XLE Options History — March 2020

In March 2020, XLE traded between $11.69 and $23.30. ATM implied volatility averaged 83.3%, placing in the 77.4% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded below realized volatility by 5.7% (HV 20d: 89.0%). Max pain ranged from $15.50 to $27.11. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2020-03-06: Highest Volume — 502,912 contracts
2020-03-09: Largest IV spike — 55.9% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 38.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.23	$11.69	$23.30	$23.30	$14.36
Max Pain	$21.93	$15.50	$27.11	$27.11	$15.50
ATM IV	83.3%	38.4%	134.1%	42.6%	77.0%
Expected Move	24.2%	12.5%	38.4%	14.0%	23.4%
HV 20d	89.0%	35.9%	130.6%	37.9%	129.4%
HV 60d	56.5%	26.3%	78.2%	26.7%	78.2%
IV Rank	77.4%	52.1%	100.0%	69.9%	52.1%
IV Percentile	98.4%	93.7%	100.0%	99.6%	93.7%
Term Structure	-3.7%	-9.9%	0.3%	0.3%	-2.1%
VWIV	84.6%	41.6%	121.9%	50.4%	82.0%
Skew 25d	28.0%	11.1%	43.3%	11.4%	25.0%
Skew 10d	52.7%	17.8%	76.6%	17.8%	50.2%
Call IV 25d	70.1%	33.0%	110.2%	37.3%	64.3%
Put IV 25d	98.1%	44.2%	153.5%	48.7%	89.3%
Bid-Ask Spread %	5.69	2.32	16.50	7.01	2.32
Gamma HHI	0.05	0.03	0.07	0.07	0.04
Net GEX	-6.9M	-26.7M	-469.8K	-26.7M	-1.4M
Net DEX	1.85B	1.23B	2.60B	2.20B	1.27B
Net VEX	-4.4M	-8.4M	-2.1M	-8.4M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.29	2.48	0.90	0.75
Total Volume	143,096.364	71,316	502,912	139,270	106,488
Total OI	3,364,130.818	2,907,450	3,751,920	3,184,510	3,021,156

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
2020-03-02	$23.30	$27.11	42.6%	14.0%	37.9%	69.9%	50.4%	11.4%	0.3%	-26.7M	2.20B	-8.4M	0.90	7.01	73,396	65,874	1,523,718	1,660,792
2020-03-03	$23.13	$26.61	44.2%	14.2%	37.8%	74.0%	46.6%	13.4%	-2.4%	-22.8M	2.24B	-8.3M	0.55	2.90	98,898	54,050	1,604,534	1,684,882
2020-03-04	$23.23	$26.61	38.4%	12.5%	37.9%	59.4%	41.6%	11.1%	-1.7%	-22.5M	2.27B	-8.0M	1.22	5.10	78,696	95,654	1,637,078	1,699,774
2020-03-05	$22.30	$24.61	48.1%	12.5%	35.9%	83.9%	42.0%	14.6%	-1.9%	-21.3M	2.46B	-7.5M	0.85	4.81	76,522	65,246	1,682,856	1,732,210
2020-03-06	$21.16	$24.61	58.6%	15.5%	38.9%	100.0%	51.0%	18.7%	-2.2%	-17.5M	2.60B	-7.1M	1.03	5.29	247,280	255,632	1,705,144	1,759,840
2020-03-09	$17.32	$24.36	91.3%	24.8%	77.0%	100.0%	83.3%	26.7%	-4.8%	-5.3M	2.34B	-5.0M	1.33	4.09	86,888	115,368	1,830,140	1,673,682
2020-03-10	$17.73	$24.11	78.1%	21.1%	78.5%	82.7%	72.3%	34.0%	-5.3%	-8.1M	2.44B	-4.7M	0.29	6.14	180,138	51,806	1,877,770	1,712,858
2020-03-11	$16.77	$24.11	81.5%	22.2%	78.4%	87.2%	77.6%	32.1%	-4.5%	-4.6M	2.23B	-4.2M	1.05	4.08	71,100	74,968	2,000,220	1,649,892
2020-03-12	$14.72	$23.61	101.2%	28.4%	85.5%	100.0%	94.6%	34.3%	-3.1%	-3.1M	2.05B	-3.4M	1.59	5.31	41,064	65,286	2,039,778	1,650,660
2020-03-13	$15.10	$23.36	87.7%	24.1%	87.4%	84.4%	88.4%	35.0%	-4.9%	-3.8M	2.09B	-3.3M	0.76	16.50	52,932	40,184	2,062,428	1,640,878
2020-03-16	$14.15	$23.36	111.4%	31.6%	87.7%	100.0%	99.4%	36.5%	-9.9%	-2.3M	1.89B	-3.3M	0.72	6.99	61,048	44,026	2,043,332	1,600,212
2020-03-17	$13.78	$23.11	104.7%	29.9%	87.2%	93.0%	106.3%	37.2%	-5.9%	-2.1M	1.86B	-3.0M	0.71	4.68	41,800	29,516	2,070,386	1,591,796
2020-03-18	$11.69	$22.86	134.1%	38.4%	96.7%	100.0%	121.9%	43.3%	-7.5%	-1.3M	1.64B	-2.3M	0.64	10.89	57,988	37,216	2,092,238	1,594,286
2020-03-19	$12.49	$22.61	118.8%	34.3%	103.3%	87.2%	120.7%	40.9%	-6.6%	-1.4M	1.68B	-2.6M	0.78	6.30	77,204	60,080	2,120,344	1,569,682
2020-03-20	$12.94	$22.61	93.5%	27.1%	106.3%	65.9%	101.0%	32.1%	-0.4%	-1.6M	1.75B	-2.6M	0.75	5.53	65,542	49,092	2,162,942	1,588,978
2020-03-23	$11.74	$21.86	100.4%	29.8%	108.4%	71.8%	105.9%	32.2%	-2.5%	-944.4K	1.33B	-2.1M	0.60	2.76	49,568	29,612	1,618,180	1,340,476
2020-03-24	$13.31	$17.50	80.8%	24.2%	123.1%	55.3%	88.3%	29.3%	-5.4%	-469.8K	1.32B	-2.6M	1.62	3.57	41,132	66,746	1,642,308	1,265,142
2020-03-25	$14.52	$17.50	86.0%	25.7%	130.0%	59.7%	93.7%	28.2%	-3.0%	-593.6K	1.27B	-3.6M	1.08	6.35	62,692	67,662	1,654,014	1,280,650
2020-03-26	$14.78	$15.50	81.8%	25.0%	130.5%	56.2%	92.9%	26.0%	-1.8%	-713.9K	1.23B	-3.6M	1.02	7.22	60,304	61,412	1,672,722	1,278,932
2020-03-27	$14.23	$15.50	88.7%	27.8%	130.6%	61.9%	106.9%	28.5%	-2.9%	-1.3M	1.23B	-3.6M	2.48	4.58	26,486	65,814	1,693,524	1,305,496
2020-03-30	$14.22	$15.50	83.5%	26.1%	129.0%	57.5%	94.6%	26.4%	-2.9%	-1.6M	1.27B	-3.3M	0.57	2.69	60,888	34,822	1,666,582	1,308,366
2020-03-31	$14.36	$15.50	77.0%	23.4%	129.4%	52.1%	82.0%	25.0%	-2.1%	-1.4M	1.27B	-3.4M	0.75	2.32	60,998	45,490	1,699,902	1,321,254