XLE Options History — February 2018

In February 2018, XLE traded between $33.34 and $37.78. ATM implied volatility averaged 22.9%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.0% (HV 20d: 25.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2018-02-02: Highest Volume — 406,416 contracts
2018-02-05: Largest IV spike — 30.3% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-09: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.35	$33.34	$37.78	$37.78	$33.42
Max Pain	$35.26	$35.00	$36.00	$35.75	$35.00
ATM IV	22.9%	18.5%	29.5%	18.5%	21.3%
Expected Move	6.7%	5.4%	8.1%	5.4%	6.7%
HV 20d	25.9%	16.3%	28.1%	16.3%	28.1%
HV 60d	19.5%	15.0%	21.0%	15.0%	21.0%
IV Rank	69.8%	43.2%	100.0%	82.6%	53.2%
IV Percentile	97.2%	94.0%	100.0%	95.2%	95.2%
Term Structure	-0.5%	-1.5%	0.3%	0.3%	-0.4%
VWIV	23.8%	18.9%	29.1%	18.9%	23.8%
Skew 25d	4.7%	1.8%	11.0%	1.8%	4.5%
Skew 10d	8.1%	3.0%	17.1%	3.7%	7.4%
Call IV 25d	21.1%	17.7%	26.2%	17.7%	20.0%
Put IV 25d	25.8%	19.5%	37.2%	19.5%	24.5%
Bid-Ask Spread %	4.86	2.75	9.76	5.03	5.69
Gamma HHI	0.06	0.05	0.08	0.06	0.08
Net GEX	-16.7M	-54.8M	61.8M	61.8M	-50.9M
Net DEX	573.3M	-1.20B	1.24B	-1.20B	775.4M
Net VEX	-11.0M	-11.2M	-10.5M	-10.5M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.27	1.64	0.27	0.86
Total Volume	176,557.789	92,408	406,416	269,708	121,922
Total OI	2,535,397.263	2,249,934	2,794,430	2,249,934	2,525,800

Daily Data (19 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
2018-02-01	$37.78	$35.75	18.5%	5.4%	16.3%	82.6%	18.9%	1.8%	0.3%	61.8M	-1.20B	-10.5M	0.27	5.03	212,870	56,838	1,035,554	1,214,380
2018-02-02	$36.14	$36.00	20.7%	6.1%	22.7%	100.0%	21.1%	2.6%	0.3%	44.2M	-168.2M	-11.1M	0.38	3.76	294,504	111,912	1,179,040	1,218,256
2018-02-05	$34.84	$36.00	27.0%	7.5%	25.8%	100.0%	27.5%	2.4%	-0.4%	13.3M	522.3M	-11.0M	1.64	9.76	84,114	137,836	1,170,668	1,227,400
2018-02-06	$34.95	$35.75	25.4%	7.3%	25.7%	89.9%	26.1%	4.3%	-0.3%	10.8M	482.7M	-11.1M	1.17	8.19	82,074	96,236	1,190,044	1,275,940
2018-02-07	$34.48	$35.50	24.6%	6.9%	25.9%	84.6%	25.3%	4.8%	-0.4%	-3.3M	745.9M	-10.9M	1.30	4.07	73,100	94,802	1,225,356	1,316,372
2018-02-08	$33.45	$35.50	27.8%	7.8%	27.5%	100.0%	27.4%	6.9%	-0.7%	-32.7M	1.20B	-11.1M	0.89	5.34	69,118	61,220	1,240,160	1,347,800
2018-02-09	$33.35	$35.25	29.5%	8.1%	25.8%	100.0%	29.1%	11.0%	-1.1%	-35.6M	1.24B	-11.0M	1.39	9.33	109,384	152,364	1,258,112	1,357,456
2018-02-12	$33.89	$35.25	24.8%	7.2%	26.4%	73.2%	24.8%	6.3%	-1.5%	-40.4M	1.03B	-11.2M	0.76	5.23	74,886	57,030	1,239,522	1,443,570
2018-02-13	$33.77	$35.00	24.4%	7.0%	26.4%	71.1%	27.0%	5.3%	-0.9%	-47.3M	1.08B	-11.2M	1.31	2.92	39,928	52,480	1,264,228	1,457,868
2018-02-14	$34.27	$35.00	23.0%	6.6%	27.0%	62.9%	22.3%	4.5%	-0.6%	-38.4M	830.1M	-11.0M	0.78	2.99	125,676	98,064	1,267,692	1,473,412
2018-02-15	$34.09	$35.00	22.6%	6.5%	27.0%	60.9%	22.4%	4.3%	-0.6%	-25.5M	817.0M	-11.2M	0.49	2.75	96,742	47,114	1,333,902	1,425,790
2018-02-16	$34.13	$35.00	21.4%	6.2%	27.1%	54.2%	21.6%	4.8%	-0.6%	-24.9M	768.1M	-11.2M	0.53	2.96	145,258	77,084	1,363,336	1,431,094
2018-02-20	$33.88	$35.00	21.8%	6.6%	25.1%	56.3%	25.4%	5.1%	-0.7%	-33.2M	591.7M	-11.0M	1.04	3.04	55,936	58,004	1,047,340	1,321,270
2018-02-21	$33.34	$35.00	19.5%	6.2%	25.2%	43.2%	20.6%	4.6%	-0.3%	-54.8M	865.9M	-10.7M	0.58	7.70	90,920	53,138	1,070,704	1,346,554
2018-02-22	$33.70	$35.00	21.6%	6.3%	25.9%	55.0%	22.2%	4.4%	-0.1%	-42.8M	691.3M	-10.9M	0.78	3.33	73,168	57,420	1,083,384	1,359,956
2018-02-23	$34.41	$35.00	19.7%	5.8%	27.8%	44.1%	21.2%	4.0%	-0.2%	-6.0M	246.0M	-10.9M	0.66	3.13	73,088	48,076	1,105,900	1,374,170
2018-02-26	$34.60	$35.00	19.6%	5.9%	27.8%	43.9%	21.8%	3.7%	-0.3%	2.6M	85.2M	-10.7M	0.52	3.90	84,602	43,766	1,106,994	1,366,820
2018-02-27	$34.22	$35.00	20.9%	6.3%	27.8%	51.1%	23.1%	4.0%	-0.8%	-13.6M	291.2M	-11.0M	0.69	3.12	85,018	58,906	1,138,490	1,368,214
2018-02-28	$33.42	$35.00	21.3%	6.7%	28.1%	53.2%	23.8%	4.5%	-0.4%	-50.9M	775.4M	-10.9M	0.86	5.69	65,634	56,288	1,151,288	1,374,512