XLE Options History — October 2019 In October 2019, XLE traded between $28.00 and $29.83. ATM implied volatility averaged 20.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.6% (HV 20d: 20.9%). Max pain ranged from $29.50 to $30.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.97.
Notable Days 2019-10-28 : Highest Volume — 362,074 contracts2019-10-08 : Largest IV spike — 11.4% change2019-10-02 : Highest IV Rank — 40.3%2019-10-02 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $28.93 $28.00 $29.83 $28.96 $28.92 Max Pain $29.59 $29.50 $30.00 $30.00 $29.50 ATM IV 20.3% 17.7% 25.2% 22.7% 18.1% Expected Move 5.8% 5.1% 7.1% 6.4% 5.2% HV 20d 20.9% 18.4% 23.7% 21.6% 18.4% HV 60d 22.7% 21.7% 23.4% 21.7% 22.4% IV Rank 21.0% 11.1% 40.3% 30.4% 12.6% IV Percentile 43.4% 16.3% 80.6% 69.8% 23.4% Term Structure -0.0% -0.8% 0.6% -0.3% 0.5% VWIV 20.5% 17.8% 25.6% 22.1% 18.5% Skew 25d 4.3% 2.9% 5.9% 5.7% 3.5% Skew 10d 8.5% 5.8% 11.6% 11.6% 7.5% Call IV 25d 18.4% 16.5% 22.7% 20.2% 16.8% Put IV 25d 22.7% 19.5% 28.6% 25.9% 20.3% Bid-Ask Spread % 2.27 1.65 5.65 1.65 1.95 Gamma HHI 0.16 0.13 0.23 0.13 0.23 Net GEX -38.6M -64.8M -3.2M -39.4M -54.4M Net DEX 748.2M 21.2M 1.33B 823.7M 919.9M Net VEX -8.3M -9.1M -7.4M -8.5M -8.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.97 0.46 8.88 1.18 3.54 Total Volume 94,154.696 30,262 362,074 63,328 175,558 Total OI 2,299,304.696 2,094,450 2,500,210 2,169,376 2,500,210
Daily Data (23 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 2019-10-01 $28.96 $30.00 22.7% 6.4% 21.6% 30.4% 22.1% 5.7% -0.3% -39.4M 823.7M -8.5M 1.18 1.65 28,996 34,332 1,007,454 1,161,922 2019-10-02 $28.20 $30.00 25.2% 7.1% 23.0% 40.3% 25.6% 5.9% 0.3% -46.4M 1.19B -8.3M 1.70 1.89 68,028 115,892 1,024,598 1,173,698 2019-10-03 $28.44 $30.00 23.8% 6.7% 22.6% 34.9% 23.7% 5.7% -0.3% -55.2M 1.10B -8.6M 0.86 2.10 58,586 50,094 1,058,628 1,246,236 2019-10-04 $28.63 $30.00 21.4% 6.2% 22.8% 25.5% 22.3% 4.8% 0.1% -52.2M 998.1M -8.5M 1.80 2.06 22,514 40,510 1,084,328 1,260,128 2019-10-07 $28.54 $29.50 22.1% 6.2% 21.4% 28.2% 21.8% 5.0% -0.4% -55.9M 1.06B -8.3M 1.86 1.88 14,020 26,042 1,043,580 1,260,706 2019-10-08 $28.00 $29.50 24.6% 6.9% 21.5% 38.0% 24.2% 5.9% -0.3% -59.6M 1.33B -8.0M 1.84 2.52 28,850 52,994 1,052,338 1,257,538 2019-10-09 $28.20 $29.50 23.1% 6.7% 21.8% 32.1% 22.9% 5.4% 0.4% -64.8M 1.25B -8.2M 0.99 4.92 24,066 23,840 1,064,026 1,290,600 2019-10-10 $28.57 $29.50 22.4% 6.4% 22.7% 29.4% 22.9% 5.1% -0.1% -57.4M 1.01B -8.4M 1.00 2.12 28,416 28,336 1,077,316 1,290,188 2019-10-11 $29.10 $29.50 20.8% 6.0% 23.7% 22.8% 20.9% 5.2% -0.1% -41.9M 657.1M -8.5M 1.67 5.65 51,504 85,784 1,086,950 1,303,536 2019-10-14 $28.91 $29.50 20.1% 5.8% 19.5% 20.3% 20.4% 4.9% 0.2% -44.8M 773.1M -8.1M 1.10 1.77 16,818 18,424 1,091,516 1,243,042 2019-10-15 $29.09 $29.50 19.0% 5.5% 19.4% 16.1% 19.0% 4.2% 0.4% -37.5M 639.1M -7.9M 0.83 1.94 22,652 18,896 1,100,690 1,240,266 2019-10-16 $28.66 $29.50 19.8% 5.7% 19.8% 19.2% 21.1% 3.9% -0.4% -50.1M 945.9M -7.8M 4.01 2.32 12,038 48,258 1,106,258 1,244,364 2019-10-17 $28.70 $29.50 18.9% 5.4% 19.9% 15.9% 19.1% 3.7% -0.0% -54.0M 921.3M -7.6M 1.07 1.72 14,632 15,630 1,108,180 1,247,584 2019-10-18 $28.58 $29.50 18.3% 5.2% 19.7% 13.5% 18.0% 3.6% 0.4% -39.5M 990.4M -7.4M 2.08 2.05 29,280 60,856 1,108,708 1,248,112 2019-10-21 $29.01 $29.50 18.1% 5.2% 20.6% 12.7% 18.2% 3.6% -0.4% -30.7M 594.6M -7.8M 2.78 2.02 18,840 52,446 955,762 1,138,688 2019-10-22 $29.50 $29.50 18.8% 5.3% 20.9% 15.1% 19.2% 3.3% -0.8% -15.7M 281.6M -8.1M 1.51 2.40 59,656 89,964 965,336 1,143,206 2019-10-23 $29.59 $29.50 18.3% 5.2% 20.9% 13.3% 18.8% 3.5% -0.4% -9.4M 211.5M -8.2M 0.89 1.80 25,894 23,048 999,404 1,172,744 2019-10-24 $29.50 $29.50 18.4% 5.3% 20.5% 13.8% 18.3% 3.4% -0.4% -9.9M 252.5M -8.1M 0.46 1.69 50,970 23,666 1,010,394 1,179,540 2019-10-25 $29.83 $29.50 17.8% 5.1% 20.9% 11.4% 18.0% 3.2% -0.5% -3.2M 21.2M -8.3M 0.58 1.81 36,332 21,252 1,042,292 1,193,296 2019-10-28 $29.63 $29.50 17.7% 5.2% 21.0% 11.1% 17.8% 2.9% 0.6% -7.0M 188.5M -8.1M 8.88 2.22 36,656 325,418 1,038,960 1,191,826 2019-10-29 $29.75 $29.50 17.9% 5.2% 19.0% 11.7% 17.9% 3.0% 0.4% -14.7M 250.6M -9.1M 1.63 1.86 31,576 51,462 1,051,344 1,367,608 2019-10-30 $29.05 $29.50 18.7% 5.5% 18.5% 14.7% 20.2% 2.9% 0.4% -43.6M 792.4M -9.0M 2.98 1.90 25,780 76,752 1,051,406 1,399,502 2019-10-31 $28.92 $29.50 18.1% 5.2% 18.4% 12.6% 18.5% 3.5% 0.5% -54.4M 919.9M -8.9M 3.54 1.95 38,688 136,870 1,062,156 1,438,054
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