XLE Options History — May 2018

In May 2018, XLE traded between $36.55 and $39.41. ATM implied volatility averaged 18.8%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.2% (HV 20d: 16.6%). Max pain ranged from $35.00 to $36.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.21.

Notable Days

2018-05-09: Highest Volume — 371,514 contracts
2018-05-07: Largest IV spike — 11.3% change
2018-05-29: Highest IV Rank — 54.6%
2018-05-29: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.01	$36.55	$39.41	$36.55	$38.03
Max Pain	$35.65	$35.00	$36.50	$35.00	$36.00
ATM IV	18.8%	17.3%	21.5%	18.9%	20.0%
Expected Move	5.5%	5.0%	6.5%	5.6%	6.1%
HV 20d	16.6%	14.5%	20.4%	19.4%	20.4%
HV 60d	20.5%	19.4%	22.8%	22.8%	21.1%
IV Rank	39.2%	30.9%	54.6%	39.7%	45.7%
IV Percentile	76.7%	61.5%	91.7%	79.4%	84.1%
Term Structure	0.0%	-1.3%	1.3%	-0.1%	-0.5%
VWIV	19.8%	17.9%	23.3%	19.9%	21.3%
Skew 25d	2.6%	1.8%	3.8%	2.6%	3.6%
Skew 10d	4.8%	3.0%	7.8%	4.6%	6.1%
Call IV 25d	17.7%	16.2%	19.7%	17.7%	18.8%
Put IV 25d	20.3%	18.5%	23.4%	20.4%	22.3%
Bid-Ask Spread %	2.99	1.80	6.08	2.68	2.27
Gamma HHI	0.10	0.06	0.17	0.10	0.07
Net GEX	86.9M	20.5M	125.7M	78.1M	65.9M
Net DEX	-1.91B	-3.13B	-633.3M	-1.27B	-1.39B
Net VEX	-10.3M	-11.1M	-9.3M	-11.1M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.69	1.82	0.87	1.50
Total Volume	182,630.182	98,848	371,514	137,948	98,848
Total OI	2,451,951.636	2,200,618	2,718,330	2,393,448	2,390,052

Daily Data (22 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
2018-05-01	$36.55	$35.00	18.9%	5.6%	19.4%	39.7%	19.9%	2.6%	-0.1%	78.1M	-1.27B	-11.1M	0.87	2.68	73,772	64,176	1,177,706	1,215,742
2018-05-02	$36.83	$35.25	18.3%	5.4%	19.4%	36.4%	19.1%	2.3%	-0.1%	93.2M	-1.50B	-11.0M	1.11	5.32	48,620	53,814	1,190,994	1,241,388
2018-05-03	$36.63	$35.00	18.4%	5.7%	19.1%	37.0%	20.2%	2.6%	-0.0%	79.7M	-1.34B	-11.0M	1.09	3.03	59,478	64,694	1,194,428	1,257,606
2018-05-04	$36.97	$35.00	17.7%	5.5%	17.1%	33.0%	20.9%	2.2%	0.3%	120.2M	-1.62B	-10.8M	1.59	2.98	45,660	72,680	1,193,024	1,256,298
2018-05-07	$37.01	$35.00	19.7%	5.9%	17.0%	44.4%	20.5%	2.5%	0.8%	89.7M	-1.57B	-10.7M	0.69	6.08	138,162	95,242	1,149,310	1,222,214
2018-05-08	$37.23	$35.00	19.6%	5.9%	14.5%	43.5%	21.1%	2.4%	1.3%	90.3M	-1.71B	-10.7M	1.25	4.35	99,044	123,858	1,174,692	1,256,152
2018-05-09	$37.99	$35.00	18.3%	5.6%	15.5%	36.4%	19.9%	2.0%	1.1%	114.9M	-2.35B	-10.3M	0.79	2.75	207,148	164,366	1,193,722	1,299,432
2018-05-10	$38.33	$35.00	18.3%	5.5%	15.7%	36.4%	19.3%	1.8%	0.8%	125.7M	-2.55B	-10.3M	0.90	2.80	112,572	101,456	1,240,246	1,311,450
2018-05-11	$38.33	$35.00	17.7%	5.3%	15.7%	32.9%	19.1%	1.8%	0.8%	121.4M	-2.53B	-10.4M	1.01	2.59	73,186	73,730	1,267,382	1,353,798
2018-05-14	$38.59	$35.00	18.0%	5.2%	15.5%	34.7%	19.5%	1.8%	-0.1%	121.6M	-2.71B	-9.8M	1.09	2.11	64,674	70,188	1,255,258	1,330,292
2018-05-15	$38.55	$35.00	19.0%	5.5%	15.5%	40.3%	19.5%	2.3%	0.2%	115.5M	-2.62B	-10.0M	1.39	3.55	80,498	111,742	1,254,938	1,341,376
2018-05-16	$38.78	$36.00	18.2%	5.2%	14.7%	35.6%	18.4%	2.3%	0.2%	108.7M	-2.77B	-9.8M	0.82	2.12	89,934	74,098	1,260,918	1,395,612
2018-05-17	$39.34	$36.00	18.6%	5.3%	15.2%	38.2%	19.6%	2.3%	0.1%	116.9M	-3.13B	-9.5M	1.02	2.04	108,756	111,174	1,254,272	1,408,116
2018-05-18	$39.06	$36.50	17.9%	5.2%	15.0%	34.2%	18.3%	2.1%	-0.3%	111.7M	-2.87B	-10.1M	1.14	1.80	58,146	66,084	1,269,880	1,448,450
2018-05-21	$39.41	$36.50	17.3%	5.0%	15.1%	30.9%	17.9%	2.6%	-0.1%	70.2M	-2.19B	-9.3M	1.45	2.18	64,190	93,344	1,014,298	1,186,320
2018-05-22	$38.90	$36.50	19.1%	5.2%	15.0%	40.9%	18.1%	3.2%	-1.3%	61.8M	-1.82B	-10.2M	1.71	4.91	73,748	125,844	1,036,944	1,225,650
2018-05-23	$38.84	$36.50	18.5%	5.3%	14.8%	37.2%	18.8%	2.9%	-0.8%	57.1M	-1.78B	-9.8M	1.63	2.88	70,516	114,590	1,051,532	1,255,512
2018-05-24	$38.26	$36.50	18.9%	5.4%	15.3%	39.4%	18.9%	3.1%	-0.5%	47.5M	-1.35B	-10.0M	1.00	2.51	91,186	91,526	1,052,210	1,261,036
2018-05-25	$37.25	$36.50	20.2%	5.9%	17.8%	46.9%	20.6%	3.3%	-0.1%	20.5M	-633.3M	-10.8M	1.73	2.16	131,470	227,042	1,083,588	1,295,424
2018-05-29	$37.12	$36.00	21.5%	6.5%	17.9%	54.6%	23.3%	3.8%	-0.9%	33.4M	-692.9M	-10.7M	1.82	2.25	50,128	91,326	1,079,756	1,251,896
2018-05-30	$38.28	$36.00	19.8%	5.9%	20.3%	44.7%	20.9%	3.4%	-0.5%	67.0M	-1.53B	-10.2M	0.99	2.38	93,810	93,344	1,088,288	1,255,734
2018-05-31	$38.03	$36.00	20.0%	6.1%	20.4%	45.7%	21.3%	3.6%	-0.5%	65.9M	-1.39B	-10.4M	1.50	2.27	39,560	59,288	1,119,120	1,270,932