XLE Options History — March 2018

In March 2018, XLE traded between $33.02 and $34.30. ATM implied volatility averaged 19.7%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.9% (HV 20d: 20.6%). Max pain ranged from $33.50 to $35.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2018-03-21: Highest Volume — 378,608 contracts
2018-03-19: Largest IV spike — 14.7% change
2018-03-23: Highest IV Rank — 61.2%
2018-03-01: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.70	$33.02	$34.30	$33.34	$33.75
Max Pain	$33.96	$33.50	$35.00	$35.00	$33.75
ATM IV	19.7%	16.2%	22.7%	22.6%	20.3%
Expected Move	5.7%	4.7%	7.1%	7.1%	5.7%
HV 20d	20.6%	17.5%	28.0%	28.0%	21.6%
HV 60d	21.5%	20.9%	22.8%	21.0%	22.8%
IV Rank	44.1%	24.4%	61.2%	60.9%	47.8%
IV Percentile	86.8%	53.6%	96.8%	96.8%	91.3%
Term Structure	0.1%	-0.9%	0.6%	-0.7%	0.2%
VWIV	20.5%	17.3%	24.5%	24.5%	20.6%
Skew 25d	3.7%	2.6%	5.0%	4.8%	3.6%
Skew 10d	7.5%	5.3%	10.3%	8.8%	6.8%
Call IV 25d	18.5%	15.2%	21.6%	21.1%	19.0%
Put IV 25d	22.3%	17.8%	25.9%	25.9%	22.6%
Bid-Ask Spread %	3.83	2.37	8.09	5.12	3.60
Gamma HHI	0.07	0.05	0.09	0.08	0.06
Net GEX	-16.2M	-56.0M	31.4M	-55.0M	31.4M
Net DEX	337.5M	-233.8M	836.5M	836.5M	-24.7M
Net VEX	-10.5M	-11.3M	-9.8M	-11.1M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.60	3.16	0.92	3.16
Total Volume	174,757.333	84,352	378,608	88,208	209,384
Total OI	2,372,153.619	1,740,998	2,670,944	2,570,648	2,215,192

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
2018-03-01	$33.34	$35.00	22.6%	7.1%	28.0%	60.9%	24.5%	4.8%	-0.7%	-55.0M	836.5M	-11.1M	0.92	5.12	45,916	42,292	1,167,600	1,403,048
2018-03-02	$33.55	$35.00	21.1%	6.7%	27.9%	52.3%	22.9%	5.0%	-0.9%	-46.0M	711.5M	-10.9M	0.90	3.90	64,538	58,098	1,174,402	1,397,772
2018-03-05	$33.87	$34.00	20.2%	5.8%	24.3%	47.1%	20.2%	4.4%	0.0%	-32.9M	461.2M	-10.7M	0.72	2.74	69,300	49,872	1,170,762	1,388,414
2018-03-06	$33.84	$34.00	20.0%	5.7%	20.9%	45.8%	21.0%	3.9%	0.1%	-34.9M	461.3M	-10.7M	1.03	4.20	41,586	42,766	1,194,038	1,398,030
2018-03-07	$33.60	$34.00	20.1%	5.7%	20.9%	46.7%	20.8%	4.0%	0.2%	-51.8M	647.8M	-10.6M	1.04	3.57	45,956	47,822	1,192,012	1,405,542
2018-03-08	$33.53	$34.00	19.4%	5.6%	20.5%	42.8%	22.0%	4.0%	0.1%	-56.0M	665.1M	-10.6M	0.95	3.74	51,818	49,250	1,216,428	1,416,116
2018-03-09	$34.23	$34.00	17.5%	5.2%	18.8%	31.8%	18.7%	3.1%	0.2%	-5.0M	151.5M	-10.4M	0.82	2.98	65,282	53,238	1,214,770	1,421,570
2018-03-12	$34.23	$33.75	17.7%	5.1%	18.8%	33.1%	18.8%	3.1%	0.2%	22.0M	139.2M	-10.1M	0.96	3.18	49,976	47,820	1,193,632	1,405,318
2018-03-13	$33.91	$34.00	18.0%	5.2%	18.3%	34.5%	18.5%	2.9%	0.1%	-10.6M	361.4M	-9.9M	0.96	3.68	78,434	75,408	1,193,848	1,415,284
2018-03-14	$33.76	$34.00	17.7%	5.1%	18.3%	32.7%	18.6%	3.3%	0.2%	-15.5M	474.3M	-10.0M	1.41	2.70	46,190	65,018	1,212,398	1,439,660
2018-03-15	$33.63	$34.00	17.4%	5.1%	17.5%	31.2%	19.4%	3.2%	0.3%	-32.9M	571.7M	-9.9M	1.37	2.84	65,532	89,484	1,214,202	1,449,498
2018-03-16	$33.72	$34.00	16.2%	4.7%	17.5%	24.4%	17.3%	2.6%	0.4%	-26.5M	466.3M	-9.8M	1.23	2.37	68,010	83,396	1,210,330	1,460,614
2018-03-19	$33.15	$33.75	18.6%	5.3%	18.4%	37.9%	18.0%	3.5%	0.6%	-32.5M	447.6M	-9.9M	0.60	3.49	89,666	53,662	798,840	942,158
2018-03-20	$33.42	$33.75	18.1%	5.2%	18.6%	35.0%	20.4%	3.7%	0.3%	-14.8M	256.4M	-10.0M	2.67	2.48	60,376	161,344	835,118	949,482
2018-03-21	$34.30	$33.50	18.7%	5.4%	20.0%	38.4%	18.6%	3.3%	0.2%	29.2M	-233.8M	-10.4M	1.73	8.09	138,848	239,760	852,284	1,073,244
2018-03-22	$33.61	$33.75	21.3%	6.1%	21.1%	53.6%	21.0%	4.4%	-0.1%	-3.1M	148.0M	-10.7M	2.07	3.98	90,288	187,204	907,864	1,187,348
2018-03-23	$33.42	$33.75	22.7%	6.5%	19.6%	61.2%	22.6%	3.9%	-0.0%	-12.1M	221.1M	-11.1M	1.80	4.68	100,558	181,508	957,830	1,204,464
2018-03-26	$34.03	$33.75	21.0%	6.0%	20.7%	51.7%	22.4%	3.8%	0.1%	21.4M	-142.5M	-11.1M	2.92	3.31	58,188	170,170	941,168	1,212,392
2018-03-27	$33.69	$33.75	21.9%	6.3%	20.6%	56.8%	21.8%	4.2%	0.1%	7.9M	56.3M	-11.3M	3.10	5.66	72,030	223,586	958,222	1,218,720
2018-03-28	$33.02	$33.75	22.7%	6.6%	20.1%	61.1%	23.3%	4.1%	0.3%	-23.4M	411.7M	-10.9M	2.84	4.16	61,494	174,836	975,444	1,230,168
2018-03-29	$33.75	$33.75	20.3%	5.7%	21.6%	47.8%	20.6%	3.6%	0.2%	31.4M	-24.7M	-11.1M	3.16	3.60	50,278	159,106	986,522	1,228,670