XLE Options History — January 2019

In January 2019, XLE traded between $28.98 and $31.84. ATM implied volatility averaged 23.8%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 5.1% (HV 20d: 29.0%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2019-01-11: Highest Volume — 109,486 contracts
2019-01-22: Largest IV spike — 16.4% change
2019-01-03: Highest IV Rank — 64.3%
2019-01-02: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.91	$28.98	$31.84	$29.05	$31.72
Max Pain	$30.45	$30.00	$33.00	$33.00	$31.50
ATM IV	23.8%	19.4%	30.9%	30.7%	20.2%
Expected Move	6.9%	5.6%	9.0%	9.0%	6.1%
HV 20d	29.0%	18.0%	35.4%	33.1%	18.8%
HV 60d	29.2%	28.1%	30.2%	29.3%	28.2%
IV Rank	37.1%	20.3%	64.3%	63.3%	23.1%
IV Percentile	74.1%	49.6%	96.4%	96.0%	54.4%
Term Structure	0.1%	-0.8%	1.0%	-0.0%	0.2%
VWIV	24.4%	20.4%	31.6%	31.3%	21.1%
Skew 25d	4.3%	3.2%	5.1%	5.1%	3.3%
Skew 10d	8.2%	5.9%	9.8%	9.8%	5.9%
Call IV 25d	21.9%	18.2%	28.6%	28.3%	18.6%
Put IV 25d	26.1%	21.7%	33.7%	33.3%	21.9%
Bid-Ask Spread %	2.17	1.83	2.57	2.57	1.90
Gamma HHI	0.12	0.08	0.17	0.10	0.17
Net GEX	-6.3M	-36.3M	32.1M	-36.3M	32.1M
Net DEX	393.2M	-171.2M	1.42B	1.42B	-171.2M
Net VEX	-5.8M	-6.3M	-5.2M	-5.2M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.47	2.20	0.77	0.70
Total Volume	70,997.905	16,752	109,486	99,378	51,474
Total OI	1,720,039.524	1,173,414	2,099,872	1,916,732	1,299,352

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
2019-01-02	$29.05	$33.00	30.7%	9.0%	33.1%	63.3%	31.3%	5.1%	-0.0%	-36.3M	1.42B	-5.2M	0.77	2.57	56,094	43,284	882,284	1,034,448
2019-01-03	$28.98	$30.00	30.9%	8.9%	32.4%	64.3%	31.6%	5.1%	0.6%	-32.3M	1.40B	-5.3M	0.76	2.28	54,706	41,496	917,950	1,037,692
2019-01-04	$29.96	$30.00	28.8%	8.3%	35.3%	56.2%	28.1%	4.7%	0.1%	-28.5M	939.6M	-5.8M	0.73	2.24	56,760	41,450	932,162	1,017,560
2019-01-07	$30.41	$30.00	28.2%	8.1%	35.4%	54.2%	28.7%	4.7%	-0.2%	-30.9M	791.6M	-6.1M	0.68	1.83	19,200	12,980	928,218	1,019,576
2019-01-08	$30.70	$30.00	27.0%	7.8%	35.3%	49.6%	28.6%	5.0%	0.2%	-29.8M	667.0M	-6.2M	1.20	1.99	37,214	44,536	941,716	1,030,478
2019-01-09	$31.07	$30.00	25.9%	7.4%	33.8%	45.5%	25.5%	4.3%	0.2%	-26.5M	459.2M	-6.3M	0.72	1.99	55,780	40,248	953,018	1,035,950
2019-01-10	$31.20	$30.50	24.2%	7.0%	33.9%	39.1%	24.4%	4.5%	0.2%	-23.9M	387.4M	-6.2M	2.04	2.29	29,700	60,532	977,366	1,046,898
2019-01-11	$31.04	$30.50	23.4%	6.7%	33.8%	35.2%	23.2%	4.3%	0.0%	-17.6M	488.0M	-6.0M	2.20	1.91	34,186	75,300	983,352	1,060,102
2019-01-14	$30.96	$30.50	23.2%	6.7%	33.8%	34.6%	22.0%	4.6%	-0.8%	-28.4M	524.3M	-6.0M	0.97	2.13	37,878	36,564	977,198	1,052,450
2019-01-15	$31.07	$30.50	23.0%	6.6%	32.4%	33.7%	23.8%	4.7%	-0.5%	-29.1M	473.9M	-6.0M	0.94	2.36	32,200	30,202	996,418	1,071,546
2019-01-16	$31.08	$30.50	22.3%	6.4%	31.5%	31.1%	22.2%	4.4%	-0.3%	-25.8M	454.2M	-5.9M	0.98	2.06	31,798	31,292	1,004,466	1,070,604
2019-01-17	$31.30	$30.50	21.0%	6.0%	31.0%	26.2%	21.0%	4.0%	1.0%	-23.7M	296.1M	-5.8M	0.47	2.27	56,932	26,818	1,015,854	1,062,466
2019-01-18	$31.84	$30.50	19.4%	5.6%	30.6%	20.3%	20.4%	3.5%	0.2%	25.7M	-82.3M	-5.8M	0.85	1.89	43,652	37,196	1,033,548	1,066,324
2019-01-22	$31.20	$30.50	22.6%	6.6%	29.4%	32.3%	24.1%	4.4%	-0.4%	15.1M	71.2M	-5.7M	1.37	2.54	24,162	33,202	579,040	594,374
2019-01-23	$30.91	$30.50	22.5%	6.7%	28.6%	31.9%	22.4%	4.2%	-0.0%	10.4M	179.7M	-5.6M	0.62	2.17	41,514	25,624	589,386	609,748
2019-01-24	$31.07	$30.50	22.3%	6.6%	24.1%	31.0%	24.3%	4.1%	0.1%	14.3M	109.5M	-5.7M	0.92	2.14	34,562	31,888	606,186	623,432
2019-01-25	$31.48	$30.00	20.5%	6.1%	18.0%	24.3%	21.5%	3.7%	0.1%	30.3M	-92.2M	-5.8M	0.87	2.35	34,216	29,604	626,560	636,074
2019-01-28	$31.08	$30.00	22.0%	6.7%	19.1%	30.1%	24.3%	4.1%	-0.0%	19.4M	88.0M	-5.7M	0.91	2.24	8,786	7,966	622,380	627,580
2019-01-29	$31.30	$30.00	21.6%	6.5%	18.9%	28.4%	22.1%	4.0%	0.2%	23.3M	3.6M	-5.8M	1.10	1.97	17,924	19,738	629,900	639,400
2019-01-30	$31.67	$30.00	20.5%	6.1%	19.0%	24.4%	22.2%	3.2%	0.6%	30.6M	-158.3M	-5.9M	0.88	2.37	33,194	29,104	637,894	649,880
2019-01-31	$31.72	$31.50	20.2%	6.1%	18.8%	23.1%	21.1%	3.3%	0.2%	32.1M	-171.2M	-5.8M	0.70	1.90	30,192	21,282	641,350	658,002