XLE Options History — February 2019

In February 2019, XLE traded between $31.36 and $33.34. ATM implied volatility averaged 19.1%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.3% (HV 20d: 17.8%). Max pain ranged from $31.50 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2019-02-15: Highest Volume — 187,596 contracts
2019-02-07: Largest IV spike — 13.7% change
2019-02-11: Highest IV Rank — 26.3%
2019-02-07: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.53	$31.36	$33.34	$32.40	$32.59
Max Pain	$31.97	$31.50	$32.00	$31.50	$32.00
ATM IV	19.1%	18.0%	21.0%	18.8%	19.1%
Expected Move	5.6%	5.3%	6.1%	5.6%	5.7%
HV 20d	17.8%	16.1%	19.5%	19.5%	16.9%
HV 60d	26.9%	25.3%	28.4%	28.4%	25.4%
IV Rank	19.0%	14.8%	26.3%	17.9%	18.9%
IV Percentile	43.5%	30.2%	62.3%	40.5%	46.8%
Term Structure	0.1%	-0.9%	1.0%	0.3%	-0.6%
VWIV	19.9%	18.9%	21.7%	19.6%	19.2%
Skew 25d	3.6%	3.0%	4.2%	3.2%	4.0%
Skew 10d	6.6%	5.4%	7.6%	6.6%	6.8%
Call IV 25d	17.3%	16.3%	19.1%	17.4%	17.2%
Put IV 25d	21.0%	19.8%	22.9%	20.5%	21.2%
Bid-Ask Spread %	1.58	1.12	1.92	1.68	1.86
Gamma HHI	0.14	0.07	0.36	0.18	0.08
Net GEX	24.5M	3.7M	71.6M	38.8M	8.6M
Net DEX	-192.4M	-543.3M	190.2M	-467.5M	-10.3M
Net VEX	-5.7M	-6.3M	-5.4M	-5.7M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.18	0.99	0.67	0.52
Total Volume	67,574.421	14,784	187,596	95,648	83,112
Total OI	1,331,698.632	1,245,808	1,486,388	1,306,548	1,486,388

Daily Data (19 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
2019-02-01	$32.40	$31.50	18.8%	5.6%	19.5%	17.9%	19.6%	3.2%	0.3%	38.8M	-467.5M	-5.7M	0.67	1.68	57,284	38,364	646,634	659,914
2019-02-04	$32.49	$32.00	18.3%	5.6%	16.5%	16.2%	19.3%	3.1%	1.0%	36.0M	-453.2M	-5.7M	0.72	1.46	23,492	16,976	643,698	662,382
2019-02-05	$32.51	$32.00	18.3%	5.5%	16.1%	16.2%	18.9%	3.1%	0.7%	39.1M	-481.5M	-5.7M	0.95	1.30	18,966	17,998	657,736	672,740
2019-02-06	$32.34	$32.00	18.3%	5.4%	16.1%	16.1%	19.7%	3.0%	0.5%	45.9M	-357.8M	-5.7M	0.92	1.77	7,702	7,082	649,048	679,814
2019-02-07	$31.61	$32.00	20.8%	6.1%	18.1%	25.6%	20.8%	3.3%	0.5%	10.2M	85.5M	-5.6M	0.94	1.73	25,614	24,122	594,248	682,358
2019-02-08	$31.36	$32.00	20.9%	6.1%	18.3%	25.7%	21.7%	3.4%	0.2%	3.7M	190.2M	-5.5M	0.59	1.40	28,278	16,776	600,602	691,278
2019-02-11	$31.61	$32.00	21.0%	6.1%	18.4%	26.3%	21.6%	4.2%	-0.1%	10.3M	89.9M	-5.4M	0.75	1.12	12,592	9,448	590,526	678,364
2019-02-12	$31.98	$32.00	20.1%	5.8%	18.7%	22.7%	20.0%	3.8%	-0.1%	19.5M	-72.2M	-5.4M	0.67	1.59	28,894	19,224	592,896	681,666
2019-02-13	$32.41	$32.00	19.4%	5.6%	19.1%	20.3%	19.2%	3.9%	0.0%	27.3M	-262.0M	-5.5M	0.89	1.42	60,854	54,254	600,100	688,266
2019-02-14	$32.66	$32.00	19.6%	5.6%	19.2%	20.8%	20.0%	3.8%	-0.9%	28.5M	-379.3M	-5.5M	0.99	1.19	39,056	38,562	640,990	730,676
2019-02-15	$33.03	$32.00	19.0%	5.4%	19.4%	18.7%	19.5%	3.5%	-0.0%	71.6M	-543.3M	-5.6M	0.18	1.42	158,432	29,164	651,724	748,360
2019-02-19	$33.21	$32.00	18.7%	5.4%	18.7%	17.4%	21.0%	4.1%	0.4%	21.6M	-226.0M	-5.7M	0.52	1.78	49,194	25,570	597,668	648,140
2019-02-20	$33.34	$32.00	18.2%	5.3%	16.7%	15.8%	19.0%	3.8%	-0.6%	28.7M	-280.8M	-5.8M	0.84	1.51	32,436	27,304	631,626	665,432
2019-02-21	$32.73	$32.00	19.0%	5.6%	17.9%	18.7%	19.6%	4.0%	0.2%	8.4M	-41.8M	-5.8M	0.66	1.85	37,640	24,874	644,242	679,010
2019-02-22	$32.90	$32.00	18.1%	5.3%	17.9%	15.2%	19.4%	3.5%	-0.1%	13.2M	-106.8M	-5.8M	0.64	1.67	36,226	23,180	660,872	691,576
2019-02-25	$32.97	$32.00	18.0%	5.4%	17.5%	14.8%	18.9%	3.7%	0.1%	17.8M	-116.6M	-5.8M	0.66	1.74	29,498	19,400	664,578	690,496
2019-02-26	$32.88	$32.00	18.2%	5.5%	16.6%	15.5%	20.3%	3.9%	0.2%	14.4M	-77.4M	-5.9M	0.75	1.52	24,534	18,310	681,356	701,696
2019-02-27	$32.97	$32.00	18.8%	5.6%	16.6%	17.9%	19.6%	4.0%	0.2%	22.0M	-144.4M	-6.1M	0.35	1.92	88,320	31,182	706,890	708,284
2019-02-28	$32.59	$32.00	19.1%	5.7%	16.9%	18.9%	19.2%	4.0%	-0.6%	8.6M	-10.3M	-6.3M	0.52	1.86	54,576	28,536	760,734	725,654