	$31.00	23.4%	6.7%	18.3%	31.3%	23.0%	4.3%	-0.1%	21.3M	-375.3M	-7.8M	1.31	5.70	41,622	54,472	840,378	1,075,836
2016-04-12	$32.00	$31.00	23.9%	6.8%	20.5%	32.8%	24.4%	4.1%	0.3%	36.0M	-768.2M	-8.0M	1.29	6.45	89,208	114,658	851,468	1,086,836
2016-04-13	$32.14	$31.00	23.4%	6.6%	20.5%	31.3%	24.0%	4.0%	-0.3%	35.7M	-790.8M	-8.3M	0.87	7.83	107,668	93,750	883,674	1,154,676
2016-04-14	$32.22	$31.50	22.4%	6.4%	19.4%	28.2%	21.9%	3.7%	-0.3%	40.5M	-889.0M	-8.2M	1.44	5.64	59,224	85,114	900,070	1,191,902
2016-04-15	$31.77	$31.75	24.3%	6.9%	19.5%	34.3%	26.9%	3.9%	-0.2%	16.4M	-586.6M	-8.5M	4.12	5.90	81,394	335,668	886,428	1,201,854
2016-04-18	$32.27	$31.75	21.8%	6.2%	20.0%	26.4%	24.3%	3.9%	0.3%	-5.3M	-416.0M	-8.8M	1.67	6.98	83,644	139,526	786,582	1,249,080
2016-04-19	$32.90	$31.75	20.8%	6.0%	21.0%	23.2%	21.7%	3.6%	0.2%	14.9M	-738.2M	-8.6M	0.92	5.00	96,076	88,172	812,628	1,260,558
2016-04-20	$33.26	$32.00	21.6%	6.2%	21.1%	25.6%	20.9%	3.4%	-0.3%	19.7M	-895.1M	-8.3M	1.33	5.47	105,962	141,066	804,776	1,240,086
2016-04-21	$33.08	$32.50	22.2%	6.4%	19.3%	27.5%	22.9%	3.5%	0.1%	11.8M	-720.3M	-9.1M	1.02	4.41	66,278	67,800	849,968	1,319,572
2016-04-22	$33.52	$32.75	21.7%	6.2%	19.6%	26.0%	21.8%	3.2%	0.3%	29.6M	-929.8M	-8.9M	1.28	5.02	85,294	109,192	844,982	1,308,484
2016-04-25	$33.11	$32.75	23.4%	6.7%	20.2%	31.2%	23.6%	3.8%	0.2%	4.8M	-592.5M	-9.1M	1.02	5.13	57,888	59,314	826,628	1,304,326
2016-04-26	$33.66	$33.00	22.1%	6.3%	20.7%	27.1%	24.1%	3.3%	0.8%	17.1M	-843.7M	-9.1M	0.94	4.69	74,988	70,694	842,738	1,322,104
2016-04-27	$34.30	$33.00	22.1%	6.4%	21.4%	27.2%	22.6%	3.1%	0.4%	26.9M	-1.15B	-8.9M	0.89	6.35	141,892	125,760	848,996	1,346,736
2016-04-28	$33.74	$33.25	23.8%	6.9%	22.7%	32.6%	25.4%	4.1%	0.3%	13.3M	-828.4M	-9.4M	1.46	6.05	53,912	78,954	883,846	1,383,300
2016-04-29	$33.73	$33.50	24.7%	7.1%	21.6%	35.3%	24.8%	3.8%	0.0%	-8.6M	-778.2M	-9.6M	2.09	5.39	67,016	139,918	887,096	1,410,976