XLE Options History — August 2017

In August 2017, XLE traded between $31.00 and $33.27. ATM implied volatility averaged 16.7%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.0% (HV 20d: 11.7%). Max pain ranged from $32.50 to $34.75. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.32.

Notable Days

2017-08-18: Highest Volume — 214,386 contracts
2017-08-10: Largest IV spike — 10.9% change
2017-08-17: Highest IV Rank — 45.5%
2017-08-18: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.87	$31.00	$33.27	$33.27	$31.50
Max Pain	$34.46	$32.50	$34.75	$32.50	$34.50
ATM IV	16.7%	14.8%	19.4%	14.8%	15.5%
Expected Move	5.1%	4.1%	5.6%	4.2%	5.0%
HV 20d	11.7%	10.3%	13.6%	13.6%	10.3%
HV 60d	14.5%	13.9%	14.8%	14.7%	13.9%
IV Rank	23.5%	8.1%	45.5%	8.1%	13.8%
IV Percentile	31.7%	2.8%	75.0%	2.8%	10.3%
Term Structure	0.2%	-1.9%	1.6%	0.1%	-0.1%
VWIV	17.8%	14.9%	19.7%	14.9%	18.3%
Skew 25d	3.5%	2.8%	4.3%	2.8%	4.2%
Skew 10d	6.2%	4.2%	8.0%	6.0%	6.3%
Call IV 25d	14.9%	13.4%	17.5%	13.8%	13.4%
Put IV 25d	18.5%	16.6%	20.5%	16.6%	17.6%
Bid-Ask Spread %	3.27	2.03	4.29	2.25	4.21
Gamma HHI	0.17	0.10	0.24	0.10	0.22
Net GEX	-105.6M	-163.1M	-11.1M	-11.1M	-163.1M
Net DEX	1.89B	747.8M	2.64B	747.8M	2.07B
Net VEX	-10.2M	-11.4M	-9.4M	-11.4M	-9.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.74	2.80	0.75	1.14
Total Volume	117,733.565	61,288	214,386	61,288	104,358
Total OI	2,773,463.565	2,597,972	2,908,532	2,597,972	2,887,758

