XLE Options History — August 2016

In August 2016, XLE traded between $32.50 and $35.50. ATM implied volatility averaged 18.9%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.6% (HV 20d: 20.5%). Max pain ranged from $33.50 to $34.50. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.34.

Notable Days

2016-08-01: Highest Volume — 353,802 contracts
2016-08-03: Largest IV drop — 7.3% change
2016-08-02: Highest IV Rank — 14.9%
2016-08-01: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.31	$32.50	$35.50	$32.50	$34.21
Max Pain	$33.93	$33.50	$34.50	$34.00	$34.50
ATM IV	18.9%	17.2%	21.8%	21.5%	19.9%
Expected Move	5.6%	4.9%	6.3%	6.3%	5.9%
HV 20d	20.5%	15.2%	22.3%	21.6%	15.3%
HV 60d	21.3%	21.0%	21.6%	21.0%	21.0%
IV Rank	5.4%	0.0%	14.9%	14.0%	10.1%
IV Percentile	6.5%	0.0%	15.1%	14.3%	14.7%
Term Structure	0.3%	-0.4%	1.7%	-0.2%	0.0%
VWIV	20.3%	18.1%	22.2%	21.5%	21.9%
Skew 25d	3.8%	2.9%	4.8%	3.9%	4.4%
Skew 10d	7.6%	5.0%	10.2%	5.9%	5.9%
Call IV 25d	17.4%	15.6%	19.9%	19.8%	18.3%
Put IV 25d	21.2%	18.8%	24.1%	23.7%	22.7%
Bid-Ask Spread %	14.06	3.58	58.23	7.93	53.97
Gamma HHI	0.08	0.06	0.11	0.10	0.06
Net GEX	-14.1M	-105.3M	53.3M	-87.8M	-38.8M
Net DEX	-389.1M	-1.43B	918.8M	918.8M	-222.6M
Net VEX	-10.8M	-11.7M	-10.0M	-11.2M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	0.51	6.09	3.62	2.23
Total Volume	164,888.87	68,358	353,802	353,802	135,230
Total OI	2,438,043.13	2,236,184	2,604,220	2,257,312	2,404,714

