XLE Options History — July 2019

In July 2019, XLE traded between $31.11 and $32.26. ATM implied volatility averaged 16.5%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 15.1%). Max pain ranged from $31.50 to $31.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2019-07-10: Highest Volume — 120,976 contracts
2019-07-12: Largest IV drop — 6.1% change
2019-07-02: Highest IV Rank — 14.2%
2019-07-08: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.57	$31.11	$32.26	$31.88	$31.41
Max Pain	$31.50	$31.50	$31.50	$31.50	$31.50
ATM IV	16.5%	14.9%	17.8%	17.7%	17.3%
Expected Move	4.7%	4.2%	5.0%	4.9%	4.9%
HV 20d	15.1%	11.4%	18.2%	17.1%	11.4%
HV 60d	18.1%	17.3%	18.7%	18.4%	17.3%
IV Rank	9.4%	3.1%	14.2%	13.7%	12.2%
IV Percentile	20.7%	4.0%	32.5%	30.6%	31.7%
Term Structure	0.0%	-0.4%	0.5%	-0.1%	-0.3%
VWIV	16.6%	15.4%	18.1%	17.6%	17.1%
Skew 25d	3.0%	2.6%	3.5%	3.1%	3.5%
Skew 10d	6.0%	5.4%	7.5%	6.0%	7.5%
Call IV 25d	15.3%	13.7%	16.8%	16.8%	16.0%
Put IV 25d	18.3%	16.6%	19.9%	19.9%	19.5%
Bid-Ask Spread %	2.32	1.88	3.01	1.95	2.59
Gamma HHI	0.09	0.07	0.24	0.08	0.07
Net GEX	4.4M	-40.0M	59.4M	11.2M	-6.2M
Net DEX	41.4M	-372.0M	297.7M	-141.0M	167.1M
Net VEX	-7.9M	-8.1M	-7.6M	-7.9M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.19	2.05	0.19	0.88
Total Volume	57,904.091	27,140	120,976	119,224	33,110
Total OI	1,583,815.818	1,457,292	1,677,766	1,457,292	1,652,262

Daily Data (22 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
2019-07-01	$31.88	$31.50	17.7%	4.9%	17.1%	13.7%	17.6%	3.1%	-0.1%	11.2M	-141.0M	-7.9M	0.19	1.95	100,396	18,828	643,392	813,900
2019-07-02	$31.29	$31.50	17.8%	4.8%	18.2%	14.2%	16.8%	3.0%	0.0%	-9.2M	152.3M	-7.8M	1.12	2.18	54,148	60,426	692,236	821,434
2019-07-03	$31.43	$31.50	17.3%	4.6%	17.6%	12.1%	16.0%	2.6%	0.1%	-7.7M	91.2M	-7.9M	1.24	2.36	17,384	21,474	714,136	853,520
2019-07-05	$31.52	$31.50	16.8%	4.9%	16.3%	10.2%	16.8%	2.9%	0.2%	-40.0M	41.3M	-7.7M	0.88	2.21	24,130	21,278	714,092	837,772
2019-07-08	$31.63	$31.50	16.8%	5.0%	16.3%	10.5%	18.0%	3.1%	0.5%	13.5M	-26.1M	-7.6M	1.92	2.06	19,812	38,002	698,590	807,740
2019-07-09	$31.60	$31.50	17.0%	4.9%	16.3%	11.3%	17.1%	3.2%	0.0%	11.3M	12.6M	-7.7M	1.13	1.88	26,688	30,248	702,356	831,160
2019-07-10	$32.04	$31.50	16.2%	4.7%	16.9%	8.2%	16.3%	2.7%	0.1%	34.0M	-208.4M	-7.6M	0.71	2.25	70,704	50,272	704,402	841,386
2019-07-11	$32.06	$31.50	15.8%	4.5%	15.1%	6.8%	16.0%	3.0%	0.0%	41.9M	-242.4M	-8.1M	0.66	2.13	38,740	25,752	749,672	864,506
2019-07-12	$32.26	$31.50	14.9%	4.2%	14.9%	3.1%	15.4%	2.9%	-0.2%	59.4M	-372.0M	-8.1M	1.10	2.18	30,516	33,588	770,206	870,710
2019-07-15	$31.91	$31.50	15.7%	4.5%	15.5%	6.1%	16.0%	2.9%	0.4%	27.2M	-147.4M	-8.0M	0.28	1.95	26,586	7,450	774,514	854,374
2019-07-16	$31.62	$31.50	16.4%	4.7%	15.8%	8.7%	16.5%	3.0%	0.3%	5.6M	16.7M	-8.0M	0.67	2.47	26,608	17,700	785,150	857,030
2019-07-17	$31.25	$31.50	17.1%	4.9%	15.8%	11.7%	17.6%	3.2%	-0.3%	-18.3M	226.5M	-7.8M	1.09	2.29	19,322	21,058	786,988	862,774
2019-07-18	$31.17	$31.50	16.9%	4.9%	15.8%	10.8%	18.1%	3.1%	-0.3%	-29.1M	285.7M	-7.9M	2.05	2.90	22,492	46,198	787,382	873,018
2019-07-19	$31.45	$31.50	16.3%	4.7%	14.4%	8.4%	16.2%	3.0%	0.2%	46.3M	120.9M	-8.0M	0.89	1.94	22,038	19,624	797,502	880,264
2019-07-22	$31.54	$31.50	16.5%	4.7%	14.4%	9.2%	16.3%	3.2%	0.2%	-2.0M	81.3M	-7.9M	0.82	2.57	14,876	12,264	714,028	798,272
2019-07-23	$31.63	$31.50	15.7%	4.5%	14.2%	6.4%	15.7%	3.0%	0.3%	79.9K	31.2M	-7.9M	0.75	2.49	17,270	12,996	720,082	805,560
2019-07-24	$31.75	$31.50	15.5%	4.4%	14.0%	5.5%	16.0%	2.9%	0.4%	5.4M	-25.0M	-7.7M	1.27	2.75	23,436	29,708	727,168	806,478
2019-07-25	$31.41	$31.50	16.3%	4.6%	13.4%	8.3%	15.9%	3.0%	-0.0%	-7.2M	163.5M	-8.0M	1.09	2.55	20,226	22,060	757,588	834,338
2019-07-26	$31.25	$31.50	16.0%	4.5%	13.1%	7.4%	15.7%	2.7%	0.2%	-15.3M	222.2M	-7.9M	1.28	3.01	21,730	27,742	767,916	837,596
2019-07-29	$31.11	$31.50	16.9%	4.8%	12.8%	10.6%	17.1%	3.1%	-0.4%	-16.7M	297.7M	-7.7M	1.12	2.07	41,858	46,788	759,298	830,678
2019-07-30	$31.41	$31.50	16.9%	4.8%	13.3%	10.6%	17.5%	3.2%	-0.2%	-6.2M	163.1M	-8.0M	0.92	2.33	20,002	18,362	782,158	860,320
2019-07-31	$31.41	$31.50	17.3%	4.9%	11.4%	12.2%	17.1%	3.5%	-0.3%	-6.2M	167.1M	-8.1M	0.88	2.59	17,606	15,504	785,832	866,430