XLE Options History — July 2018

In July 2018, XLE traded between $37.34 and $38.72. ATM implied volatility averaged 17.7%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.8% (HV 20d: 19.5%). Max pain ranged from $37.50 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.37.

Notable Days

2018-07-27: Highest Volume — 179,324 contracts
2018-07-11: Largest IV spike — 8.8% change
2018-07-02: Highest IV Rank — 48.7%
2018-07-05: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.92	$37.34	$38.72	$37.36	$38.56
Max Pain	$37.60	$37.50	$38.00	$37.50	$37.50
ATM IV	17.7%	15.6%	20.5%	20.5%	15.7%
Expected Move	5.1%	4.3%	5.8%	5.8%	4.5%
HV 20d	19.5%	13.7%	23.1%	21.9%	13.7%
HV 60d	19.2%	18.7%	19.8%	19.8%	18.7%
IV Rank	33.1%	20.6%	48.7%	48.7%	21.6%
IV Percentile	58.2%	36.5%	85.3%	85.3%	37.7%
Term Structure	0.0%	-0.4%	0.4%	0.0%	-0.0%
VWIV	17.9%	15.7%	20.6%	19.9%	15.8%
Skew 25d	2.9%	2.6%	3.5%	3.5%	2.6%
Skew 10d	5.6%	4.8%	6.9%	6.7%	4.9%
Call IV 25d	16.5%	14.4%	19.0%	19.0%	14.6%
Put IV 25d	19.5%	17.1%	22.5%	22.5%	17.2%
Bid-Ask Spread %	2.34	1.46	5.75	1.95	2.28
Gamma HHI	0.08	0.07	0.11	0.07	0.10
Net GEX	40.9M	5.0M	89.7M	36.0M	52.2M
Net DEX	-729.7M	-1.38B	-285.0M	-476.8M	-1.07B
Net VEX	-8.8M	-9.7M	-8.0M	-9.5M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.57	2.31	2.31	2.13
Total Volume	127,253.333	95,326	179,324	155,686	99,604
Total OI	1,790,075.333	1,574,170	1,967,992	1,755,678	1,663,066

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
2018-07-02	$37.36	$37.50	20.5%	5.8%	21.9%	48.7%	19.9%	3.5%	0.0%	36.0M	-476.8M	-9.5M	2.31	1.95	47,080	108,606	848,474	907,204
2018-07-03	$37.65	$37.50	20.2%	5.7%	22.1%	47.0%	19.8%	3.5%	0.4%	44.6M	-649.9M	-9.7M	1.61	5.44	44,006	70,828	853,178	928,498
2018-07-05	$37.63	$37.50	20.2%	5.8%	22.0%	46.8%	20.6%	3.5%	0.1%	41.9M	-603.5M	-9.4M	1.69	2.24	50,574	85,432	854,860	932,680
2018-07-06	$37.83	$37.50	18.8%	5.4%	21.1%	38.9%	19.0%	2.9%	0.2%	49.6M	-745.3M	-9.4M	1.42	2.31	47,592	67,666	866,110	959,492
2018-07-09	$38.36	$37.50	18.1%	5.2%	21.7%	35.4%	18.6%	3.0%	-0.2%	77.2M	-1.11B	-8.8M	1.28	1.46	50,146	64,012	851,552	935,114
2018-07-10	$38.72	$37.50	17.6%	5.2%	21.8%	32.6%	17.5%	2.9%	0.3%	89.7M	-1.38B	-8.6M	0.57	1.54	92,088	52,330	862,822	949,606
2018-07-11	$37.85	$38.00	19.2%	5.4%	23.0%	41.4%	19.4%	3.3%	-0.3%	58.1M	-733.4M	-9.0M	1.55	2.11	66,716	103,620	881,128	961,478
2018-07-12	$37.91	$37.50	18.1%	5.2%	23.0%	34.9%	18.5%	3.0%	-0.0%	57.4M	-731.4M	-9.2M	1.32	2.27	46,980	61,814	890,762	1,009,372
2018-07-13	$38.08	$38.00	17.7%	5.1%	23.1%	32.7%	17.5%	2.9%	0.1%	67.7M	-870.8M	-8.9M	1.08	2.12	55,918	60,600	892,810	1,023,120
2018-07-16	$37.66	$38.00	18.5%	5.3%	21.0%	37.3%	18.3%	3.1%	-0.2%	22.7M	-492.0M	-8.9M	1.71	1.74	39,192	67,096	873,202	1,015,814
2018-07-17	$37.60	$38.00	18.0%	5.2%	20.8%	34.4%	19.5%	3.0%	0.1%	21.4M	-442.4M	-8.8M	2.00	1.75	31,806	63,520	882,280	1,020,532
2018-07-18	$37.54	$37.50	17.7%	5.1%	20.8%	33.1%	17.2%	2.8%	0.1%	14.3M	-381.0M	-8.7M	0.74	1.90	90,254	66,558	887,386	1,031,542
2018-07-19	$37.59	$37.50	17.6%	5.1%	20.6%	32.6%	17.7%	2.9%	-0.2%	9.7M	-413.5M	-8.7M	0.98	1.77	58,138	56,756	907,854	1,046,454
2018-07-20	$37.46	$37.50	16.8%	4.8%	18.8%	27.7%	16.8%	2.7%	0.2%	14.0M	-285.0M	-8.6M	1.25	1.61	55,706	69,618	912,266	1,055,726
2018-07-23	$37.34	$37.50	17.3%	5.0%	16.9%	30.9%	17.4%	2.7%	0.1%	5.0M	-395.2M	-8.5M	1.60	1.86	47,224	75,554	699,534	874,636
2018-07-24	$37.70	$37.50	16.7%	4.8%	15.6%	27.1%	17.1%	2.6%	0.1%	18.8M	-610.1M	-8.4M	1.27	1.76	54,458	69,370	723,704	894,690
2018-07-25	$38.09	$37.50	16.2%	4.6%	15.4%	24.2%	16.3%	2.8%	-0.4%	37.9M	-841.9M	-8.3M	1.26	5.75	49,846	62,984	746,444	911,048
2018-07-26	$38.50	$37.50	15.8%	4.5%	15.2%	22.0%	16.3%	2.6%	0.1%	51.0M	-1.08B	-8.3M	0.80	2.65	89,138	71,324	754,588	916,822
2018-07-27	$38.26	$37.50	15.6%	4.3%	15.4%	20.6%	16.5%	2.7%	0.2%	41.0M	-947.1M	-8.4M	0.78	2.33	101,022	78,302	780,204	928,830
2018-07-30	$38.59	$37.50	16.2%	4.6%	15.4%	24.3%	15.7%	2.8%	-0.1%	47.9M	-1.07B	-8.0M	1.43	2.31	40,724	58,118	747,672	909,028
2018-07-31	$38.56	$37.50	15.7%	4.5%	13.7%	21.6%	15.8%	2.6%	-0.0%	52.2M	-1.07B	-8.0M	2.13	2.28	31,788	67,816	756,182	906,884