XLE Options History — April 2017

In April 2017, XLE traded between $33.81 and $35.51. ATM implied volatility averaged 17.4%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.7% (HV 20d: 12.7%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.29.

Notable Days

2017-04-11: Highest Volume — 327,310 contracts
2017-04-18: Largest IV drop — 9.4% change
2017-04-17: Highest IV Rank — 39.6%
2017-04-17: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.63	$33.81	$35.51	$34.97	$33.91
Max Pain	$34.53	$34.00	$35.00	$35.00	$34.00
ATM IV	17.4%	15.7%	19.5%	15.8%	15.7%
Expected Move	4.7%	4.0%	5.5%	4.0%	4.1%
HV 20d	12.7%	10.0%	15.4%	15.4%	12.7%
HV 60d	14.9%	14.5%	15.3%	14.9%	15.1%
IV Rank	25.1%	12.9%	39.6%	13.5%	12.9%
IV Percentile	24.7%	5.2%	52.0%	5.2%	5.2%
Term Structure	0.3%	-1.1%	3.8%	0.2%	-0.2%
VWIV	16.9%	14.4%	19.5%	14.8%	14.4%
Skew 25d	3.4%	1.3%	5.0%	3.0%	2.9%
Skew 10d	6.1%	3.8%	9.7%	6.6%	4.5%
Call IV 25d	15.9%	14.3%	17.5%	14.3%	14.8%
Put IV 25d	19.2%	17.0%	21.8%	17.3%	17.7%
Bid-Ask Spread %	11.36	6.59	20.56	9.96	11.05
Gamma HHI	0.08	0.06	0.19	0.08	0.07
Net GEX	-24.4M	-105.4M	27.0M	-13.4M	-34.3M
Net DEX	891.0M	243.8M	1.63B	735.9M	1.25B
Net VEX	-12.3M	-13.4M	-11.6M	-12.4M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.29	1.18	7.61	4.23	2.13
Total Volume	244,889.895	124,290	327,310	277,880	124,290
Total OI	2,445,795.368	2,258,124	2,683,404	2,302,306	2,465,700

Daily Data (19 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
2017-04-03	$34.97	$35.00	15.8%	4.0%	15.4%	13.5%	14.8%	3.0%	0.2%	-13.4M	735.9M	-12.4M	4.23	9.96	53,116	224,764	951,086	1,351,220
2017-04-04	$35.13	$35.00	16.3%	4.2%	15.2%	17.0%	15.1%	1.8%	0.0%	-2.4M	544.8M	-12.6M	3.21	10.28	67,632	217,128	974,958	1,360,088
2017-04-05	$35.06	$35.00	17.6%	4.4%	12.2%	26.8%	15.5%	4.8%	-1.1%	-989.3K	586.6M	-12.5M	2.43	20.56	95,284	231,796	997,282	1,362,522
2017-04-06	$35.29	$34.50	16.2%	4.6%	12.3%	16.5%	16.6%	2.8%	0.4%	13.7M	410.8M	-12.7M	2.93	12.32	71,900	210,588	1,024,284	1,380,886
2017-04-07	$35.16	$34.50	17.1%	4.7%	12.3%	23.0%	16.7%	4.1%	-0.3%	10.0M	512.6M	-12.8M	3.74	13.11	58,182	217,842	1,046,744	1,389,106
2017-04-10	$35.51	$34.50	17.3%	4.8%	12.7%	24.3%	18.0%	3.5%	-0.6%	27.0M	243.8M	-12.8M	3.78	9.97	53,260	201,568	1,034,166	1,385,872
2017-04-11	$35.40	$34.50	18.6%	5.1%	12.2%	33.0%	18.5%	4.1%	-0.8%	26.2M	317.2M	-12.9M	2.42	15.39	95,588	231,722	1,055,376	1,391,942
2017-04-12	$35.26	$34.50	18.8%	5.2%	10.0%	34.8%	18.8%	4.6%	-0.3%	13.0M	401.6M	-13.4M	2.24	14.82	85,202	191,234	1,112,672	1,441,208
2017-04-13	$34.67	$34.50	18.4%	5.1%	11.4%	31.8%	17.9%	5.0%	-0.1%	-25.4M	990.5M	-13.0M	6.24	9.37	36,858	229,842	1,113,054	1,448,268
2017-04-17	$34.58	$34.50	19.5%	5.5%	11.3%	39.6%	19.5%	4.3%	2.4%	-30.1M	1.02B	-12.9M	7.61	6.59	28,038	213,494	1,119,572	1,461,504
2017-04-18	$34.45	$34.50	17.6%	5.0%	11.3%	26.7%	18.1%	3.8%	2.0%	-41.5M	1.14B	-12.3M	5.48	8.63	25,556	139,976	1,117,412	1,433,040
2017-04-19	$33.81	$34.50	17.9%	5.1%	12.8%	28.7%	17.6%	3.3%	3.8%	-102.8M	1.63B	-11.6M	3.41	10.70	48,006	163,672	1,119,872	1,439,124
2017-04-20	$34.13	$34.50	18.5%	5.3%	13.4%	32.4%	18.0%	3.3%	0.5%	-87.7M	1.41B	-11.9M	1.23	11.61	130,538	161,054	1,130,062	1,445,698
2017-04-21	$33.97	$34.50	18.3%	5.2%	13.4%	31.5%	18.9%	3.9%	0.9%	-105.4M	1.48B	-11.9M	3.47	7.89	50,570	175,396	1,218,096	1,465,308
2017-04-24	$34.13	$34.50	16.8%	4.5%	13.5%	20.8%	16.5%	2.8%	-0.1%	-31.4M	1.10B	-11.7M	1.18	14.21	79,612	94,104	957,426	1,308,790
2017-04-25	$34.41	$34.50	16.5%	4.1%	13.7%	18.5%	14.6%	1.3%	-0.2%	-18.9M	941.9M	-11.6M	3.54	9.52	45,238	160,074	948,318	1,309,806
2017-04-26	$34.34	$34.50	16.9%	4.3%	13.1%	21.7%	15.4%	2.4%	-0.3%	-18.5M	955.5M	-11.7M	1.82	10.64	83,624	152,434	963,618	1,349,162
2017-04-27	$33.85	$34.00	17.2%	4.6%	12.7%	23.3%	15.8%	2.3%	-0.7%	-41.6M	1.27B	-11.7M	1.44	9.28	83,332	120,394	1,015,202	1,381,668
2017-04-28	$33.91	$34.00	15.7%	4.1%	12.7%	12.9%	14.4%	2.9%	-0.2%	-34.3M	1.25B	-11.6M	2.13	11.05	39,762	84,528	1,056,204	1,409,496