XLE Options History — January 2020

In January 2020, XLE traded between $26.70 and $30.42. ATM implied volatility averaged 18.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.2% (HV 20d: 16.8%). Max pain ranged from $29.11 to $30.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2020-01-31: Highest Volume — 334,174 contracts
2020-01-31: Largest IV spike — 15.3% change
2020-01-31: Highest IV Rank — 66.5%
2020-01-31: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.11	$26.70	$30.42	$30.23	$26.70
Max Pain	$29.51	$29.11	$30.00	$29.61	$29.11
ATM IV	18.0%	15.6%	22.8%	18.1%	22.8%
Expected Move	5.1%	4.4%	6.7%	5.2%	6.7%
HV 20d	16.8%	14.6%	19.2%	19.2%	16.5%
HV 60d	18.7%	17.8%	19.6%	19.6%	17.8%
IV Rank	25.0%	5.7%	66.5%	20.2%	66.5%
IV Percentile	31.9%	0.8%	91.7%	30.2%	91.7%
Term Structure	0.1%	-0.4%	0.9%	0.3%	0.4%
VWIV	17.8%	15.2%	22.4%	17.7%	22.4%
Skew 25d	2.5%	1.6%	4.4%	2.3%	4.4%
Skew 10d	5.0%	2.9%	11.1%	4.3%	5.4%
Call IV 25d	16.8%	14.8%	20.7%	16.8%	20.7%
Put IV 25d	19.3%	16.4%	25.1%	19.0%	25.1%
Bid-Ask Spread %	2.22	1.62	2.87	1.97	2.87
Gamma HHI	0.10	0.07	0.15	0.13	0.13
Net GEX	12.7M	-73.6M	147.7M	111.2M	-70.1M
Net DEX	63.0M	-1.02B	1.56B	-750.5M	1.56B
Net VEX	-7.6M	-11.9M	-6.4M	-6.6M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.28	2.18	0.33	2.01
Total Volume	151,277.905	41,748	334,174	122,568	334,174
Total OI	2,660,950.095	1,874,370	4,547,832	2,726,474	2,390,302

Daily Data (21 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
2020-01-02	$30.23	$29.61	18.1%	5.2%	19.2%	20.2%	17.7%	2.3%	0.3%	111.2M	-750.5M	-6.6M	0.33	1.97	92,372	30,196	1,174,340	1,552,134
2020-01-03	$30.18	$30.00	18.7%	5.3%	18.4%	24.0%	18.3%	2.2%	0.2%	112.2M	-708.4M	-11.9M	0.28	2.09	132,040	36,542	1,935,296	2,612,536
2020-01-06	$30.42	$29.11	18.6%	5.3%	18.4%	26.8%	18.5%	2.8%	-0.1%	143.2M	-1.02B	-6.4M	0.86	2.41	55,762	47,920	1,229,388	1,562,472
2020-01-07	$30.33	$29.11	18.1%	5.2%	17.3%	24.1%	18.2%	2.2%	0.1%	147.7M	-928.0M	-6.4M	0.39	2.10	172,758	67,120	1,247,588	1,595,492
2020-01-08	$29.91	$29.11	17.6%	5.1%	18.0%	22.4%	17.9%	1.9%	-0.1%	72.7M	-421.8M	-6.5M	2.13	2.72	69,986	148,824	1,175,186	1,624,646
2020-01-09	$30.04	$29.61	17.1%	4.9%	18.1%	19.1%	17.3%	1.9%	0.1%	96.0M	-532.2M	-7.1M	0.51	2.86	59,098	30,422	1,213,504	1,701,794
2020-01-10	$29.91	$29.61	17.2%	4.9%	18.1%	19.2%	16.0%	1.9%	0.0%	17.6M	-455.1M	-7.3M	0.46	2.48	96,686	44,084	1,273,240	1,699,648
2020-01-13	$29.86	$29.61	16.8%	4.7%	16.5%	15.8%	16.4%	1.8%	-0.4%	27.3M	-422.5M	-7.3M	1.16	2.34	58,720	68,356	1,214,228	1,715,350
2020-01-14	$29.94	$29.61	16.2%	4.6%	16.2%	11.0%	16.5%	1.9%	-0.3%	27.8M	-505.3M	-7.3M	1.41	2.42	17,306	24,442	1,221,812	1,765,694
2020-01-15	$29.66	$29.61	16.1%	4.6%	15.4%	10.2%	16.2%	1.8%	-0.1%	308.7K	-212.1M	-7.4M	1.72	2.77	49,318	84,920	1,229,190	1,780,226
2020-01-16	$29.76	$29.61	15.6%	4.5%	15.5%	5.7%	15.5%	1.6%	0.1%	19.3M	-336.5M	-7.3M	0.53	2.03	33,878	18,108	1,239,966	1,793,320
2020-01-17	$29.55	$29.61	15.6%	4.4%	15.4%	6.3%	15.2%	1.9%	-0.4%	17.9M	-88.2M	-7.2M	1.38	2.21	39,204	53,982	1,253,940	1,800,032
2020-01-21	$29.02	$29.61	16.5%	4.7%	16.5%	13.4%	16.8%	1.9%	0.2%	-34.5M	253.5M	-7.3M	0.76	2.07	99,360	75,298	762,232	1,112,138
2020-01-22	$28.75	$29.61	16.9%	4.8%	16.6%	16.8%	16.0%	2.4%	-0.1%	-48.2M	381.9M	-7.8M	1.50	2.11	96,084	144,062	838,354	1,146,278
2020-01-23	$28.66	$29.61	17.4%	5.0%	15.8%	21.0%	17.2%	2.4%	-0.3%	-56.1M	479.6M	-7.9M	0.86	2.10	84,472	72,334	878,018	1,189,312
2020-01-24	$28.26	$29.61	18.5%	5.3%	16.1%	30.8%	18.2%	2.9%	0.1%	-52.1M	707.9M	-8.0M	0.79	2.43	67,100	52,850	917,714	1,199,176
2020-01-27	$27.54	$29.61	21.1%	6.1%	17.7%	52.1%	20.9%	3.5%	0.4%	-58.9M	1.07B	-7.8M	1.06	1.76	86,372	91,604	929,538	1,190,226
2020-01-28	$27.69	$29.61	19.4%	5.6%	18.1%	38.0%	19.0%	3.4%	0.5%	-61.2M	977.8M	-8.0M	1.49	1.62	30,872	45,890	974,636	1,222,856
2020-01-29	$27.37	$29.50	19.7%	5.6%	14.7%	40.9%	18.9%	3.5%	0.4%	-73.6M	1.19B	-7.8M	1.09	1.68	50,240	54,536	987,540	1,252,578
2020-01-30	$27.50	$29.25	19.7%	5.7%	14.6%	41.0%	20.1%	3.5%	0.9%	-72.2M	1.08B	-7.9M	2.18	1.67	81,666	177,878	1,019,080	1,258,952
2020-01-31	$26.70	$29.11	22.8%	6.7%	16.5%	66.5%	22.4%	4.4%	0.4%	-70.1M	1.56B	-8.0M	2.01	2.87	111,054	223,120	1,073,964	1,316,338