XLE Options History — September 2019

In September 2019, XLE traded between $28.61 and $31.61. ATM implied volatility averaged 20.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.5% (HV 20d: 22.7%). Max pain ranged from $29.50 to $30.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2019-09-16: Highest Volume — 302,742 contracts
2019-09-16: Largest IV spike — 24.4% change
2019-09-03: Highest IV Rank — 36.6%
2019-09-03: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.20	$28.61	$31.61	$28.61	$29.66
Max Pain	$30.09	$29.50	$30.50	$30.50	$30.25
ATM IV	20.2%	17.9%	24.0%	24.0%	20.7%
Expected Move	5.9%	5.1%	7.6%	7.6%	5.8%
HV 20d	22.7%	18.3%	26.5%	25.5%	19.8%
HV 60d	21.0%	20.3%	21.5%	20.3%	21.3%
IV Rank	22.0%	13.4%	36.6%	36.6%	22.6%
IV Percentile	49.1%	26.6%	76.2%	76.2%	53.2%
Term Structure	0.2%	-0.6%	0.8%	-0.5%	0.1%
VWIV	20.9%	18.8%	24.8%	24.8%	19.9%
Skew 25d	4.3%	2.1%	6.0%	6.0%	5.2%
Skew 10d	8.2%	4.1%	12.9%	11.1%	9.1%
Call IV 25d	18.5%	16.5%	21.3%	21.2%	18.7%
Put IV 25d	22.8%	20.4%	27.2%	27.2%	24.0%
Bid-Ask Spread %	2.22	1.66	2.81	1.86	1.66
Gamma HHI	0.12	0.08	0.25	0.17	0.10
Net GEX	-10.8M	-79.8M	22.5M	-35.2M	-30.6M
Net DEX	168.4M	-808.8M	1.07B	1.07B	582.5M
Net VEX	-8.9M	-9.6M	-8.4M	-8.4M	-8.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.25	2.55	1.12	0.41
Total Volume	95,939.2	30,768	302,742	30,768	63,516
Total OI	2,346,998.6	2,164,798	2,622,820	2,164,798	2,318,666

Daily Data (20 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
2019-09-03	$28.61	$30.50	24.0%	7.6%	25.5%	36.6%	24.8%	6.0%	-0.5%	-35.2M	1.07B	-8.4M	1.12	1.86	14,538	16,230	1,034,594	1,130,204
2019-09-04	$29.03	$30.50	21.9%	6.8%	26.0%	28.6%	24.6%	5.3%	-0.2%	-30.7M	868.6M	-8.5M	0.35	2.08	27,016	9,514	1,038,672	1,138,040
2019-09-05	$29.43	$29.50	19.2%	5.5%	26.5%	18.3%	20.6%	4.7%	-0.1%	-19.4M	637.8M	-8.5M	0.50	2.14	54,104	27,232	1,049,984	1,140,512
2019-09-06	$29.51	$29.50	18.8%	5.6%	25.5%	16.8%	20.6%	4.5%	0.1%	-10.2M	585.0M	-8.6M	0.45	2.71	74,946	34,030	1,077,150	1,153,212
2019-09-09	$30.08	$29.50	19.2%	5.6%	26.4%	18.3%	20.9%	4.7%	0.2%	2.9M	183.3M	-8.8M	0.65	2.14	56,282	36,620	1,109,396	1,131,322
2019-09-10	$30.41	$29.50	19.0%	5.4%	25.8%	17.5%	19.1%	4.7%	0.2%	8.7M	-43.9M	-8.9M	1.29	2.34	69,400	89,344	1,125,286	1,153,094
2019-09-11	$30.45	$30.00	18.0%	5.2%	25.7%	13.7%	19.2%	3.9%	0.5%	5.0M	-54.9M	-9.0M	2.55	2.27	22,936	58,452	1,150,750	1,199,624
2019-09-12	$30.38	$30.00	17.9%	5.1%	20.8%	13.4%	18.8%	3.8%	0.1%	-2.8M	39.9M	-9.0M	1.42	2.26	15,598	22,106	1,152,952	1,243,296
2019-09-13	$30.56	$30.00	18.1%	5.3%	20.5%	14.2%	20.0%	4.1%	0.2%	11.8M	-97.2M	-9.0M	1.52	2.71	36,846	55,962	1,157,568	1,251,630
2019-09-16	$31.61	$30.00	22.6%	6.4%	22.8%	31.1%	22.7%	3.4%	-0.6%	22.5M	-808.8M	-9.3M	0.34	2.81	226,186	76,556	1,151,976	1,264,416
2019-09-17	$31.13	$30.00	21.7%	6.2%	22.8%	27.7%	21.5%	3.2%	-0.1%	21.3M	-489.4M	-9.6M	0.96	2.33	73,386	70,204	1,261,018	1,294,424
2019-09-18	$30.94	$30.00	19.6%	5.6%	22.6%	19.9%	19.5%	2.3%	0.5%	5.2M	-425.0M	-8.7M	1.04	2.29	33,872	35,156	1,282,718	1,326,558
2019-09-19	$30.84	$30.00	19.5%	5.6%	22.7%	19.3%	19.5%	2.1%	0.5%	3.0M	-298.7M	-8.5M	0.25	2.30	150,858	37,908	1,279,288	1,343,532
2019-09-20	$30.55	$30.50	20.6%	5.9%	23.1%	23.5%	20.9%	3.4%	0.4%	-79.8M	176.4M	-9.2M	0.61	2.53	48,464	29,492	1,211,412	1,364,540
2019-09-23	$30.70	$30.50	19.6%	5.5%	18.3%	19.9%	20.3%	3.5%	0.5%	7.5M	-95.6M	-9.0M	0.82	1.82	32,180	26,434	1,015,334	1,184,056
2019-09-24	$30.16	$30.50	21.4%	6.1%	19.9%	26.0%	21.8%	5.0%	0.3%	-15.4M	273.8M	-9.1M	1.71	2.55	38,050	64,980	1,023,808	1,197,784
2019-09-25	$30.22	$30.50	19.9%	5.6%	19.8%	20.3%	19.9%	4.7%	0.8%	-14.0M	241.1M	-9.1M	1.37	1.93	36,070	49,374	1,045,982	1,240,278
2019-09-26	$29.84	$30.25	21.3%	6.1%	20.1%	25.6%	21.1%	5.3%	0.6%	-32.7M	497.4M	-9.1M	0.60	1.80	34,738	21,010	1,068,040	1,271,648
2019-09-27	$29.80	$30.25	21.6%	6.1%	19.7%	26.8%	22.4%	5.6%	0.2%	-34.0M	524.7M	-9.1M	0.73	1.88	28,374	20,820	1,081,284	1,275,924
2019-09-30	$29.66	$30.25	20.7%	5.8%	19.8%	22.6%	19.9%	5.2%	0.1%	-30.6M	582.5M	-8.8M	0.41	1.66	45,180	18,336	1,079,882	1,238,784