Daily Data (23 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
2016-08-01	$32.50	$34.00	21.5%	6.3%	21.6%	14.0%	21.5%	3.9%	-0.2%	-87.8M	918.8M	-11.2M	3.62	7.93	76,598	277,204	909,718	1,347,594
2016-08-02	$32.80	$33.75	21.8%	6.3%	20.7%	14.9%	22.2%	4.2%	-0.2%	-105.3M	773.4M	-11.5M	5.76	8.95	46,734	269,174	927,470	1,418,424
2016-08-03	$33.47	$33.75	20.2%	5.6%	22.0%	9.2%	21.9%	3.9%	0.1%	-57.0M	192.1M	-11.7M	6.09	11.27	42,372	257,962	945,638	1,460,092
2016-08-04	$33.38	$33.50	19.6%	5.9%	21.7%	7.0%	22.1%	3.7%	0.1%	-53.3M	212.4M	-11.5M	2.81	8.11	36,894	103,534	959,376	1,475,038
2016-08-05	$33.77	$33.50	18.5%	5.6%	21.4%	3.4%	21.1%	3.3%	0.1%	-45.0M	-72.9M	-11.3M	2.75	6.76	52,694	144,670	963,408	1,490,356
2016-08-08	$34.21	$33.50	18.1%	5.6%	21.9%	1.7%	20.2%	2.9%	1.5%	-8.1M	-386.2M	-11.0M	1.52	6.75	55,090	83,660	952,566	1,474,602
2016-08-09	$34.01	$33.50	18.3%	5.6%	20.2%	2.5%	20.6%	3.2%	1.4%	-30.3M	-199.9M	-11.1M	1.75	6.42	74,506	130,180	963,682	1,502,966
2016-08-10	$33.63	$33.50	19.0%	5.9%	20.4%	5.1%	20.8%	3.6%	1.4%	-70.1M	159.5M	-11.3M	1.88	5.51	46,290	87,056	988,150	1,540,518
2016-08-11	$34.16	$33.50	18.2%	5.6%	21.2%	2.2%	21.2%	3.3%	1.7%	-16.7M	-354.4M	-11.2M	2.14	6.96	47,044	100,786	1,004,482	1,553,298
2016-08-12	$34.38	$33.50	17.9%	5.3%	21.3%	0.9%	19.7%	3.2%	0.9%	12.6M	-594.7M	-10.9M	1.41	6.27	45,642	64,538	1,011,854	1,555,118
2016-08-15	$34.59	$33.50	18.4%	5.4%	21.4%	2.8%	20.0%	3.2%	0.0%	34.9M	-736.3M	-10.6M	3.81	6.06	44,042	167,896	1,000,936	1,528,060
2016-08-16	$34.71	$33.50	18.9%	5.5%	21.3%	4.8%	19.6%	3.7%	-0.2%	51.8M	-855.1M	-10.5M	2.04	7.26	46,680	95,230	1,010,950	1,534,104
2016-08-17	$34.76	$33.50	18.3%	5.2%	21.3%	2.4%	19.9%	3.7%	0.6%	53.3M	-871.8M	-10.5M	2.61	17.59	25,842	67,390	1,019,244	1,519,210
2016-08-18	$35.50	$34.00	17.2%	4.9%	22.0%	0.0%	18.1%	3.2%	-0.1%	39.2M	-1.43B	-10.0M	0.51	11.68	95,858	48,866	1,027,848	1,563,146
2016-08-19	$35.22	$34.00	18.0%	5.2%	22.3%	2.9%	18.6%	3.6%	-0.4%	40.6M	-1.17B	-10.2M	1.09	6.56	86,574	94,342	1,016,990	1,587,230
2016-08-22	$34.84	$34.50	18.6%	5.4%	21.3%	5.2%	18.6%	4.3%	0.2%	-10.8M	-579.9M	-10.3M	0.91	6.16	75,710	68,868	899,202	1,336,982
2016-08-23	$35.01	$34.50	18.3%	5.3%	21.3%	3.8%	19.5%	4.2%	0.1%	1.9M	-720.8M	-10.3M	1.17	3.58	40,970	48,014	938,608	1,358,262
2016-08-24	$34.90	$34.50	18.7%	5.5%	20.8%	5.5%	22.0%	4.4%	0.1%	-3.9M	-605.1M	-10.7M	3.42	11.38	32,872	112,288	940,832	1,368,976
2016-08-25	$34.79	$34.50	19.4%	5.6%	20.9%	7.8%	20.4%	4.8%	-0.0%	-16.0M	-561.5M	-10.6M	1.36	5.01	56,914	77,656	962,672	1,405,898
2016-08-26	$34.71	$34.50	19.2%	5.6%	20.7%	7.4%	19.3%	4.8%	0.1%	-22.5M	-521.3M	-10.8M	1.00	6.73	63,452	63,476	992,846	1,425,046
2016-08-29	$34.90	$34.50	18.1%	5.2%	15.2%	3.5%	18.3%	4.4%	0.2%	1.7M	-692.9M	-10.5M	2.55	58.23	37,508	95,780	997,144	1,397,724
2016-08-30	$34.77	$34.50	19.0%	5.6%	15.2%	6.9%	20.0%	4.5%	0.0%	4.6M	-634.1M	-10.4M	1.47	54.16	27,688	40,670	1,002,504	1,391,514
2016-08-31	$34.21	$34.50	19.9%	5.9%	15.3%	10.1%	21.9%	4.4%	0.0%	-38.8M	-222.6M	-10.4M	2.23	53.97	41,836	93,394	1,006,022	1,398,692