XLE Options History — April 2018

In April 2018, XLE traded between $33.03 and $37.29. ATM implied volatility averaged 20.5%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.8% (HV 20d: 24.3%). Max pain ranged from $33.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.65.

Notable Days

2018-04-18: Highest Volume — 537,268 contracts
2018-04-03: Largest IV drop — 8.6% change
2018-04-02: Highest IV Rank — 65.2%
2018-04-02: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.61	$33.03	$37.29	$33.03	$37.02
Max Pain	$34.45	$33.50	$35.00	$33.50	$35.00
ATM IV	20.5%	18.0%	23.4%	23.4%	18.4%
Expected Move	5.9%	5.2%	6.8%	6.8%	5.5%
HV 20d	24.3%	19.2%	26.7%	22.8%	19.2%
HV 60d	24.1%	22.9%	24.5%	22.9%	24.4%
IV Rank	48.6%	34.7%	65.2%	65.2%	36.8%
IV Percentile	87.1%	74.6%	97.2%	97.2%	76.6%
Term Structure	-0.1%	-0.5%	0.2%	-0.3%	-0.0%
VWIV	20.9%	18.5%	24.2%	24.2%	18.9%
Skew 25d	3.1%	2.2%	4.6%	4.6%	2.6%
Skew 10d	5.9%	3.7%	8.9%	8.9%	4.7%
Call IV 25d	19.4%	17.3%	21.9%	21.7%	17.4%
Put IV 25d	22.5%	20.0%	26.3%	26.3%	20.0%
Bid-Ask Spread %	4.20	2.54	7.05	7.05	2.54
Gamma HHI	0.09	0.05	0.27	0.05	0.12
Net GEX	91.4M	7.0M	184.6M	7.0M	93.5M
Net DEX	-1.18B	-2.30B	328.0M	328.0M	-1.65B
Net VEX	-11.2M	-11.8M	-10.7M	-10.7M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.54	2.71	1.83	1.57
Total Volume	245,147.619	120,398	537,268	227,328	120,398
Total OI	2,305,853.81	2,030,086	2,632,650	2,030,086	2,377,816

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
2018-04-02	$33.03	$33.50	23.4%	6.8%	22.8%	65.2%	24.2%	4.6%	-0.3%	7.0M	328.0M	-10.7M	1.83	7.05	80,208	147,120	939,964	1,090,122
2018-04-03	$33.74	$33.50	21.4%	6.3%	23.8%	53.8%	22.8%	4.3%	-0.0%	38.8M	-75.1M	-10.9M	2.49	4.00	52,266	130,012	978,646	1,092,630
2018-04-04	$33.76	$33.50	21.1%	6.2%	23.8%	52.0%	22.3%	4.0%	-0.0%	40.6M	-72.8M	-11.0M	2.41	3.45	50,030	120,680	989,806	1,102,116
2018-04-05	$34.33	$34.00	20.7%	5.8%	24.4%	49.8%	20.2%	3.8%	-0.2%	66.8M	-430.9M	-11.0M	1.22	3.52	114,800	139,602	993,344	1,106,174
2018-04-06	$33.66	$34.50	22.2%	6.4%	25.5%	58.5%	22.0%	3.9%	0.0%	36.6M	-6.8M	-10.9M	2.71	6.27	52,300	141,914	1,033,792	1,121,476
2018-04-09	$34.00	$34.00	21.6%	6.2%	24.7%	54.9%	21.1%	4.1%	0.0%	48.9M	-177.6M	-10.9M	2.47	3.84	52,346	129,296	1,003,508	1,123,920
2018-04-10	$34.98	$34.00	22.4%	6.4%	26.7%	59.8%	22.2%	3.4%	-0.1%	77.8M	-833.7M	-11.3M	0.70	5.22	225,186	158,622	1,019,304	1,139,502
2018-04-11	$35.34	$34.50	22.5%	6.4%	26.6%	60.0%	22.6%	2.4%	-0.1%	95.9M	-1.15B	-11.3M	0.96	6.62	199,166	191,734	1,080,260	1,159,554
2018-04-12	$35.45	$34.50	21.9%	6.3%	26.5%	56.7%	22.3%	2.4%	0.2%	119.1M	-1.32B	-11.8M	1.34	3.16	93,510	125,386	1,211,198	1,164,370
2018-04-13	$35.70	$34.50	20.8%	6.0%	26.4%	50.3%	21.2%	2.2%	0.2%	134.3M	-1.51B	-11.7M	1.45	4.89	88,036	127,602	1,230,310	1,176,684
2018-04-16	$36.10	$34.50	19.4%	5.5%	26.6%	42.5%	18.9%	2.6%	0.0%	136.1M	-1.79B	-11.1M	0.96	3.06	149,626	143,148	1,224,024	1,159,250
2018-04-17	$36.27	$34.50	18.0%	5.2%	25.4%	34.7%	18.5%	2.7%	0.1%	128.3M	-1.89B	-10.8M	2.62	2.92	62,570	163,738	1,208,632	1,179,770
2018-04-18	$36.91	$34.50	18.3%	5.2%	25.8%	36.1%	18.6%	2.5%	0.0%	105.5M	-2.30B	-10.9M	0.54	6.16	348,622	188,646	1,220,986	1,230,470
2018-04-19	$36.88	$34.50	19.0%	5.4%	24.6%	40.3%	20.7%	2.5%	0.0%	132.9M	-2.27B	-11.3M	2.02	6.37	93,952	189,630	1,314,878	1,255,018
2018-04-20	$36.56	$35.00	19.8%	5.7%	23.4%	44.8%	19.8%	2.6%	-0.3%	81.8M	-2.01B	-11.7M	1.78	3.01	119,764	212,902	1,339,106	1,293,544
2018-04-23	$36.80	$35.00	19.6%	5.7%	23.2%	43.7%	20.6%	2.8%	-0.4%	87.1M	-1.52B	-11.6M	2.10	2.80	66,288	139,002	1,139,814	1,119,010
2018-04-24	$36.28	$35.00	21.2%	6.2%	23.5%	52.7%	22.3%	3.3%	-0.5%	71.2M	-1.14B	-11.8M	1.50	4.15	109,412	164,352	1,150,480	1,185,370
2018-04-25	$36.72	$35.00	20.6%	6.0%	23.1%	49.6%	21.2%	3.2%	-0.4%	101.2M	-1.46B	-11.8M	1.74	3.53	44,464	77,170	1,198,154	1,207,138
2018-04-26	$37.29	$35.00	19.3%	5.6%	21.6%	41.7%	20.3%	2.7%	-0.3%	130.7M	-1.95B	-11.1M	0.97	2.97	88,674	85,652	1,199,658	1,206,702
2018-04-27	$36.91	$35.00	18.4%	5.3%	21.5%	36.8%	18.9%	2.5%	-0.2%	184.6M	-1.60B	-11.3M	1.26	2.62	71,044	89,230	1,230,380	1,226,050
2018-04-30	$37.02	$35.00	18.4%	5.5%	19.2%	36.8%	18.9%	2.6%	-0.0%	93.5M	-1.65B	-10.9M	1.57	2.54	46,780	73,618	1,163,694	1,214,122