XLE Options History — August 2018

In August 2018, XLE traded between $36.01 and $38.11. ATM implied volatility averaged 15.6%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.2% (HV 20d: 15.4%). Max pain ranged from $37.00 to $37.50. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.68.

Notable Days

2018-08-15: Highest Volume — 226,598 contracts
2018-08-15: Largest IV spike — 20.5% change
2018-08-15: Highest IV Rank — 36.7%
2018-08-15: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.28	$36.01	$38.11	$38.06	$37.22
Max Pain	$37.07	$37.00	$37.50	$37.50	$37.00
ATM IV	15.6%	14.1%	18.4%	16.3%	15.7%
Expected Move	4.6%	4.2%	5.5%	4.6%	4.6%
HV 20d	15.4%	11.5%	17.4%	14.5%	17.0%
HV 60d	18.5%	17.5%	19.5%	18.9%	17.5%
IV Rank	20.8%	12.1%	36.7%	25.1%	21.5%
IV Percentile	37.6%	20.2%	65.9%	44.8%	39.7%
Term Structure	0.2%	-0.9%	1.6%	-0.3%	-0.9%
VWIV	16.4%	14.4%	19.5%	16.5%	16.5%
Skew 25d	2.7%	2.0%	3.3%	2.9%	2.7%
Skew 10d	5.3%	4.0%	6.5%	5.8%	5.6%
Call IV 25d	14.4%	13.0%	17.0%	15.1%	14.4%
Put IV 25d	17.1%	15.3%	20.3%	17.9%	17.2%
Bid-Ask Spread %	2.81	1.55	8.61	8.61	4.26
Gamma HHI	0.08	0.06	0.13	0.08	0.07
Net GEX	-4.8M	-69.6M	38.4M	31.4M	17.9M
Net DEX	-305.4M	-794.5M	571.6M	-736.8M	-305.6M
Net VEX	-8.1M	-8.4M	-7.5M	-8.2M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.93	2.57	2.04	1.55
Total Volume	112,837.217	83,676	226,598	118,106	93,772
Total OI	1,765,902.609	1,649,980	1,876,208	1,693,230	1,845,600

Daily Data (23 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
2018-08-01	$38.06	$37.50	16.3%	4.6%	14.5%	25.1%	16.5%	2.9%	-0.3%	31.4M	-736.8M	-8.2M	2.04	8.61	38,842	79,264	761,822	931,408
2018-08-02	$37.81	$37.50	15.9%	4.5%	14.7%	22.7%	15.4%	2.7%	-0.2%	14.4M	-565.6M	-8.3M	1.29	1.81	46,426	59,726	764,778	957,832
2018-08-03	$37.62	$37.50	15.2%	4.2%	14.7%	18.6%	14.4%	2.6%	-0.1%	3.5M	-440.8M	-8.3M	1.74	2.14	40,384	70,452	775,336	963,470
2018-08-06	$37.76	$37.00	14.7%	4.6%	13.8%	15.6%	16.9%	2.4%	0.3%	10.2M	-543.7M	-8.1M	1.71	1.88	38,636	66,142	763,824	969,218
2018-08-07	$38.11	$37.00	14.1%	4.5%	13.8%	12.1%	15.9%	2.3%	0.4%	38.4M	-794.5M	-7.9M	1.48	1.77	48,480	71,540	767,186	972,610
2018-08-08	$37.81	$37.00	14.2%	4.5%	11.5%	13.2%	16.2%	2.1%	0.4%	15.0M	-583.0M	-8.0M	1.62	1.55	41,640	67,446	774,002	977,806
2018-08-09	$37.43	$37.00	14.1%	4.5%	12.1%	12.5%	16.3%	2.0%	0.3%	-14.7M	-349.8M	-7.9M	1.74	3.23	40,714	70,672	772,696	979,708
2018-08-10	$37.58	$37.00	14.8%	4.7%	12.0%	16.7%	17.3%	2.4%	0.4%	-7.3M	-446.6M	-8.1M	1.58	3.69	51,920	82,072	779,998	986,994
2018-08-13	$37.24	$37.00	15.6%	4.9%	11.8%	20.8%	17.4%	2.6%	1.6%	-25.1M	-208.3M	-8.0M	1.52	2.19	45,790	69,628	760,860	989,818
2018-08-14	$37.27	$37.00	15.3%	4.7%	11.8%	18.9%	17.0%	2.6%	1.0%	-26.5M	-212.2M	-7.9M	1.83	2.31	36,102	66,098	766,362	998,564
2018-08-15	$36.01	$37.00	18.4%	5.5%	16.9%	36.7%	19.5%	3.3%	0.8%	-58.8M	571.6M	-8.0M	1.83	3.39	80,166	146,432	770,800	1,019,450
2018-08-16	$36.23	$37.00	16.6%	5.1%	17.1%	26.8%	18.3%	2.8%	1.4%	-69.4M	447.0M	-8.4M	2.57	1.83	43,542	111,810	801,240	1,066,978
2018-08-17	$36.36	$37.00	15.8%	4.7%	17.2%	22.3%	16.8%	2.8%	0.9%	-69.6M	358.7M	-8.2M	2.12	2.79	30,612	65,008	810,452	1,065,756
2018-08-20	$36.55	$37.00	16.0%	4.7%	17.4%	23.2%	16.3%	2.8%	-0.3%	-15.6M	6.1M	-8.1M	1.76	1.82	36,554	64,370	694,310	955,670
2018-08-21	$36.78	$37.00	15.8%	4.6%	17.1%	22.2%	15.9%	2.8%	-0.4%	-12.0M	-117.6M	-8.1M	1.27	2.32	46,072	58,556	711,666	984,476
2018-08-22	$37.25	$37.00	16.3%	4.7%	17.4%	24.8%	16.0%	2.7%	0.0%	-833.6K	-366.4M	-8.1M	0.93	2.49	56,794	53,012	722,566	1,005,064
2018-08-23	$36.95	$37.00	16.4%	4.7%	16.9%	25.4%	16.6%	2.8%	-0.4%	-4.1M	-197.7M	-8.3M	1.88	2.06	32,934	62,034	745,304	1,016,480
2018-08-24	$37.27	$37.00	15.7%	4.6%	17.3%	21.6%	15.8%	2.6%	-0.4%	3.4M	-397.9M	-8.0M	1.53	1.89	41,946	64,312	753,568	1,029,766
2018-08-27	$37.55	$37.00	15.3%	4.5%	17.2%	19.1%	16.0%	2.7%	0.2%	13.8M	-535.2M	-8.0M	2.32	2.87	25,490	59,032	744,728	1,025,602
2018-08-28	$37.41	$37.00	15.5%	4.5%	17.2%	20.3%	16.1%	3.1%	0.3%	6.6M	-437.2M	-8.0M	1.80	2.17	31,552	56,690	749,724	1,037,412
2018-08-29	$37.70	$37.00	14.9%	4.3%	17.0%	16.8%	14.7%	2.8%	-0.2%	21.6M	-659.6M	-7.5M	0.95	2.18	61,124	57,792	758,364	1,047,040
2018-08-30	$37.52	$37.00	15.5%	4.6%	16.9%	20.6%	16.4%	2.9%	0.1%	18.0M	-510.0M	-7.9M	1.68	5.27	31,214	52,462	788,546	1,050,906
2018-08-31	$37.22	$37.00	15.7%	4.6%	17.0%	21.5%	16.5%	2.7%	-0.9%	17.9M	-305.6M	-7.8M	1.55	4.26	36,756	57,016	793,836	1,051,764