XLE Options History — June 2017

In June 2017, XLE traded between $31.96 and $33.65. ATM implied volatility averaged 16.6%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.7% (HV 20d: 15.8%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.30.

Notable Days

2017-06-14: Highest Volume — 306,988 contracts
2017-06-14: Largest IV spike — 11.3% change
2017-06-21: Highest IV Rank — 33.8%
2017-06-21: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.63	$31.96	$33.65	$32.86	$32.49
Max Pain	$33.34	$33.00	$35.00	$35.00	$33.00
ATM IV	16.6%	14.6%	18.7%	16.3%	16.4%
Expected Move	4.8%	4.3%	5.4%	5.1%	4.5%
HV 20d	15.8%	12.2%	17.7%	15.7%	16.6%
HV 60d	14.6%	13.6%	15.5%	14.4%	15.1%
IV Rank	19.8%	5.1%	33.8%	17.1%	21.1%
IV Percentile	20.8%	1.2%	60.3%	9.9%	15.1%
Term Structure	0.2%	-0.4%	0.7%	0.1%	0.3%
VWIV	17.0%	15.5%	18.6%	18.4%	16.0%
Skew 25d	3.4%	2.7%	4.0%	3.1%	3.7%
Skew 10d	6.1%	4.6%	7.4%	5.6%	6.7%
Call IV 25d	15.4%	14.0%	17.3%	15.3%	14.9%
Put IV 25d	18.8%	17.4%	21.0%	18.5%	18.6%
Bid-Ask Spread %	3.63	2.24	8.63	4.68	3.93
Gamma HHI	0.11	0.07	0.17	0.11	0.08
Net GEX	-75.4M	-114.6M	-27.9M	-108.4M	-27.9M
Net DEX	1.73B	1.07B	2.30B	2.05B	1.31B
Net VEX	-11.6M	-12.6M	-10.1M	-10.6M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.57	3.54	0.93	1.02
Total Volume	141,976.273	67,988	306,988	137,854	128,388
Total OI	2,753,502.727	2,269,508	3,198,442	2,851,570	2,635,040

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
2017-06-01	$32.86	$35.00	16.3%	5.1%	15.7%	17.1%	18.4%	3.1%	0.1%	-108.4M	2.05B	-10.6M	0.93	4.68	71,276	66,578	1,243,340	1,608,230
2017-06-02	$32.52	$35.00	16.8%	5.2%	14.0%	20.7%	18.6%	3.8%	-0.4%	-114.3M	2.30B	-10.2M	0.93	3.85	52,228	48,458	1,260,852	1,606,378
2017-06-05	$32.63	$33.75	15.8%	4.6%	12.6%	13.7%	16.1%	3.0%	0.1%	-114.6M	2.19B	-10.1M	1.03	2.25	52,944	54,552	1,247,890	1,592,552
2017-06-06	$32.97	$33.50	15.6%	4.6%	12.9%	12.4%	16.0%	3.1%	0.2%	-108.8M	1.94B	-10.5M	2.58	2.32	61,586	159,004	1,262,790	1,608,076
2017-06-07	$32.47	$33.00	16.8%	4.9%	13.7%	20.4%	18.2%	3.2%	-0.0%	-107.0M	2.26B	-10.6M	3.54	2.24	55,818	197,512	1,292,962	1,651,058
2017-06-08	$32.44	$33.00	16.4%	4.9%	12.2%	17.8%	16.9%	2.7%	0.2%	-109.6M	2.27B	-10.9M	1.18	5.23	37,234	43,894	1,309,296	1,690,854
2017-06-09	$33.22	$33.00	15.6%	4.5%	15.4%	12.5%	16.4%	3.4%	0.4%	-70.8M	1.66B	-11.4M	1.11	4.76	67,768	75,136	1,319,034	1,692,718
2017-06-12	$33.41	$33.00	15.8%	4.7%	15.5%	13.7%	16.2%	3.8%	0.5%	-68.9M	1.55B	-11.6M	1.18	3.67	78,960	93,526	1,285,588	1,653,036
2017-06-13	$33.65	$33.00	14.6%	4.3%	15.4%	5.1%	15.6%	3.4%	0.2%	-49.8M	1.41B	-11.5M	1.48	3.11	41,038	60,554	1,318,086	1,692,228
2017-06-14	$33.05	$33.00	16.2%	4.7%	16.5%	16.6%	16.5%	3.4%	0.3%	-109.2M	1.94B	-11.5M	1.08	8.63	147,310	159,678	1,323,502	1,708,638
2017-06-15	$32.73	$33.50	17.2%	5.0%	16.6%	23.9%	17.5%	2.8%	0.2%	-98.7M	2.17B	-12.1M	1.15	5.61	68,150	78,306	1,403,368	1,794,774
2017-06-16	$33.12	$33.25	15.3%	4.5%	17.2%	10.5%	15.5%	3.3%	0.4%	-44.1M	1.85B	-12.3M	2.07	4.11	46,412	96,126	1,395,288	1,803,154
2017-06-19	$32.88	$33.50	16.2%	4.7%	16.8%	16.5%	16.6%	3.2%	0.2%	-40.3M	1.07B	-12.3M	1.10	2.52	56,768	62,192	899,912	1,369,596
2017-06-20	$32.48	$33.50	17.0%	4.9%	17.2%	22.4%	17.6%	3.4%	0.1%	-53.2M	1.34B	-12.0M	1.32	2.77	75,472	99,716	920,932	1,396,048
2017-06-21	$32.00	$33.50	18.7%	5.4%	17.7%	33.8%	18.5%	3.7%	0.3%	-64.8M	1.61B	-12.0M	0.81	2.60	73,884	59,680	964,112	1,439,106
2017-06-22	$31.96	$33.00	17.8%	5.1%	17.7%	27.8%	18.3%	3.3%	0.5%	-65.7M	1.62B	-12.2M	1.69	2.86	46,338	78,350	1,006,194	1,465,044
2017-06-23	$32.15	$33.00	17.1%	4.9%	17.1%	23.0%	17.1%	3.4%	0.7%	-61.4M	1.53B	-12.4M	1.21	2.50	51,110	61,654	1,020,402	1,497,198
2017-06-26	$32.16	$33.00	17.0%	4.8%	17.1%	22.0%	16.6%	3.4%	0.3%	-65.9M	1.53B	-12.3M	0.73	2.24	39,410	28,578	1,009,102	1,505,350
2017-06-27	$32.09	$33.00	17.5%	4.9%	16.9%	25.6%	17.6%	3.5%	0.5%	-67.9M	1.57B	-12.1M	0.63	2.48	62,546	39,424	1,018,378	1,507,880
2017-06-28	$32.22	$33.00	16.9%	4.6%	16.9%	25.4%	16.0%	3.3%	0.1%	-60.4M	1.49B	-12.3M	0.57	3.67	75,480	42,948	1,034,104	1,519,928
2017-06-29	$32.30	$33.00	17.9%	5.0%	16.9%	33.2%	17.4%	4.0%	-0.1%	-46.8M	1.40B	-12.5M	1.19	3.89	58,178	69,314	1,073,492	1,531,550
2017-06-30	$32.49	$33.00	16.4%	4.5%	16.6%	21.1%	16.0%	3.7%	0.3%	-27.9M	1.31B	-12.6M	1.02	3.93	63,432	64,956	1,082,920	1,552,120