XLE Options History — July 2017

In July 2017, XLE traded between $32.01 and $33.38. ATM implied volatility averaged 16.2%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.6% (HV 20d: 15.5%). Max pain ranged from $32.50 to $33.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.01.

Notable Days

2017-07-26: Highest Volume — 416,348 contracts
2017-07-05: Largest IV spike — 10.4% change
2017-07-06: Highest IV Rank — 46.4%
2017-07-06: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.68	$32.01	$33.38	$33.09	$33.38
Max Pain	$32.55	$32.50	$33.00	$33.00	$32.50
ATM IV	16.2%	14.5%	19.5%	16.7%	14.5%
Expected Move	4.6%	4.1%	5.5%	4.7%	4.1%
HV 20d	15.5%	13.2%	18.8%	17.8%	14.9%
HV 60d	15.6%	15.0%	16.0%	15.5%	15.0%
IV Rank	19.3%	5.8%	46.4%	23.2%	5.8%
IV Percentile	19.4%	1.2%	71.4%	20.2%	1.2%
Term Structure	0.1%	-0.7%	0.5%	0.2%	-0.0%
VWIV	16.2%	14.5%	18.9%	16.7%	15.2%
Skew 25d	3.2%	2.3%	4.2%	3.3%	2.9%
Skew 10d	6.3%	4.6%	8.0%	6.8%	6.1%
Call IV 25d	14.9%	13.6%	17.8%	15.3%	13.6%
Put IV 25d	18.0%	16.3%	22.0%	18.6%	16.5%
Bid-Ask Spread %	3.98	1.75	20.27	8.24	2.30
Gamma HHI	0.09	0.08	0.11	0.08	0.10
Net GEX	-36.1M	-80.0M	22.4M	-26.4M	-6.9M
Net DEX	1.19B	652.6M	1.70B	839.0M	652.6M
Net VEX	-11.6M	-12.9M	-10.6M	-12.9M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.45	3.23	0.54	0.83
Total Volume	121,514.7	50,080	416,348	90,948	101,308
Total OI	2,618,930.3	2,455,844	2,738,840	2,570,608	2,581,764

Daily Data (20 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
2017-07-03	$33.09	$33.00	16.7%	4.7%	17.8%	23.2%	16.7%	3.3%	0.2%	-26.4M	839.0M	-12.9M	0.54	8.24	59,140	31,808	1,025,698	1,544,910
2017-07-05	$32.43	$33.00	18.4%	5.1%	18.8%	37.4%	17.5%	3.9%	-0.1%	-48.0M	1.38B	-12.5M	0.78	6.34	61,706	48,008	1,029,004	1,542,728
2017-07-06	$32.01	$32.50	19.5%	5.5%	18.6%	46.4%	18.9%	4.2%	-0.1%	-69.6M	1.67B	-12.3M	1.02	6.43	32,896	33,576	1,036,052	1,558,032
2017-07-07	$32.04	$32.50	18.5%	5.2%	18.6%	38.4%	18.7%	4.0%	0.1%	-71.8M	1.70B	-11.9M	1.49	2.56	44,486	66,446	1,042,142	1,563,922
2017-07-10	$32.13	$32.50	17.6%	5.1%	16.3%	30.7%	17.6%	3.6%	0.2%	-80.0M	1.65B	-11.7M	1.12	2.19	38,972	43,568	1,033,246	1,585,636
2017-07-11	$32.27	$32.50	17.5%	4.9%	16.2%	30.6%	18.1%	3.6%	-0.6%	-73.6M	1.55B	-11.8M	1.15	2.11	23,322	26,758	1,035,344	1,592,954
2017-07-12	$32.35	$32.50	17.1%	4.7%	16.0%	26.9%	16.9%	3.4%	-0.7%	-67.4M	1.49B	-11.7M	1.09	2.09	64,052	69,814	1,039,386	1,596,990
2017-07-13	$32.48	$32.50	16.3%	4.6%	15.0%	19.9%	16.7%	3.1%	-0.1%	-56.9M	1.39B	-11.6M	1.45	4.61	33,062	48,094	1,061,488	1,596,230
2017-07-14	$32.73	$32.50	15.6%	4.5%	14.9%	14.1%	15.0%	2.9%	0.4%	-31.2M	1.19B	-11.6M	1.01	2.01	52,806	53,546	1,065,638	1,619,158
2017-07-17	$32.66	$32.50	15.8%	4.6%	14.2%	16.3%	15.9%	3.2%	-0.2%	-39.7M	1.26B	-11.4M	0.99	2.14	51,772	51,206	1,067,050	1,602,780
2017-07-18	$32.50	$32.50	15.3%	4.4%	14.1%	11.9%	15.3%	3.3%	0.4%	-57.4M	1.42B	-11.3M	0.92	1.80	40,992	37,730	1,077,584	1,607,728
2017-07-19	$32.98	$32.50	15.2%	4.3%	14.4%	11.0%	16.2%	2.5%	-0.0%	3.0M	947.4M	-11.5M	1.00	20.27	62,058	62,026	1,091,764	1,610,066
2017-07-20	$32.90	$32.50	14.8%	4.2%	13.2%	7.7%	14.5%	2.3%	0.2%	22.4M	989.1M	-11.4M	0.61	2.40	91,992	56,298	1,107,322	1,604,744
2017-07-21	$32.54	$32.50	15.1%	4.3%	13.9%	10.3%	15.7%	2.5%	0.5%	-63.5M	1.31B	-11.1M	0.77	1.75	73,596	56,348	1,137,868	1,600,972
2017-07-24	$32.46	$32.50	15.2%	4.3%	13.8%	10.9%	14.6%	3.0%	0.2%	-50.0M	1.26B	-10.6M	0.45	2.34	71,594	32,560	1,007,980	1,447,864
2017-07-25	$33.02	$32.50	15.3%	4.3%	15.0%	11.7%	15.1%	2.8%	0.1%	-13.9M	826.8M	-11.0M	0.62	2.06	96,990	60,572	1,037,592	1,454,498
2017-07-26	$33.03	$32.50	15.1%	4.2%	14.9%	10.7%	15.4%	2.5%	0.2%	-4.5M	828.3M	-11.4M	3.23	2.28	98,404	317,944	1,072,946	1,470,504
2017-07-27	$33.22	$32.50	15.1%	4.2%	15.0%	10.4%	14.7%	2.9%	0.2%	-3.4M	736.8M	-11.8M	0.48	3.05	72,260	34,354	1,073,430	1,542,458
2017-07-28	$33.28	$32.50	15.2%	4.3%	15.0%	11.6%	15.6%	3.0%	0.2%	16.6M	684.6M	-11.7M	0.68	2.64	76,470	51,760	1,071,754	1,541,380
2017-07-31	$33.38	$32.50	14.5%	4.1%	14.9%	5.8%	15.2%	2.9%	-0.0%	-6.9M	652.6M	-11.4M	0.83	2.30	55,220	46,088	1,057,400	1,524,364