XLE Options History — June 2018

In June 2018, XLE traded between $36.73 and $38.70. ATM implied volatility averaged 18.8%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.3% (HV 20d: 21.0%). Max pain ranged from $36.00 to $37.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2018-06-14: Highest Volume — 326,716 contracts
2018-06-22: Largest IV drop — 11.4% change
2018-06-21: Highest IV Rank — 54.4%
2018-06-21: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.79	$36.73	$38.70	$38.13	$38.05
Max Pain	$37.38	$36.00	$37.50	$36.00	$37.50
ATM IV	18.8%	16.5%	21.5%	19.0%	19.6%
Expected Move	5.4%	4.8%	6.2%	5.7%	5.5%
HV 20d	21.0%	19.8%	23.8%	20.2%	21.1%
HV 60d	20.7%	19.9%	21.1%	21.1%	19.9%
IV Rank	38.9%	26.0%	54.4%	40.5%	43.4%
IV Percentile	72.2%	50.0%	91.3%	78.2%	79.4%
Term Structure	0.0%	-1.1%	0.5%	-1.1%	0.2%
VWIV	19.0%	17.6%	21.1%	20.3%	18.7%
Skew 25d	3.0%	2.3%	4.0%	3.0%	3.2%
Skew 10d	5.6%	4.0%	8.0%	5.4%	5.9%
Call IV 25d	17.7%	15.9%	20.2%	18.2%	18.1%
Put IV 25d	20.7%	18.2%	24.0%	21.2%	21.2%
Bid-Ask Spread %	3.02	1.87	7.04	2.15	2.83
Gamma HHI	0.09	0.07	0.15	0.07	0.13
Net GEX	34.0M	-35.2M	85.5M	64.4M	85.5M
Net DEX	-965.1M	-1.89B	-11.6M	-1.48B	-977.7M
Net VEX	-9.5M	-10.1M	-9.0M	-10.1M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.18	2.17	1.48	0.89
Total Volume	136,873.048	77,488	326,716	98,714	144,622
Total OI	2,106,287.333	1,641,174	2,472,190	2,402,498	1,846,160

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
2018-06-01	$38.13	$36.00	19.0%	5.7%	20.2%	40.5%	20.3%	3.0%	-1.1%	64.4M	-1.48B	-10.1M	1.48	2.15	39,804	58,910	1,124,790	1,277,708
2018-06-04	$37.87	$37.00	19.1%	5.4%	20.3%	40.9%	19.7%	3.0%	0.0%	58.0M	-1.25B	-10.0M	1.33	2.38	57,526	76,740	1,102,462	1,255,158
2018-06-05	$37.76	$37.00	18.6%	5.3%	20.3%	37.8%	19.1%	3.0%	0.1%	53.3M	-1.14B	-9.9M	2.17	2.36	58,600	127,282	1,116,434	1,276,712
2018-06-06	$37.90	$37.50	17.8%	5.1%	20.3%	33.4%	18.4%	2.7%	0.0%	46.9M	-1.22B	-9.9M	1.01	1.87	53,712	54,306	1,113,316	1,315,454
2018-06-07	$38.57	$37.50	18.3%	5.3%	19.9%	36.3%	19.4%	2.6%	-0.0%	63.9M	-1.76B	-9.5M	1.34	2.76	70,668	94,756	1,115,054	1,319,134
2018-06-08	$38.42	$37.50	17.5%	5.1%	19.8%	32.0%	18.1%	2.7%	0.3%	50.1M	-1.64B	-9.5M	1.27	2.51	44,806	57,078	1,122,964	1,344,468
2018-06-11	$38.70	$37.50	17.1%	5.0%	19.9%	29.5%	17.6%	2.5%	0.5%	68.0M	-1.89B	-9.1M	0.77	1.99	50,138	38,404	1,115,038	1,319,964
2018-06-12	$38.32	$37.50	17.4%	5.0%	20.1%	31.3%	17.8%	2.6%	-0.0%	55.4M	-1.58B	-9.2M	0.97	2.77	50,754	49,098	1,126,430	1,319,402
2018-06-13	$38.31	$37.50	17.3%	4.9%	20.1%	30.4%	17.7%	2.4%	-0.1%	48.5M	-1.58B	-9.1M	0.96	4.88	43,006	41,418	1,133,530	1,338,660
2018-06-14	$38.14	$37.50	16.5%	4.8%	20.0%	26.0%	18.2%	2.3%	0.5%	-6.2M	-1.36B	-9.2M	0.18	2.62	277,362	49,354	1,123,226	1,347,720
2018-06-15	$37.09	$37.50	17.6%	5.1%	21.4%	32.2%	17.7%	2.6%	0.1%	-35.2M	-11.6M	-9.2M	0.63	3.00	84,536	52,990	931,052	1,358,134
2018-06-18	$37.44	$37.50	18.5%	5.3%	21.7%	37.5%	18.4%	2.8%	-0.1%	7.8M	-447.3M	-9.0M	1.23	3.33	66,800	82,010	746,858	894,316
2018-06-19	$37.34	$37.50	19.1%	5.5%	21.3%	41.0%	18.3%	3.2%	0.0%	-2.2M	-363.3M	-9.3M	0.41	2.90	77,330	31,318	774,048	935,750
2018-06-20	$37.59	$37.50	19.4%	5.6%	21.2%	42.7%	19.8%	3.5%	-0.3%	7.8M	-534.3M	-9.3M	0.78	3.36	43,574	33,914	789,042	941,172
2018-06-21	$36.73	$37.50	21.5%	6.2%	22.5%	54.4%	21.1%	3.8%	-0.3%	-12.3M	-46.7M	-9.6M	0.65	7.04	89,064	57,892	818,258	949,578
2018-06-22	$37.59	$37.50	19.1%	5.5%	23.8%	40.6%	19.1%	3.0%	-0.2%	15.1M	-660.1M	-9.3M	1.19	2.98	92,552	110,130	867,078	968,716
2018-06-25	$36.86	$37.50	21.1%	6.0%	22.9%	52.2%	20.2%	4.0%	-0.1%	7.6M	-243.3M	-9.5M	1.16	4.10	45,362	52,762	824,824	922,630
2018-06-26	$37.33	$37.50	19.4%	5.5%	23.3%	42.4%	19.1%	3.8%	0.4%	27.7M	-501.1M	-9.4M	0.82	2.43	66,022	54,416	831,988	922,496
2018-06-27	$37.81	$37.50	20.2%	5.7%	21.0%	46.8%	20.4%	3.5%	0.2%	55.1M	-799.6M	-9.5M	0.83	2.77	94,168	78,088	848,652	936,870
2018-06-28	$37.74	$37.50	19.9%	5.6%	20.9%	45.4%	19.3%	3.5%	0.0%	54.5M	-775.4M	-9.4M	0.79	2.36	68,936	54,126	868,376	948,412
2018-06-29	$38.05	$37.50	19.6%	5.5%	21.1%	43.4%	18.7%	3.2%	0.2%	85.5M	-977.7M	-9.5M	0.89	2.83	76,720	67,902	881,038	965,122