XLE Options History — June 2016

In June 2016, XLE traded between $32.32 and $34.77. ATM implied volatility averaged 22.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.6% (HV 20d: 17.5%). Max pain ranged from $31.75 to $34.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.55.

Notable Days

2016-06-16: Highest Volume — 265,256 contracts
2016-06-24: Largest IV spike — 20.9% change
2016-06-27: Highest IV Rank — 45.3%
2016-06-27: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.74	$32.32	$34.77	$33.49	$34.06
Max Pain	$33.51	$31.75	$34.00	$31.75	$33.75
ATM IV	22.1%	18.1%	28.1%	21.3%	19.9%
Expected Move	6.3%	5.2%	8.1%	6.3%	5.7%
HV 20d	17.5%	13.1%	26.3%	14.2%	26.3%
HV 60d	19.4%	18.3%	21.7%	20.9%	21.3%
IV Rank	26.6%	11.3%	45.3%	24.9%	11.3%
IV Percentile	25.1%	7.9%	63.5%	18.3%	7.9%
Term Structure	0.2%	-0.5%	1.1%	0.1%	0.4%
VWIV	23.2%	19.4%	27.7%	22.7%	22.8%
Skew 25d	4.7%	3.4%	6.6%	3.8%	4.2%
Skew 10d	9.9%	6.4%	13.2%	9.7%	10.9%
Call IV 25d	20.3%	17.0%	25.0%	19.8%	18.3%
Put IV 25d	25.0%	20.6%	31.0%	23.7%	22.5%
Bid-Ask Spread %	7.59	3.60	12.12	5.94	6.81
Gamma HHI	0.09	0.06	0.26	0.08	0.06
Net GEX	9.9M	-55.9M	60.7M	24.0M	12.0M
Net DEX	-520.7M	-1.48B	457.3M	-795.1M	-410.7M
Net VEX	-9.7M	-10.4M	-8.5M	-9.2M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.55	0.88	4.78	1.68	4.78
Total Volume	138,733.091	74,048	265,256	109,592	152,474
Total OI	2,189,427.545	1,734,614	2,632,072	2,241,114	1,886,994

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
2016-06-01	$33.49	$31.75	21.3%	6.3%	14.2%	24.9%	22.7%	3.8%	0.1%	24.0M	-795.1M	-9.2M	1.68	5.94	40,892	68,700	916,106	1,325,008
2016-06-02	$33.38	$33.25	21.0%	5.9%	13.2%	23.8%	22.6%	4.0%	-0.1%	31.8M	-736.2M	-9.1M	3.97	8.77	27,528	109,364	934,898	1,343,872
2016-06-03	$33.33	$33.25	20.4%	5.9%	13.1%	22.1%	21.8%	3.9%	-0.2%	21.7M	-657.4M	-9.2M	2.27	7.95	22,622	51,426	940,616	1,408,118
2016-06-06	$34.02	$33.25	19.5%	5.6%	14.8%	19.1%	20.5%	3.7%	0.2%	38.7M	-1.07B	-8.7M	2.17	10.08	37,658	81,678	917,612	1,393,526
2016-06-07	$34.77	$33.50	18.1%	5.2%	15.2%	14.7%	19.4%	3.6%	0.2%	60.7M	-1.48B	-8.5M	1.89	9.68	58,202	109,966	933,424	1,427,816
2016-06-08	$34.69	$33.50	19.2%	5.5%	14.6%	18.2%	20.7%	3.5%	0.0%	51.7M	-1.42B	-8.9M	3.43	7.47	47,366	162,618	950,612	1,478,688
2016-06-09	$34.55	$34.00	19.9%	5.7%	14.8%	20.4%	20.4%	3.4%	0.2%	36.0M	-1.25B	-9.7M	1.42	10.49	66,008	93,990	965,468	1,561,376
2016-06-10	$33.72	$34.00	22.2%	6.4%	17.6%	27.7%	22.4%	4.3%	0.1%	16.9M	-664.2M	-10.2M	2.53	10.92	34,976	88,472	984,008	1,587,944
2016-06-13	$33.58	$33.75	24.8%	7.1%	17.1%	35.5%	25.1%	5.9%	0.0%	-689.7K	-546.9M	-10.2M	2.90	12.12	36,058	104,552	975,200	1,584,440
2016-06-14	$33.55	$33.75	25.4%	7.3%	16.2%	37.5%	27.3%	5.8%	0.4%	5.3M	-543.8M	-10.2M	2.50	4.22	48,416	121,056	980,772	1,545,230
2016-06-15	$33.45	$33.50	24.8%	7.1%	16.3%	35.7%	25.6%	5.4%	-0.5%	-396.4K	-476.2M	-10.4M	3.07	10.01	29,526	90,526	995,256	1,621,038
2016-06-16	$33.32	$33.50	24.6%	7.1%	15.8%	35.0%	25.5%	4.7%	0.1%	-6.9M	-386.0M	-10.3M	0.88	4.86	141,002	124,254	1,001,854	1,630,218
2016-06-17	$33.43	$33.50	23.4%	6.7%	15.8%	31.5%	23.9%	5.1%	0.3%	43.5M	58.1M	-10.2M	1.07	3.60	95,368	101,994	867,796	1,665,684
2016-06-20	$33.74	$33.50	21.2%	6.1%	16.1%	24.4%	23.6%	5.6%	0.9%	-7.7M	-176.8M	-10.0M	3.90	4.73	24,614	95,980	688,736	1,052,722
2016-06-21	$34.13	$33.50	20.5%	5.8%	16.5%	22.4%	21.1%	5.1%	0.2%	-629.8K	-364.3M	-9.9M	2.73	4.78	34,510	94,080	692,474	1,042,140
2016-06-22	$33.96	$33.50	22.1%	6.5%	16.5%	27.2%	23.3%	6.0%	0.6%	-7.8M	-284.9M	-10.0M	3.06	6.43	20,892	63,944	712,116	1,057,300
2016-06-23	$34.47	$33.75	20.8%	5.8%	16.5%	23.3%	20.9%	4.2%	-0.1%	3.8M	-525.4M	-9.8M	2.09	6.79	30,480	63,612	715,722	1,070,050
2016-06-24	$33.38	$33.75	25.1%	7.3%	20.2%	36.8%	26.8%	6.6%	-0.0%	-55.9M	50.6M	-10.2M	3.52	9.35	35,930	126,556	731,306	1,086,790
2016-06-27	$32.32	$33.75	28.1%	8.1%	23.2%	45.3%	27.7%	6.0%	-0.4%	-37.7M	457.3M	-10.0M	2.16	7.34	39,994	86,576	722,296	1,083,786
2016-06-28	$33.17	$33.75	24.0%	6.6%	25.2%	30.0%	24.7%	4.4%	0.1%	-13.8M	56.4M	-9.9M	2.69	8.57	24,656	66,358	733,060	1,094,052
2016-06-29	$33.85	$33.50	20.8%	5.9%	26.3%	18.3%	20.7%	4.4%	1.1%	4.0M	-292.6M	-9.9M	1.46	6.09	39,522	57,732	739,526	1,121,756
2016-06-30	$34.06	$33.75	19.9%	5.7%	26.3%	11.3%	22.8%	4.2%	0.4%	12.0M	-410.7M	-9.8M	4.78	6.81	26,396	126,078	755,712	1,131,282