XLE Options History — May 2017

In May 2017, XLE traded between $32.76 and $34.14. ATM implied volatility averaged 17.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.8% (HV 20d: 15.4%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2017-05-19: Highest Volume — 308,562 contracts
2017-05-04: Largest IV spike — 11.0% change
2017-05-17: Highest IV Rank — 42.3%
2017-05-17: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.69	$32.76	$34.14	$33.88	$32.76
Max Pain	$35.22	$34.00	$36.00	$34.00	$35.00
ATM IV	17.3%	15.5%	19.9%	15.5%	17.0%
Expected Move	5.1%	4.0%	5.7%	4.0%	5.4%
HV 20d	15.4%	12.7%	17.1%	12.7%	15.8%
HV 60d	15.2%	14.4%	15.8%	15.0%	14.5%
IV Rank	24.0%	11.7%	42.3%	11.7%	22.5%
IV Percentile	26.5%	4.4%	63.5%	4.4%	23.0%
Term Structure	0.1%	-1.1%	1.7%	0.1%	-0.2%
VWIV	18.2%	15.6%	21.1%	15.6%	18.9%
Skew 25d	2.9%	2.4%	3.9%	2.5%	3.5%
Skew 10d	5.3%	4.1%	7.4%	4.7%	6.3%
Call IV 25d	16.1%	14.7%	18.1%	14.7%	15.7%
Put IV 25d	19.0%	17.2%	22.0%	17.2%	19.2%
Bid-Ask Spread %	6.51	3.50	16.59	7.77	7.04
Gamma HHI	0.08	0.07	0.11	0.07	0.11
Net GEX	-55.1M	-106.1M	-16.6M	-40.3M	-106.1M
Net DEX	1.39B	977.3M	2.13B	1.30B	2.13B
Net VEX	-11.8M	-12.7M	-10.6M	-11.4M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.55	1.60	1.42	0.74
Total Volume	166,671.091	86,298	308,562	106,744	163,852
Total OI	2,724,339.364	2,443,068	2,902,280	2,443,068	2,836,860

Daily Data (22 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
2017-05-01	$33.88	$34.00	15.5%	4.0%	12.7%	11.7%	15.6%	2.5%	0.1%	-40.3M	1.30B	-11.4M	1.42	7.77	44,062	62,682	1,032,756	1,410,312
2017-05-02	$33.65	$34.00	15.7%	4.2%	12.9%	12.9%	16.4%	2.6%	0.2%	-52.3M	1.46B	-11.2M	1.60	10.02	38,806	61,982	1,032,748	1,419,802
2017-05-03	$33.83	$34.00	16.5%	4.4%	12.9%	18.8%	16.6%	2.9%	0.0%	-47.0M	1.34B	-11.7M	1.17	16.59	45,558	53,134	1,028,270	1,441,106
2017-05-04	$33.07	$36.00	18.3%	5.6%	14.8%	31.5%	19.9%	2.9%	0.5%	-74.0M	1.82B	-11.0M	1.22	5.01	91,244	111,128	1,045,838	1,457,502
2017-05-05	$33.61	$36.00	16.7%	5.1%	16.0%	19.9%	17.8%	2.5%	0.1%	-54.2M	1.49B	-11.9M	1.03	8.31	61,858	63,576	1,100,420	1,506,338
2017-05-08	$33.86	$36.00	16.1%	5.0%	16.4%	15.6%	17.4%	2.4%	1.5%	-43.2M	1.30B	-12.1M	0.85	3.75	82,440	69,708	1,101,220	1,512,190
2017-05-09	$33.59	$35.50	17.1%	5.3%	15.9%	23.0%	19.1%	2.6%	1.4%	-52.6M	1.48B	-12.1M	1.43	5.07	35,482	50,816	1,150,074	1,531,342
2017-05-10	$34.10	$35.50	16.8%	5.2%	17.1%	20.9%	18.7%	2.5%	1.4%	-16.6M	1.04B	-12.5M	1.05	5.02	88,690	93,286	1,155,436	1,538,872
2017-05-11	$33.99	$35.50	17.2%	5.3%	17.1%	23.8%	19.6%	2.6%	1.4%	-22.4M	1.05B	-12.7M	1.11	6.47	62,894	69,906	1,220,120	1,597,330
2017-05-12	$33.84	$35.50	17.4%	5.3%	16.2%	25.1%	18.3%	2.6%	1.7%	-33.9M	1.23B	-12.6M	0.90	4.61	99,634	89,224	1,232,804	1,607,544
2017-05-15	$34.14	$35.50	17.4%	5.1%	16.6%	25.1%	17.5%	2.6%	-0.5%	-21.6M	977.3M	-12.2M	0.83	3.50	85,306	71,188	1,203,770	1,603,474
2017-05-16	$33.98	$35.75	18.0%	5.2%	16.6%	29.4%	17.7%	2.4%	-0.6%	-42.0M	1.17B	-11.9M	0.92	3.62	70,386	64,820	1,198,112	1,613,864
2017-05-17	$33.70	$35.50	19.9%	5.7%	15.5%	42.3%	21.1%	3.9%	-1.1%	-64.3M	1.44B	-11.9M	0.94	4.23	98,542	92,312	1,209,738	1,617,574
2017-05-18	$33.67	$35.50	19.1%	5.5%	15.0%	36.7%	20.4%	3.7%	-0.7%	-81.1M	1.52B	-12.2M	0.60	6.21	127,380	76,748	1,226,456	1,646,590
2017-05-19	$34.03	$35.50	18.1%	5.3%	15.4%	30.1%	18.7%	3.0%	-0.9%	-50.3M	1.10B	-12.3M	0.55	6.42	199,410	109,152	1,231,664	1,664,292
2017-05-22	$33.96	$35.00	17.1%	5.1%	15.4%	22.5%	18.1%	3.5%	-0.0%	-41.1M	1.14B	-11.9M	0.72	6.45	105,648	75,586	1,149,350	1,531,844
2017-05-23	$34.03	$35.00	17.2%	5.1%	15.1%	23.4%	17.4%	3.5%	0.1%	-24.5M	1.01B	-12.1M	0.92	6.08	85,708	78,808	1,199,362	1,549,394
2017-05-24	$33.84	$35.00	18.1%	5.4%	15.2%	29.9%	18.9%	3.0%	-0.7%	-38.1M	1.18B	-12.1M	0.77	6.96	125,894	96,892	1,215,246	1,572,846
2017-05-25	$33.26	$35.00	17.2%	5.2%	15.6%	23.7%	17.8%	2.8%	-0.7%	-95.9M	1.79B	-11.4M	0.62	8.90	158,982	98,724	1,232,734	1,596,644
2017-05-26	$33.28	$35.00	16.3%	4.8%	15.5%	17.4%	16.8%	3.0%	-0.8%	-104.5M	1.78B	-11.4M	0.80	5.96	106,310	84,608	1,281,118	1,621,162
2017-05-30	$33.02	$35.00	16.9%	5.2%	15.7%	21.4%	18.0%	3.1%	-0.6%	-105.0M	1.94B	-10.9M	1.10	5.18	54,424	59,974	1,213,482	1,597,866
2017-05-31	$32.76	$35.00	17.0%	5.4%	15.8%	22.5%	18.9%	3.5%	-0.2%	-106.1M	2.13B	-10.6M	0.74	7.04	93,992	69,860	1,230,596	1,606,264