XLE Options History — August 2019

In August 2019, XLE traded between $27.92 and $30.67. ATM implied volatility averaged 23.6%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.1% (HV 20d: 22.5%). Max pain ranged from $30.50 to $31.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.34.

Notable Days

2019-08-05: Highest Volume — 187,906 contracts
2019-08-14: Largest IV spike — 23.3% change
2019-08-14: Highest IV Rank — 47.1%
2019-08-15: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.98	$27.92	$30.67	$30.67	$28.75
Max Pain	$30.95	$30.50	$31.50	$31.50	$30.50
ATM IV	23.6%	20.5%	26.8%	20.5%	22.6%
Expected Move	7.0%	6.0%	7.9%	6.0%	6.8%
HV 20d	22.5%	14.1%	28.1%	14.1%	27.7%
HV 60d	19.8%	17.8%	21.0%	17.8%	20.3%
IV Rank	35.2%	24.5%	47.1%	24.5%	31.3%
IV Percentile	75.0%	62.3%	87.3%	63.9%	69.0%
Term Structure	-0.2%	-1.5%	1.4%	-0.4%	-0.2%
VWIV	23.7%	20.5%	26.4%	21.0%	21.0%
Skew 25d	5.1%	4.0%	6.5%	4.3%	5.5%
Skew 10d	9.4%	5.4%	13.5%	8.4%	9.6%
Call IV 25d	21.1%	18.7%	23.9%	18.8%	19.4%
Put IV 25d	26.2%	23.1%	29.5%	23.1%	24.9%
Bid-Ask Spread %	2.50	1.87	3.50	2.52	2.40
Gamma HHI	0.12	0.07	0.22	0.07	0.14
Net GEX	-37.4M	-60.6M	-23.3M	-27.6M	-23.3M
Net DEX	1.01B	521.7M	1.33B	521.7M	1.00B
Net VEX	-7.8M	-8.8M	-7.0M	-8.1M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.40	3.76	0.84	1.41
Total Volume	88,231.727	33,916	187,906	111,760	71,272
Total OI	1,904,596.091	1,671,022	2,211,602	1,672,700	2,211,602

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
2019-08-01	$30.67	$31.50	20.5%	6.0%	14.1%	24.5%	21.0%	4.3%	-0.4%	-27.6M	521.7M	-8.1M	0.84	2.52	60,772	50,988	791,868	880,832
2019-08-02	$30.25	$31.50	21.4%	6.2%	14.7%	27.9%	22.0%	4.0%	-0.5%	-28.8M	736.1M	-8.0M	1.10	2.69	38,398	42,188	830,842	903,078
2019-08-05	$29.29	$31.50	25.9%	7.3%	18.0%	44.6%	24.2%	4.0%	0.3%	-33.1M	1.01B	-7.6M	2.36	3.50	55,884	132,022	781,300	889,722
2019-08-06	$29.17	$31.50	24.4%	7.2%	18.0%	39.0%	24.1%	4.2%	-0.1%	-45.2M	1.05B	-7.6M	1.03	2.25	38,292	39,322	810,628	968,704
2019-08-07	$29.16	$31.50	24.4%	7.2%	16.8%	38.9%	24.1%	5.6%	-0.0%	-46.4M	1.05B	-7.6M	0.74	2.80	64,088	47,686	825,206	976,782
2019-08-08	$29.75	$31.50	20.6%	6.3%	18.9%	24.5%	20.5%	4.6%	0.3%	-39.9M	759.0M	-8.0M	0.93	2.91	52,494	48,702	874,678	989,380
2019-08-09	$29.68	$31.00	21.1%	6.5%	18.5%	26.5%	23.1%	4.6%	0.1%	-36.5M	778.5M	-7.9M	1.24	3.06	22,730	28,290	885,050	964,892
2019-08-12	$29.20	$31.00	23.7%	7.1%	18.8%	35.3%	26.1%	5.6%	1.2%	-42.8M	970.8M	-7.6M	2.12	2.49	13,492	28,560	873,606	945,738
2019-08-13	$29.47	$31.00	21.7%	6.6%	19.4%	27.8%	21.9%	5.0%	1.1%	-41.2M	857.3M	-7.8M	0.76	2.32	34,808	26,454	880,798	960,132
2019-08-14	$28.34	$31.00	26.8%	7.7%	23.0%	47.1%	25.7%	6.0%	-0.1%	-50.4M	1.32B	-7.1M	2.60	2.98	39,228	101,802	891,548	976,340
2019-08-15	$28.14	$31.00	26.5%	7.9%	23.0%	46.1%	26.4%	5.7%	1.4%	-41.8M	1.33B	-7.0M	1.58	2.37	22,316	35,246	917,422	962,228
2019-08-16	$28.53	$31.00	24.0%	7.1%	23.4%	36.5%	24.7%	5.1%	0.9%	-60.6M	1.19B	-7.2M	1.57	2.31	64,020	100,278	927,576	962,848
2019-08-19	$29.20	$31.00	22.1%	6.4%	25.4%	29.2%	22.2%	5.1%	-0.8%	-30.4M	897.2M	-8.0M	1.39	2.23	28,664	39,712	893,092	996,990
2019-08-20	$28.93	$31.00	22.7%	6.6%	25.3%	31.7%	23.9%	5.0%	-0.9%	-32.2M	995.6M	-7.9M	1.28	2.53	21,432	27,536	911,144	1,004,046
2019-08-21	$29.08	$30.50	22.2%	6.4%	25.4%	29.6%	23.2%	4.8%	-0.7%	-30.5M	912.6M	-7.8M	0.74	2.49	54,476	40,370	924,844	994,182
2019-08-22	$29.00	$30.50	22.2%	6.4%	25.3%	29.8%	22.8%	4.5%	-0.7%	-29.4M	884.1M	-7.9M	1.06	2.26	25,226	26,720	952,160	992,770
2019-08-23	$28.00	$30.50	26.5%	7.7%	27.6%	46.0%	26.4%	5.3%	-0.9%	-42.5M	1.28B	-7.4M	3.76	2.67	19,956	75,026	971,100	1,012,678
2019-08-26	$28.02	$30.50	26.0%	7.7%	27.7%	44.2%	26.2%	5.9%	-0.7%	-35.4M	1.27B	-7.5M	0.40	1.87	24,204	9,712	945,034	1,035,014
2019-08-27	$27.92	$30.50	25.8%	7.7%	27.2%	43.5%	24.2%	6.5%	-0.9%	-35.8M	1.31B	-7.5M	1.02	2.06	85,468	87,086	974,276	1,053,204
2019-08-28	$28.34	$30.50	25.0%	7.5%	28.1%	40.5%	24.6%	6.3%	-1.5%	-35.9M	1.16B	-8.4M	0.95	2.27	37,332	35,358	1,029,810	1,124,948
2019-08-29	$28.76	$30.50	22.1%	6.8%	28.0%	29.4%	22.5%	5.5%	-1.1%	-33.5M	989.2M	-8.8M	0.56	1.99	27,826	15,662	1,054,236	1,148,786
2019-08-30	$28.75	$30.50	22.6%	6.8%	27.7%	31.3%	21.0%	5.5%	-0.2%	-23.3M	1.00B	-8.7M	1.41	2.40	29,592	41,680	1,060,758	1,150,844