XLE Options History — October 2018

In October 2018, XLE traded between $32.34 and $38.85. ATM implied volatility averaged 21.5%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.5% (HV 20d: 17.0%). Max pain ranged from $35.25 to $38.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.62.

Notable Days

2018-10-11: Highest Volume — 260,650 contracts
2018-10-11: Largest IV spike — 31.4% change
2018-10-29: Highest IV Rank — 98.6%
2018-10-29: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.13	$32.34	$38.85	$38.38	$33.68
Max Pain	$36.95	$35.25	$38.00	$37.50	$35.25
ATM IV	21.5%	15.3%	29.3%	15.3%	25.4%
Expected Move	6.3%	4.2%	9.4%	4.3%	8.0%
HV 20d	17.0%	9.3%	25.1%	11.6%	25.1%
HV 60d	15.9%	13.2%	19.3%	14.4%	19.3%
IV Rank	54.6%	19.0%	98.6%	19.4%	76.8%
IV Percentile	77.7%	30.6%	99.6%	31.7%	96.8%
Term Structure	-0.5%	-3.9%	0.6%	0.5%	-0.5%
VWIV	22.4%	15.3%	32.3%	15.3%	28.1%
Skew 25d	3.8%	2.5%	5.2%	2.5%	5.0%
Skew 10d	6.6%	3.5%	10.7%	4.8%	8.8%
Call IV 25d	20.0%	14.4%	27.1%	14.4%	23.6%
Put IV 25d	23.9%	16.9%	32.2%	16.9%	28.5%
Bid-Ask Spread %	3.83	1.99	10.61	3.22	8.37
Gamma HHI	0.08	0.05	0.14	0.09	0.07
Net GEX	-9.9M	-56.9M	52.3M	46.8M	-31.4M
Net DEX	205.5M	-1.01B	1.40B	-813.2M	916.4M
Net VEX	-7.4M	-8.1M	-6.5M	-6.5M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.96	2.24	1.82	1.36
Total Volume	154,804.696	87,044	260,650	87,044	126,508
Total OI	1,671,907.13	1,467,792	1,832,284	1,467,792	1,813,522

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
2018-10-01	$38.38	$37.50	15.3%	4.3%	11.6%	19.4%	15.3%	2.5%	0.5%	46.8M	-813.2M	-6.5M	1.82	3.22	30,866	56,178	609,476	858,316
2018-10-02	$38.47	$37.50	15.3%	4.2%	11.4%	19.0%	15.4%	2.6%	0.6%	44.1M	-825.1M	-6.8M	1.56	2.52	41,184	64,126	615,946	867,894
2018-10-03	$38.77	$37.50	15.3%	4.3%	11.6%	19.5%	15.8%	2.5%	0.6%	52.3M	-1.00B	-6.7M	1.64	2.71	39,826	65,506	636,758	885,468
2018-10-04	$38.52	$38.00	16.7%	4.9%	9.7%	26.9%	17.6%	3.0%	0.5%	45.0M	-866.7M	-7.0M	0.96	2.80	71,412	68,460	655,766	900,266
2018-10-05	$38.47	$37.50	17.0%	4.9%	9.6%	28.8%	17.8%	3.2%	0.5%	44.2M	-819.1M	-7.2M	1.84	2.43	31,316	57,592	662,062	910,748
2018-10-08	$38.59	$37.50	17.6%	5.0%	9.6%	32.3%	17.9%	3.6%	-0.1%	42.5M	-856.8M	-6.9M	1.39	2.37	44,474	61,616	644,568	898,100
2018-10-09	$38.85	$37.50	18.2%	5.1%	9.3%	35.9%	18.6%	3.8%	-0.4%	51.1M	-1.01B	-6.8M	1.83	1.99	63,970	116,902	660,448	906,808
2018-10-10	$37.60	$38.00	21.3%	6.0%	15.6%	53.6%	22.0%	4.1%	-0.4%	11.1M	-263.4M	-7.6M	1.80	3.74	70,578	127,346	682,874	950,716
2018-10-11	$36.48	$38.00	28.1%	7.1%	19.1%	91.6%	24.7%	3.4%	-3.9%	-16.9M	310.4M	-8.1M	1.99	10.61	87,056	173,594	701,758	997,198
2018-10-12	$36.45	$37.00	22.8%	6.4%	18.9%	61.7%	22.3%	4.1%	-0.6%	-22.6M	350.8M	-8.0M	1.39	4.70	94,942	132,276	725,840	1,047,896
2018-10-15	$36.30	$37.00	21.6%	6.1%	18.9%	54.8%	20.9%	4.0%	-0.3%	-35.7M	403.2M	-7.8M	1.75	3.06	48,290	84,706	714,354	1,056,242
2018-10-16	$36.52	$37.00	19.7%	5.6%	18.7%	43.9%	19.6%	3.7%	-0.8%	-35.6M	294.3M	-7.7M	1.14	3.68	72,784	82,906	718,690	1,058,922
2018-10-17	$36.17	$37.00	19.8%	5.7%	18.8%	45.0%	19.1%	3.6%	-1.2%	-51.2M	464.0M	-7.5M	1.41	2.98	63,446	89,176	720,846	1,066,588
2018-10-18	$36.06	$37.00	20.7%	6.0%	18.8%	50.1%	21.8%	4.2%	-0.9%	-56.9M	512.1M	-7.7M	1.89	3.69	52,776	99,492	737,954	1,072,562
2018-10-19	$35.82	$37.00	20.3%	5.9%	18.8%	47.8%	21.3%	4.2%	-0.8%	-40.3M	630.0M	-7.6M	2.24	2.79	44,752	100,046	749,432	1,082,852
2018-10-22	$35.39	$37.00	20.8%	6.3%	18.0%	50.7%	22.4%	4.0%	-0.1%	-32.0M	520.9M	-7.6M	2.07	2.85	48,064	99,302	614,120	962,476
2018-10-23	$34.54	$37.00	23.4%	7.0%	19.0%	65.4%	24.3%	4.4%	-0.8%	-40.4M	842.4M	-7.4M	1.47	3.30	96,774	141,796	625,484	986,196
2018-10-24	$33.53	$36.50	26.2%	8.0%	20.9%	81.1%	27.9%	3.0%	0.1%	-42.3M	1.15B	-7.5M	1.59	3.35	72,662	115,174	663,306	1,008,466
2018-10-25	$33.59	$36.00	25.0%	7.7%	21.0%	74.4%	27.3%	4.1%	-0.5%	-40.7M	1.11B	-7.5M	1.86	3.41	65,020	121,010	701,502	1,022,880
2018-10-26	$33.23	$36.00	27.5%	8.8%	21.0%	88.4%	30.2%	4.4%	-0.7%	-40.5M	1.20B	-7.6M	1.67	6.05	53,996	89,980	720,054	1,037,166
2018-10-29	$32.34	$35.50	29.3%	9.4%	21.1%	98.6%	32.3%	5.1%	-0.5%	-41.8M	1.40B	-7.1M	1.47	4.42	58,010	85,406	710,896	1,026,800
2018-10-30	$33.30	$35.50	27.7%	8.9%	24.8%	89.4%	32.0%	5.2%	-0.6%	-37.6M	1.08B	-7.6M	1.22	3.01	67,326	81,886	726,254	1,037,394
2018-10-31	$33.68	$35.25	25.4%	8.0%	25.1%	76.8%	28.1%	5.0%	-0.5%	-31.4M	916.4M	-7.8M	1.36	8.37	53,682	72,826	767,130	1,046,392