XLE Options History — January 2018

In January 2018, XLE traded between $36.72 and $39.02. ATM implied volatility averaged 15.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.1% (HV 20d: 14.4%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2018-01-11: Highest Volume — 480,944 contracts
2018-01-16: Largest IV spike — 9.4% change
2018-01-30: Highest IV Rank — 79.9%
2018-01-30: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.06	$36.72	$39.02	$36.72	$37.48
Max Pain	$36.31	$35.00	$37.00	$35.00	$37.00
ATM IV	15.5%	13.6%	18.3%	14.5%	17.6%
Expected Move	4.5%	4.0%	5.4%	4.1%	5.1%
HV 20d	14.4%	12.6%	17.8%	13.8%	16.9%
HV 60d	13.5%	12.5%	15.0%	12.5%	15.0%
IV Rank	44.8%	21.6%	79.9%	32.3%	71.0%
IV Percentile	44.9%	17.1%	91.7%	24.2%	84.5%
Term Structure	0.2%	-0.8%	0.7%	0.2%	0.2%
VWIV	16.1%	14.0%	18.8%	14.6%	18.8%
Skew 25d	1.4%	1.0%	1.9%	1.3%	1.9%
Skew 10d	2.6%	1.6%	3.9%	2.2%	3.9%
Call IV 25d	15.2%	13.4%	18.0%	14.4%	17.1%
Put IV 25d	16.6%	14.8%	19.7%	15.7%	19.0%
Bid-Ask Spread %	2.82	1.78	6.72	2.32	6.72
Gamma HHI	0.08	0.06	0.10	0.09	0.06
Net GEX	121.0M	50.6M	170.8M	130.1M	50.6M
Net DEX	-2.38B	-3.54B	-944.4M	-1.87B	-944.4M
Net VEX	-10.1M	-10.9M	-9.6M	-10.2M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.21	1.32	0.37	0.71
Total Volume	186,515.143	77,912	480,944	180,888	159,216
Total OI	2,704,488.476	2,113,556	3,300,852	2,619,904	2,254,754

Daily Data (21 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
2018-01-02	$36.72	$35.00	14.5%	4.1%	13.8%	32.3%	14.6%	1.3%	0.2%	130.1M	-1.87B	-10.2M	0.37	2.32	132,066	48,822	1,150,790	1,469,114
2018-01-03	$37.29	$35.00	14.9%	4.2%	14.5%	37.5%	15.2%	1.0%	0.1%	133.9M	-2.40B	-9.6M	0.21	2.00	351,354	74,346	1,182,312	1,481,792
2018-01-04	$37.52	$36.00	14.4%	4.2%	14.1%	31.4%	14.9%	1.3%	0.3%	167.4M	-2.75B	-10.1M	0.48	1.82	115,912	55,186	1,320,220	1,509,394
2018-01-05	$37.51	$36.00	13.9%	4.1%	12.6%	24.6%	14.0%	1.5%	0.2%	155.1M	-2.69B	-9.9M	0.60	2.55	203,304	122,950	1,306,234	1,521,864
2018-01-08	$37.70	$36.00	13.8%	4.1%	12.6%	23.5%	14.7%	1.2%	0.6%	157.0M	-2.76B	-10.3M	1.18	2.14	91,722	108,434	1,373,826	1,594,656
2018-01-09	$37.59	$36.00	13.6%	4.1%	12.9%	21.6%	14.2%	1.2%	0.5%	156.8M	-2.69B	-10.2M	0.43	2.50	111,826	48,322	1,380,990	1,608,958
2018-01-10	$37.57	$36.00	13.7%	4.0%	12.9%	22.7%	14.2%	1.3%	0.4%	150.3M	-2.63B	-10.1M	1.18	4.36	36,744	43,284	1,381,308	1,623,596
2018-01-11	$38.31	$36.00	14.7%	4.4%	13.8%	35.0%	15.7%	1.0%	0.5%	150.7M	-3.22B	-9.8M	0.32	5.19	363,004	117,940	1,387,330	1,632,330
2018-01-12	$38.67	$36.00	14.5%	4.3%	13.7%	32.5%	15.3%	1.2%	0.7%	170.5M	-3.54B	-10.0M	0.51	2.10	132,536	67,232	1,484,368	1,700,432
2018-01-16	$38.23	$36.00	15.9%	4.6%	14.6%	49.6%	16.2%	1.8%	-0.8%	149.3M	-3.01B	-10.1M	0.91	2.31	65,448	59,576	1,456,410	1,700,854
2018-01-17	$38.52	$36.50	15.8%	4.5%	13.6%	49.0%	16.3%	1.7%	-0.5%	170.8M	-3.25B	-9.8M	0.87	2.31	61,684	53,400	1,463,370	1,723,470
2018-01-18	$38.25	$36.50	15.8%	4.6%	14.3%	48.6%	15.5%	1.6%	-0.5%	138.5M	-3.04B	-9.9M	1.05	1.78	86,156	90,256	1,477,862	1,740,330
2018-01-19	$38.17	$36.50	14.7%	4.3%	14.4%	34.9%	15.9%	1.8%	-0.5%	77.4M	-2.96B	-10.2M	0.51	2.14	75,982	39,008	1,510,512	1,790,340
2018-01-22	$39.02	$36.50	15.6%	4.6%	15.2%	46.7%	16.3%	1.1%	0.1%	84.5M	-2.01B	-9.7M	0.56	2.33	107,042	59,652	958,866	1,154,690
2018-01-23	$38.97	$36.50	15.8%	4.6%	14.2%	48.7%	16.3%	1.5%	0.4%	98.3M	-2.09B	-9.9M	0.59	2.44	86,660	51,522	1,014,536	1,175,238
2018-01-24	$38.89	$37.00	16.3%	4.8%	14.3%	54.7%	17.1%	1.7%	0.5%	98.7M	-2.02B	-10.1M	0.49	2.30	91,600	45,184	1,030,396	1,196,466
2018-01-25	$38.53	$37.00	16.8%	5.0%	15.0%	61.2%	17.8%	1.5%	0.2%	81.4M	-1.73B	-10.4M	0.44	2.48	80,976	35,630	1,021,476	1,204,004
2018-01-26	$38.69	$37.00	16.7%	4.9%	14.8%	60.3%	18.4%	1.4%	0.2%	85.0M	-1.83B	-10.6M	0.69	1.99	46,236	31,676	1,065,350	1,212,480
2018-01-29	$38.20	$37.00	17.9%	5.3%	15.8%	75.0%	18.5%	1.7%	0.2%	75.7M	-1.48B	-10.9M	1.32	4.60	70,664	93,106	1,062,290	1,199,626
2018-01-30	$37.43	$37.00	18.3%	5.4%	17.8%	79.9%	18.8%	1.7%	0.1%	59.2M	-972.4M	-10.7M	0.71	2.79	117,826	83,334	1,075,532	1,195,892
2018-01-31	$37.48	$37.00	17.6%	5.1%	16.9%	71.0%	18.8%	1.9%	0.2%	50.6M	-944.4M	-10.6M	0.71	6.72	93,192	66,024	1,038,054	1,216,700