XLE Options History — October 2016

In October 2016, XLE traded between $34.30 and $35.84. ATM implied volatility averaged 20.6%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.3% (HV 20d: 20.9%). Max pain ranged from $34.25 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.27.

Notable Days

2016-10-26: Highest Volume — 205,788 contracts
2016-10-19: Largest IV drop — 7.4% change
2016-10-31: Highest IV Rank — 20.6%
2016-10-31: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.10	$34.30	$35.84	$35.31	$34.30
Max Pain	$34.89	$34.25	$35.00	$34.25	$35.00
ATM IV	20.6%	18.8%	22.3%	20.2%	22.3%
Expected Move	6.0%	5.5%	6.7%	5.9%	6.7%
HV 20d	20.9%	12.3%	27.3%	27.1%	12.7%
HV 60d	20.8%	19.2%	21.6%	21.5%	19.2%
IV Rank	14.5%	8.1%	20.6%	13.0%	20.6%
IV Percentile	23.7%	10.3%	42.1%	19.4%	42.1%
Term Structure	0.2%	-0.5%	1.3%	0.6%	-0.2%
VWIV	21.7%	19.8%	23.8%	22.5%	23.8%
Skew 25d	4.0%	3.6%	5.1%	4.0%	4.6%
Skew 10d	7.9%	5.8%	9.8%	9.8%	6.9%
Call IV 25d	18.8%	17.3%	20.4%	18.5%	20.4%
Put IV 25d	22.9%	20.9%	25.0%	22.5%	25.0%
Bid-Ask Spread %	8.36	4.33	18.33	4.33	9.68
Gamma HHI	0.06	0.05	0.09	0.06	0.06
Net GEX	2.0M	-61.2M	51.4M	20.3M	-61.2M
Net DEX	-317.8M	-983.1M	425.1M	-655.5M	425.1M
Net VEX	-11.1M	-11.8M	-10.2M	-11.4M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.27	0.57	6.05	2.22	2.10
Total Volume	144,703.048	97,682	205,788	116,478	123,298
Total OI	2,480,878.952	2,157,364	2,699,886	2,378,084	2,325,026

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
2016-10-03	$35.31	$34.25	20.2%	5.9%	27.1%	13.0%	22.5%	4.0%	0.6%	20.3M	-655.5M	-11.4M	2.22	4.33	36,220	80,258	965,692	1,412,392
2016-10-04	$34.95	$34.25	21.1%	6.2%	26.9%	16.2%	21.7%	4.1%	0.6%	6.9M	-369.7M	-11.6M	1.23	5.69	56,760	70,074	974,152	1,422,284
2016-10-05	$35.45	$34.25	20.3%	5.9%	27.3%	13.5%	22.4%	3.9%	0.6%	25.1M	-747.6M	-11.4M	2.20	10.17	51,956	114,304	977,948	1,437,192
2016-10-06	$35.49	$35.00	20.3%	5.9%	26.3%	13.4%	19.8%	4.0%	1.3%	32.3M	-729.4M	-11.7M	0.57	6.23	112,020	63,696	1,004,394	1,489,296
2016-10-07	$35.34	$35.00	20.6%	6.0%	24.4%	14.5%	21.1%	3.9%	1.1%	35.5M	-645.8M	-11.8M	1.86	5.84	45,716	84,950	1,058,996	1,503,472
2016-10-10	$35.84	$35.00	20.0%	5.8%	24.8%	12.4%	20.8%	4.0%	-0.5%	48.5M	-983.1M	-11.3M	1.60	4.51	37,676	60,344	1,039,580	1,512,400
2016-10-11	$35.42	$35.00	21.3%	6.2%	22.3%	16.9%	22.0%	4.6%	0.3%	27.3M	-623.4M	-11.5M	3.11	6.67	31,324	97,518	1,042,858	1,521,294
2016-10-12	$35.28	$35.00	21.8%	6.2%	21.9%	18.8%	23.4%	4.3%	-0.4%	16.8M	-473.9M	-11.6M	2.40	6.61	45,154	108,212	1,047,448	1,532,750
2016-10-13	$35.08	$35.00	22.2%	6.3%	21.7%	20.2%	21.9%	5.1%	-0.4%	987.2K	-296.8M	-11.5M	2.72	7.42	51,534	140,108	1,046,816	1,553,584
2016-10-14	$35.01	$35.00	21.5%	6.1%	21.1%	17.7%	21.9%	4.2%	-0.0%	-4.2M	-217.6M	-11.4M	1.77	6.92	55,110	97,288	1,057,060	1,588,272
2016-10-17	$34.73	$35.00	21.9%	6.3%	21.4%	19.2%	23.6%	4.2%	-0.5%	-30.4M	-3.1M	-11.2M	3.31	7.36	32,268	106,840	1,044,766	1,572,714
2016-10-18	$34.85	$35.00	21.1%	6.1%	21.1%	16.3%	21.3%	3.8%	-0.4%	-21.8M	-124.8M	-10.9M	2.06	6.87	36,658	75,502	1,047,902	1,595,910
2016-10-19	$35.41	$35.00	19.6%	5.6%	20.6%	10.7%	20.2%	4.0%	-0.5%	51.4M	-664.3M	-10.7M	1.40	11.53	71,534	100,446	1,058,804	1,596,968
2016-10-20	$35.27	$35.00	19.6%	5.6%	20.7%	10.9%	20.7%	3.9%	-0.4%	30.3M	-491.5M	-10.7M	2.15	7.79	31,026	66,656	1,068,544	1,624,198
2016-10-21	$35.10	$35.00	19.3%	5.6%	19.9%	9.8%	20.0%	3.6%	-0.4%	34.2M	-338.8M	-10.6M	1.32	7.22	64,548	85,018	1,069,400	1,630,486
2016-10-24	$34.97	$35.00	18.8%	5.5%	19.9%	8.1%	20.4%	3.6%	0.5%	-23.4M	-54.1M	-10.2M	1.99	10.42	54,156	107,668	862,206	1,295,158
2016-10-25	$34.84	$35.00	19.4%	5.8%	19.7%	10.1%	21.0%	3.7%	0.6%	-24.8M	18.8M	-10.5M	2.98	10.48	34,822	103,724	892,602	1,332,934
2016-10-26	$34.90	$35.00	19.6%	5.8%	13.2%	10.9%	22.8%	3.7%	0.8%	-32.0M	21.2M	-10.6M	6.05	18.33	29,210	176,578	896,478	1,365,906
2016-10-27	$34.82	$35.00	20.3%	6.0%	13.2%	13.4%	22.1%	3.6%	0.7%	-38.8M	65.1M	-10.6M	3.39	9.55	28,048	95,100	903,002	1,400,690
2016-10-28	$34.66	$35.00	21.2%	6.3%	12.3%	16.6%	23.2%	4.3%	0.4%	-50.3M	216.3M	-10.8M	1.33	12.02	75,168	100,274	907,060	1,419,824
2016-10-31	$34.30	$35.00	22.3%	6.7%	12.7%	20.6%	23.8%	4.6%	-0.2%	-61.2M	425.1M	-10.6M	2.10	9.68	39,766	83,532	907,538	1,417,488