XLE Options History — March 2017

In March 2017, XLE traded between $34.20 and $36.48. ATM implied volatility averaged 16.8%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.7% (HV 20d: 17.5%). Max pain ranged from $35.00 to $36.75. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 2.38.

Notable Days

2017-03-28: Highest Volume — 458,916 contracts
2017-03-08: Largest IV spike — 13.9% change
2017-03-14: Highest IV Rank — 31.3%
2017-03-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.10	$34.20	$36.48	$36.48	$35.06
Max Pain	$35.51	$35.00	$36.75	$36.75	$35.00
ATM IV	16.8%	15.2%	18.4%	17.2%	15.5%
Expected Move	4.8%	4.0%	5.3%	5.3%	4.0%
HV 20d	17.5%	15.5%	19.4%	17.0%	15.5%
HV 60d	14.5%	13.9%	15.2%	13.9%	14.9%
IV Rank	19.6%	9.8%	31.3%	19.7%	11.7%
IV Percentile	13.2%	2.4%	31.0%	13.1%	4.0%
Term Structure	0.2%	-1.4%	2.4%	0.5%	-0.0%
VWIV	16.9%	14.7%	19.2%	19.2%	14.7%
Skew 25d	2.4%	1.8%	3.4%	2.1%	2.2%
Skew 10d	4.7%	2.3%	6.6%	4.4%	4.3%
Call IV 25d	15.9%	14.1%	17.6%	16.9%	14.2%
Put IV 25d	18.3%	16.3%	20.2%	19.0%	16.3%
Bid-Ask Spread %	7.50	4.28	11.95	10.07	7.60
Gamma HHI	0.12	0.06	0.66	0.08	0.07
Net GEX	-71.6M	-395.0M	4.7M	-17.3M	4.7M
Net DEX	947.2M	266.8M	1.62B	266.8M	547.5M
Net VEX	-11.5M	-13.1M	-9.9M	-10.2M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.73	6.70	1.43	3.86
Total Volume	236,807.043	88,562	458,916	307,134	302,522
Total OI	2,242,410.435	1,956,234	2,597,748	1,956,234	2,361,028

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
2017-03-01	$36.48	$36.75	17.2%	5.3%	17.0%	19.7%	19.2%	2.1%	0.5%	-17.3M	266.8M	-10.2M	1.43	10.07	126,292	180,842	730,510	1,225,724
2017-03-02	$36.09	$36.75	17.9%	5.1%	17.3%	24.2%	18.9%	2.4%	-0.9%	-35.6M	513.6M	-10.5M	0.73	6.53	70,400	51,148	786,574	1,270,126
2017-03-03	$35.98	$36.75	17.3%	5.0%	17.3%	20.3%	17.8%	2.1%	-1.4%	-47.4M	601.3M	-10.3M	0.82	6.29	55,024	45,314	787,946	1,290,600
2017-03-06	$36.11	$36.25	16.5%	4.6%	16.7%	15.7%	16.2%	2.1%	0.0%	-36.1M	540.8M	-10.1M	1.10	4.45	42,114	46,448	767,750	1,242,632
2017-03-07	$35.75	$36.25	16.1%	4.6%	16.7%	13.4%	16.4%	2.2%	0.1%	-56.6M	768.7M	-9.9M	2.68	8.50	35,446	94,928	781,586	1,256,862
2017-03-08	$34.87	$36.00	18.4%	5.1%	18.3%	26.6%	17.3%	2.6%	-0.2%	-101.8M	1.44B	-10.0M	1.56	7.47	95,248	148,918	792,606	1,312,988
2017-03-09	$35.05	$36.00	18.3%	5.1%	18.4%	27.9%	17.8%	2.4%	0.1%	-95.9M	1.36B	-10.3M	0.92	6.35	139,678	129,024	788,340	1,333,942
2017-03-10	$34.91	$35.25	16.9%	4.8%	17.8%	19.2%	16.6%	2.5%	-0.2%	-87.9M	1.44B	-10.5M	1.06	4.83	88,046	93,048	880,862	1,379,228
2017-03-13	$35.01	$35.25	16.6%	4.7%	17.5%	18.9%	16.7%	2.5%	-0.3%	-98.4M	1.35B	-10.7M	2.65	4.28	51,278	135,778	904,668	1,397,802
2017-03-14	$34.68	$35.25	18.4%	5.1%	17.6%	31.3%	18.4%	2.2%	-0.5%	-92.2M	1.62B	-10.8M	2.09	5.29	69,140	144,364	919,014	1,432,390
2017-03-15	$35.39	$35.25	16.5%	4.7%	19.4%	18.8%	16.6%	1.9%	-0.2%	-97.4M	932.1M	-11.7M	1.72	8.14	109,580	188,730	994,058	1,483,182
2017-03-16	$35.13	$35.25	15.4%	4.5%	19.4%	11.1%	15.9%	1.8%	-0.0%	-139.7M	1.09B	-12.0M	2.19	7.95	84,730	185,978	1,052,858	1,519,988
2017-03-17	$35.00	$35.25	15.2%	4.3%	18.9%	9.8%	15.0%	1.9%	-0.6%	-395.0M	1.22B	-12.2M	2.31	6.30	66,000	152,626	1,042,894	1,554,854
2017-03-20	$34.88	$35.25	15.9%	4.5%	18.8%	14.2%	16.4%	2.2%	0.8%	-17.3M	695.2M	-12.0M	3.22	5.80	50,334	162,208	822,402	1,134,884
2017-03-21	$34.60	$35.25	17.0%	4.9%	18.6%	22.3%	16.7%	2.7%	2.4%	-31.1M	848.9M	-12.0M	2.42	9.17	84,704	204,768	832,974	1,167,996
2017-03-22	$34.58	$35.00	17.0%	4.9%	17.8%	22.2%	16.3%	3.0%	1.0%	-50.6M	978.7M	-12.9M	1.62	8.70	93,092	150,380	878,888	1,410,490
2017-03-23	$34.45	$35.00	17.3%	4.9%	17.7%	24.2%	16.6%	2.8%	0.7%	-61.3M	1.08B	-12.8M	3.01	6.72	40,604	122,096	867,084	1,417,986
2017-03-24	$34.28	$35.00	17.6%	5.0%	17.5%	26.7%	19.0%	3.4%	0.3%	-64.8M	1.19B	-12.7M	3.82	9.93	37,848	144,640	874,036	1,426,830
2017-03-27	$34.20	$35.00	18.0%	5.2%	16.5%	29.3%	18.0%	2.6%	0.2%	-61.1M	1.26B	-12.5M	2.19	9.55	61,128	133,838	862,856	1,429,578
2017-03-28	$34.60	$35.00	16.8%	4.8%	17.2%	20.6%	17.3%	2.1%	0.4%	-41.3M	939.7M	-12.6M	2.33	8.76	137,842	321,074	887,064	1,444,014
2017-03-29	$35.12	$35.00	15.6%	4.3%	15.8%	12.6%	15.8%	1.9%	0.5%	-16.4M	591.8M	-13.1M	6.70	11.95	58,980	395,400	988,326	1,509,688
2017-03-30	$35.10	$35.00	15.3%	4.2%	15.5%	10.3%	14.7%	2.9%	1.5%	-5.6M	502.7M	-12.7M	4.27	7.77	59,764	255,218	991,702	1,337,630
2017-03-31	$35.06	$35.00	15.5%	4.0%	15.5%	11.7%	14.7%	2.2%	-0.0%	4.7M	547.5M	-12.6M	3.86	7.60	62,246	240,276	1,002,754	1,358,274