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
2017-08-01	$33.27	$32.50	14.8%	4.2%	13.6%	8.1%	14.9%	2.8%	0.1%	-11.1M	747.8M	-11.4M	0.75	2.25	35,096	26,192	1,068,216	1,529,756
2017-08-02	$33.16	$32.50	14.9%	4.1%	11.4%	8.9%	15.9%	2.9%	0.1%	-17.9M	832.7M	-11.4M	1.87	3.40	42,716	79,712	1,074,254	1,535,310
2017-08-03	$32.70	$34.75	15.7%	4.9%	11.6%	15.6%	18.6%	3.3%	-0.2%	-52.3M	1.28B	-11.1M	1.74	2.66	51,248	89,082	1,080,390	1,571,328
2017-08-04	$32.84	$34.75	15.4%	4.8%	11.7%	13.1%	15.9%	3.0%	-0.2%	-38.0M	1.18B	-11.3M	0.74	2.43	44,906	33,360	1,097,584	1,585,684
2017-08-07	$32.52	$34.75	15.7%	5.0%	12.3%	15.4%	17.2%	3.3%	1.6%	-57.4M	1.43B	-10.9M	1.67	2.03	35,288	58,852	1,085,248	1,574,534
2017-08-08	$32.51	$34.75	16.1%	5.1%	12.2%	18.5%	17.0%	2.9%	1.4%	-66.3M	1.45B	-10.9M	0.77	2.94	38,350	29,640	1,093,904	1,606,834
2017-08-09	$32.53	$34.75	16.5%	5.2%	12.2%	21.7%	17.3%	3.1%	1.4%	-64.4M	1.42B	-11.0M	0.95	2.45	34,798	33,076	1,101,242	1,611,072
2017-08-10	$32.15	$34.75	18.3%	5.5%	12.8%	36.4%	18.9%	4.0%	1.1%	-86.3M	1.72B	-10.9M	0.85	4.00	62,866	53,724	1,108,734	1,618,566
2017-08-11	$32.01	$34.75	18.4%	5.5%	12.5%	37.6%	19.2%	3.6%	1.0%	-99.6M	1.85B	-10.7M	1.08	3.12	51,572	55,488	1,123,108	1,634,562
2017-08-14	$31.86	$34.75	18.2%	5.3%	12.6%	36.0%	18.6%	3.4%	-0.3%	-114.0M	1.94B	-10.4M	0.92	3.23	58,654	54,248	1,135,960	1,647,002
2017-08-15	$31.76	$34.75	17.6%	5.1%	12.5%	30.8%	18.2%	2.9%	0.0%	-130.0M	2.10B	-10.3M	1.30	2.44	44,404	57,766	1,150,156	1,687,984
2017-08-16	$31.40	$34.75	17.5%	5.0%	11.6%	30.4%	17.9%	2.8%	-0.5%	-148.1M	2.37B	-9.7M	1.03	3.67	54,294	55,762	1,153,096	1,687,644
2017-08-17	$31.00	$34.75	19.4%	5.6%	12.1%	45.5%	19.7%	3.0%	-1.0%	-145.0M	2.64B	-9.5M	1.29	4.03	64,810	83,362	1,165,570	1,704,510
2017-08-18	$31.25	$34.75	19.0%	5.6%	12.3%	42.2%	19.1%	3.3%	-1.9%	-126.4M	2.48B	-9.7M	2.80	3.80	56,344	158,042	1,182,790	1,725,742
2017-08-21	$31.03	$34.50	17.7%	5.4%	12.4%	31.7%	19.4%	4.2%	-0.1%	-142.7M	2.49B	-9.5M	0.96	3.96	50,318	48,124	1,070,326	1,708,214
2017-08-22	$31.23	$34.50	17.3%	5.3%	10.7%	28.5%	18.7%	4.0%	0.5%	-140.2M	2.33B	-9.7M	2.06	2.62	55,788	115,088	1,084,476	1,719,322
2017-08-23	$31.38	$34.50	16.2%	5.0%	11.0%	19.6%	16.8%	4.3%	-0.4%	-130.0M	2.18B	-9.6M	0.88	2.86	45,286	39,750	1,109,846	1,684,434
2017-08-24	$31.38	$34.50	16.3%	5.1%	10.6%	20.0%	17.9%	4.0%	-0.3%	-125.9M	2.17B	-9.7M	1.06	2.55	41,852	44,220	1,122,388	1,687,328
2017-08-25	$31.54	$34.50	15.8%	4.9%	10.8%	16.0%	16.3%	3.5%	-0.1%	-123.0M	2.02B	-9.6M	1.28	4.22	66,652	84,998	1,131,670	1,693,316
2017-08-28	$31.32	$34.50	16.0%	5.2%	10.7%	18.0%	18.0%	4.3%	0.7%	-142.4M	2.23B	-9.4M	0.99	3.97	57,246	56,778	1,132,240	1,696,022
2017-08-29	$31.30	$34.50	16.0%	5.2%	10.7%	17.6%	17.9%	3.9%	0.7%	-152.0M	2.26B	-9.6M	2.11	4.11	61,704	130,236	1,152,682	1,711,620
2017-08-30	$31.34	$34.50	15.6%	5.2%	10.8%	14.4%	18.3%	4.3%	0.8%	-153.5M	2.22B	-9.5M	2.05	4.29	53,074	108,748	1,167,730	1,689,510
2017-08-31	$31.50	$34.50	15.5%	5.0%	10.3%	13.8%	18.3%	4.2%	-0.1%	-163.1M	2.07B	-9.7M	1.14	4.21	48,660	55,698	1,173,400	1,714,358