XLE Options History — September 2016 In September 2016, XLE traded between $33.43 and $35.95. ATM implied volatility averaged 20.6%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.4% (HV 20d: 21.0%). Max pain ranged from $34.25 to $34.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.44.
Notable Days 2016-09-29 : Highest Volume — 382,414 contracts2016-09-09 : Largest IV spike — 24.9% change2016-09-14 : Highest IV Rank — 26.7%2016-09-14 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $34.42 $33.43 $35.95 $34.09 $35.40 Max Pain $34.27 $34.25 $34.50 $34.50 $34.25 ATM IV 20.6% 16.6% 24.0% 20.5% 19.3% Expected Move 5.9% 4.9% 6.9% 6.0% 5.6% HV 20d 21.0% 15.3% 27.7% 15.3% 27.3% HV 60d 21.6% 20.4% 23.1% 21.0% 21.7% IV Rank 14.0% 0.0% 26.7% 12.2% 9.6% IV Percentile 20.1% 0.0% 42.9% 17.9% 13.5% Term Structure 0.1% -0.1% 0.4% 0.1% 0.1% VWIV 21.2% 17.9% 24.9% 21.4% 19.9% Skew 25d 4.2% 3.6% 5.1% 4.3% 4.1% Skew 10d 8.2% 6.7% 9.7% 8.4% 9.7% Call IV 25d 19.0% 15.4% 22.3% 18.6% 17.8% Put IV 25d 23.2% 19.3% 27.1% 22.8% 22.0% Bid-Ask Spread % 11.89 3.65 60.51 59.25 6.00 Gamma HHI 0.07 0.05 0.11 0.07 0.06 Net GEX 2.1M -61.6M 67.1M -50.4M 31.5M Net DEX -327.4M -1.48B 409.2M -106.5M -1.12B Net VEX -10.8M -11.4M -9.9M -10.6M -11.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 0.48 3.06 1.93 1.25 Total Volume 200,734.571 88,050 382,414 254,274 205,514 Total OI 2,453,499.238 2,090,240 2,763,596 2,439,904 2,540,716
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 2016-09-01 $34.09 $34.50 20.5% 6.0% 15.3% 12.2% 21.4% 4.3% 0.1% -50.4M -106.5M -10.6M 1.93 59.25 86,746 167,528 1,014,494 1,425,410 2016-09-02 $34.47 $34.50 18.1% 5.1% 15.3% 3.4% 17.9% 3.9% 0.2% -57.4M -360.5M -10.7M 1.54 60.51 39,142 60,224 1,047,414 1,501,050 2016-09-06 $34.99 $34.25 17.9% 5.3% 15.5% 2.5% 20.7% 4.5% 0.4% 13.3M -758.1M -10.1M 1.52 3.65 34,994 53,056 1,015,402 1,470,352 2016-09-07 $35.24 $34.25 17.4% 5.2% 15.4% 0.9% 20.1% 4.0% 0.3% 27.3M -952.6M -10.3M 1.39 5.83 43,014 59,600 1,030,654 1,472,488 2016-09-08 $35.95 $34.25 16.6% 4.9% 15.9% 0.0% 19.0% 3.9% 0.3% 67.1M -1.48B -9.9M 1.69 9.27 93,116 157,282 1,042,164 1,482,774 2016-09-09 $34.98 $34.25 20.7% 6.0% 18.5% 14.8% 21.1% 5.1% 0.2% 25.5M -719.3M -10.7M 1.98 4.62 64,554 128,042 1,070,194 1,511,402 2016-09-12 $35.24 $34.25 19.9% 5.8% 18.6% 11.9% 20.2% 4.5% 0.3% 25.2M -896.0M -10.5M 1.29 6.49 59,160 76,324 1,063,630 1,530,648 2016-09-13 $34.16 $34.25 23.7% 6.8% 21.7% 25.7% 24.9% 5.1% -0.1% -40.2M -40.6M -10.6M 2.67 7.99 76,508 204,076 1,080,022 1,545,816 2016-09-14 $33.77 $34.25 24.0% 6.9% 22.0% 26.7% 23.6% 4.8% -0.1% -61.6M 338.3M -10.6M 1.87 9.03 71,176 133,178 1,099,530 1,609,018 2016-09-15 $34.22 $34.25 21.7% 6.2% 22.6% 18.4% 21.3% 4.0% 0.0% -31.0M 20.9M -10.9M 0.68 7.55 164,496 112,508 1,119,930 1,632,568 2016-09-16 $33.79 $34.25 22.0% 6.3% 21.4% 19.5% 21.9% 4.2% -0.0% -34.9M 409.2M -10.9M 0.93 4.38 103,722 96,924 1,100,278 1,663,318 2016-09-19 $33.81 $34.25 21.9% 6.3% 21.3% 19.3% 21.5% 4.2% -0.0% -3.1M 48.0M -11.0M 1.50 4.35 71,028 106,408 972,682 1,117,558 2016-09-20 $33.53 $34.25 22.6% 6.5% 21.2% 21.8% 22.9% 4.0% -0.1% -12.7M 207.2M -11.0M 1.58 4.44 59,314 93,654 994,586 1,158,298 2016-09-21 $34.23 $34.25 20.5% 5.9% 22.5% 14.3% 21.4% 4.0% 0.0% 9.8M -223.7M -11.3M 1.04 8.25 64,872 67,354 1,028,836 1,187,006 2016-09-22 $34.31 $34.25 19.5% 5.6% 22.6% 10.4% 18.8% 3.6% -0.1% 24.8M -321.6M -11.4M 0.75 7.85 118,232 89,074 1,059,922 1,204,284 2016-09-23 $33.81 $34.25 21.0% 6.0% 23.1% 15.7% 20.5% 3.7% -0.1% -500.8K 108.9M -11.2M 0.93 9.99 125,016 116,074 1,021,524 1,244,032 2016-09-26 $33.67 $34.25 22.0% 6.4% 23.1% 19.6% 22.0% 4.2% -0.0% 1.3M 150.9M -11.3M 1.08 6.59 55,398 59,824 1,082,962 1,252,624 2016-09-27 $33.43 $34.25 21.5% 6.2% 23.0% 17.6% 22.2% 3.8% -0.1% -14.5M 363.8M -10.9M 0.48 6.70 165,966 79,594 1,105,776 1,271,890 2016-09-28 $34.84 $34.25 20.3% 5.9% 27.7% 13.5% 21.2% 4.0% -0.0% 62.4M -734.4M -10.9M 0.98 11.28 136,576 133,744 1,040,436 1,297,386 2016-09-29 $34.93 $34.25 20.8% 6.0% 27.0% 15.0% 22.2% 4.3% 0.0% 62.4M -815.2M -11.1M 3.06 5.60 94,200 288,214 1,070,606 1,343,804 2016-09-30 $35.40 $34.25 19.3% 5.6% 27.3% 9.6% 19.9% 4.1% 0.1% 31.5M -1.12B -11.4M 1.25 6.00 91,168 114,346 1,069,870 1,470,846
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