XLE Options History — July 2016

In July 2016, XLE traded between $33.28 and $34.76. ATM implied volatility averaged 19.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 5.1% (HV 20d: 24.5%). Max pain ranged from $33.75 to $34.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.13.

Notable Days

2016-07-12: Highest Volume — 268,450 contracts
2016-07-05: Largest IV spike — 16.0% change
2016-07-07: Highest IV Rank — 20.0%
2016-07-07: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.03	$33.28	$34.76	$34.35	$33.70
Max Pain	$33.99	$33.75	$34.00	$33.75	$34.00
ATM IV	19.4%	17.6%	22.4%	19.0%	18.2%
Expected Move	5.6%	5.0%	6.5%	5.2%	5.1%
HV 20d	24.5%	17.7%	26.7%	26.4%	18.0%
HV 60d	20.7%	19.6%	21.5%	21.3%	19.6%
IV Rank	8.2%	0.6%	20.0%	8.1%	2.2%
IV Percentile	6.0%	0.4%	19.8%	4.0%	2.8%
Term Structure	0.2%	-0.2%	0.7%	-0.0%	0.3%
VWIV	20.1%	17.5%	23.3%	19.2%	18.7%
Skew 25d	3.7%	3.0%	4.9%	3.9%	3.0%
Skew 10d	8.1%	6.0%	11.8%	10.3%	7.9%
Call IV 25d	18.0%	16.0%	20.8%	17.1%	17.0%
Put IV 25d	21.6%	19.3%	25.3%	20.9%	20.0%
Bid-Ask Spread %	7.62	4.93	11.60	6.60	8.53
Gamma HHI	0.08	0.07	0.21	0.07	0.21
Net GEX	-22.2M	-169.3M	47.2M	-11.1M	-169.3M
Net DEX	-267.9M	-805.9M	365.7M	-525.3M	206.3M
Net VEX	-10.2M	-11.6M	-9.1M	-9.6M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.13	0.43	4.05	0.91	2.53
Total Volume	149,774.7	75,700	268,450	111,490	222,806
Total OI	1,941,323.2	1,748,364	2,350,496	1,794,562	2,350,496

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
2016-07-01	$34.35	$33.75	19.0%	5.2%	26.4%	8.1%	19.2%	3.9%	-0.0%	-11.1M	-525.3M	-9.6M	0.91	6.60	58,252	53,238	731,364	1,063,198
2016-07-05	$33.59	$34.00	22.0%	6.4%	26.7%	18.6%	22.2%	4.4%	-0.0%	-42.9M	661.4K	-9.6M	2.63	6.75	31,508	83,006	685,992	1,062,372
2016-07-06	$33.74	$34.00	21.9%	6.3%	25.5%	18.3%	22.6%	4.9%	-0.1%	-40.0M	-67.3M	-9.7M	2.20	4.93	23,684	52,016	690,142	1,078,878
2016-07-07	$33.40	$34.00	22.4%	6.5%	25.7%	20.0%	23.3%	4.5%	-0.2%	-53.0M	106.1M	-9.7M	2.58	7.57	32,784	84,542	694,394	1,094,396
2016-07-08	$33.90	$34.00	19.9%	5.7%	26.3%	11.3%	22.2%	3.7%	0.1%	-28.6M	-172.8M	-9.4M	3.17	7.25	42,672	135,474	702,602	1,107,636
2016-07-11	$33.95	$34.00	20.0%	5.8%	24.8%	11.5%	20.8%	3.5%	0.6%	-31.2M	-205.3M	-9.5M	2.79	7.01	39,836	111,158	709,774	1,143,090
2016-07-12	$34.76	$34.00	18.5%	5.4%	26.1%	6.4%	19.2%	3.3%	0.3%	2.3M	-588.5M	-9.1M	0.43	8.17	188,182	80,268	702,398	1,177,494
2016-07-13	$34.47	$34.00	18.8%	5.4%	26.3%	7.7%	19.5%	3.7%	0.0%	-922.2K	-557.4M	-10.1M	1.41	11.60	42,132	59,414	821,704	1,205,720
2016-07-14	$34.65	$34.00	18.1%	5.2%	26.3%	4.9%	19.6%	3.1%	-0.1%	18.6M	-717.0M	-10.3M	1.47	6.68	83,732	122,860	860,156	1,202,038
2016-07-15	$34.59	$34.00	18.0%	5.2%	26.2%	4.6%	17.9%	3.3%	-0.1%	47.2M	-805.9M	-10.4M	1.32	9.02	37,024	48,726	914,706	1,145,674
2016-07-18	$34.66	$34.00	17.6%	5.0%	26.2%	2.7%	20.3%	3.2%	0.5%	27.2M	-713.6M	-10.2M	2.20	8.41	37,096	81,590	845,302	923,824
2016-07-19	$34.40	$34.00	18.1%	5.2%	26.3%	4.3%	18.3%	3.6%	0.1%	15.5M	-566.3M	-10.3M	0.87	6.81	51,966	45,276	856,682	973,712
2016-07-20	$34.42	$34.00	18.1%	5.2%	26.0%	1.8%	18.5%	3.3%	0.2%	19.2M	-581.3M	-10.4M	2.01	6.68	36,106	72,584	879,404	989,182
2016-07-21	$34.03	$34.00	19.1%	5.5%	26.2%	5.3%	19.6%	3.6%	0.2%	-20.6M	-323.1M	-10.5M	2.20	7.72	42,914	94,426	888,338	1,031,662
2016-07-22	$34.13	$34.00	17.8%	5.0%	25.7%	0.6%	17.5%	3.3%	0.7%	-2.1M	-374.1M	-10.4M	2.29	9.32	34,960	79,946	896,936	1,062,088
2016-07-25	$33.46	$34.00	20.2%	5.7%	24.0%	9.2%	21.0%	4.3%	0.3%	-27.3M	18.2M	-10.1M	1.84	9.00	60,700	111,954	896,484	1,069,416
2016-07-26	$33.67	$34.00	19.7%	5.7%	20.7%	7.5%	20.5%	3.9%	0.2%	-27.0M	-67.5M	-10.7M	2.08	7.26	52,658	109,334	924,222	1,117,552
2016-07-27	$33.28	$34.00	20.3%	5.9%	19.2%	9.8%	20.2%	3.7%	0.3%	-48.9M	210.4M	-10.5M	3.59	6.73	55,868	200,746	933,346	1,151,546
2016-07-28	$33.36	$34.00	20.1%	5.9%	17.7%	9.0%	21.5%	3.4%	0.2%	-71.0M	365.7M	-11.3M	4.05	6.45	38,434	155,622	935,918	1,306,626
2016-07-29	$33.70	$34.00	18.2%	5.1%	18.0%	2.2%	18.7%	3.0%	0.3%	-169.3M	206.3M	-11.6M	2.53	8.53	63,186	159,620	943,480	1,407,016