XLE Options History — April 2020

In April 2020, XLE traded between $13.72 and $19.41. ATM implied volatility averaged 65.9%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 28.1% (HV 20d: 94.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2020-04-09: Highest Volume — 379,896 contracts
2020-04-20: Largest IV spike — 11.7% change
2020-04-01: Highest IV Rank — 56.5%
2020-04-01: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.67	$13.72	$19.41	$13.72	$18.96
Max Pain	$17.21	$15.00	$17.50	$15.00	$17.50
ATM IV	65.9%	46.9%	82.3%	82.3%	51.6%
Expected Move	19.0%	14.1%	26.8%	26.8%	15.5%
HV 20d	94.0%	61.3%	135.4%	129.1%	62.5%
HV 60d	84.7%	78.3%	88.7%	78.3%	88.7%
IV Rank	42.8%	26.8%	56.5%	56.5%	30.8%
IV Percentile	90.0%	84.5%	95.2%	95.2%	84.9%
Term Structure	-2.2%	-8.6%	0.5%	-1.6%	-0.5%
VWIV	67.7%	49.0%	90.9%	90.9%	53.6%
Skew 25d	20.2%	14.0%	26.5%	26.5%	14.8%
Skew 10d	40.5%	26.6%	51.6%	50.6%	29.9%
Call IV 25d	56.1%	40.9%	69.9%	69.9%	44.8%
Put IV 25d	76.3%	54.9%	96.4%	96.4%	59.7%
Bid-Ask Spread %	2.69	1.99	4.56	3.26	2.62
Gamma HHI	0.06	0.04	0.09	0.04	0.04
Net GEX	2.1M	-7.5M	12.6M	-1.6M	11.8M
Net DEX	948.8M	396.5M	1.25B	1.25B	498.7M
Net VEX	-5.6M	-7.8M	-3.1M	-3.1M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.48	3.13	1.08	0.78
Total Volume	207,819.048	74,750	379,896	74,750	188,498
Total OI	3,276,647.143	2,966,358	3,576,300	2,980,918	3,507,408

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
2020-04-01	$13.72	$15.00	82.3%	26.8%	129.1%	56.5%	90.9%	26.5%	-1.6%	-1.6M	1.25B	-3.1M	1.08	3.26	36,000	38,750	1,670,708	1,310,210
2020-04-02	$15.02	$17.50	78.2%	21.2%	135.4%	53.1%	74.9%	24.4%	-4.8%	554.6K	1.14B	-3.8M	0.92	3.18	147,188	136,040	1,682,356	1,284,002
2020-04-03	$14.78	$17.50	79.6%	21.8%	134.8%	54.3%	81.4%	23.4%	-8.6%	-1.1M	1.14B	-4.0M	0.99	4.56	97,538	96,444	1,734,876	1,339,784
2020-04-06	$15.63	$17.50	71.7%	19.5%	118.6%	47.7%	72.1%	23.2%	-4.7%	-276.5K	1.11B	-4.3M	0.56	2.83	94,960	53,280	1,719,532	1,340,506
2020-04-07	$16.35	$17.50	71.4%	19.7%	119.6%	47.4%	77.9%	20.7%	-0.8%	1.6M	1.01B	-4.7M	1.17	4.07	129,946	152,334	1,756,884	1,358,252
2020-04-08	$16.95	$17.50	68.2%	18.9%	118.8%	44.7%	69.9%	20.4%	-2.0%	1.0M	937.9M	-5.4M	0.73	2.37	115,706	84,144	1,786,132	1,427,966
2020-04-09	$16.96	$17.50	67.3%	18.8%	108.3%	44.0%	69.8%	20.5%	-2.3%	3.9M	907.7M	-5.6M	1.48	3.70	152,908	226,988	1,860,888	1,479,464
2020-04-13	$16.97	$17.50	62.7%	17.9%	108.1%	40.1%	56.5%	19.2%	-0.9%	-303.0K	981.2M	-5.4M	0.76	2.43	81,672	62,008	1,840,944	1,541,512
2020-04-14	$16.84	$17.50	60.6%	17.3%	105.0%	38.3%	61.6%	18.8%	-5.6%	-462.3K	1.03B	-5.3M	1.43	2.00	58,226	83,528	1,875,354	1,570,154
2020-04-15	$16.05	$17.50	66.1%	19.0%	106.2%	43.0%	65.0%	20.3%	-2.0%	-5.9M	1.18B	-4.9M	3.13	2.20	55,340	173,230	1,888,542	1,603,608
2020-04-16	$15.42	$17.50	67.0%	19.3%	87.0%	43.8%	68.8%	20.1%	-2.2%	-7.5M	1.25B	-4.5M	0.81	1.99	78,038	63,184	1,910,270	1,598,138
2020-04-17	$16.77	$17.50	63.3%	18.2%	88.6%	40.6%	67.8%	19.6%	-0.9%	2.2M	975.9M	-5.4M	0.58	2.20	149,260	86,230	1,963,244	1,613,056
2020-04-20	$16.46	$17.36	70.8%	20.9%	88.9%	46.9%	78.6%	21.3%	-3.3%	-142.7K	1.03B	-5.6M	1.08	2.50	156,248	169,176	1,622,118	1,375,932
2020-04-21	$16.27	$17.00	76.2%	22.4%	79.8%	51.4%	79.7%	23.4%	-1.6%	-263.5K	1.01B	-6.0M	0.78	2.38	144,222	111,868	1,713,746	1,440,032
2020-04-22	$16.80	$17.00	68.1%	19.8%	69.0%	44.6%	69.1%	20.8%	-1.9%	3.8M	908.7M	-6.4M	0.51	2.16	105,070	54,086	1,772,274	1,447,276
2020-04-23	$17.38	$17.00	64.8%	18.7%	63.8%	41.9%	59.9%	19.6%	-2.1%	5.2M	809.7M	-6.8M	0.75	2.30	123,710	93,146	1,805,124	1,464,186
2020-04-24	$17.45	$17.00	59.2%	17.1%	63.7%	37.1%	62.4%	18.7%	-1.3%	7.0M	803.5M	-6.7M	1.29	2.25	66,314	85,552	1,853,208	1,506,780
2020-04-27	$17.80	$17.00	55.0%	16.3%	61.4%	33.7%	61.6%	17.5%	0.1%	5.3M	806.3M	-6.8M	1.09	2.20	61,992	67,544	1,836,486	1,500,670
2020-04-28	$18.08	$17.00	52.6%	15.3%	61.3%	31.6%	51.9%	16.6%	0.5%	7.1M	746.5M	-7.0M	0.48	2.47	82,104	39,528	1,857,236	1,526,632
2020-04-29	$19.41	$17.11	46.9%	14.1%	64.8%	26.8%	49.0%	14.0%	0.2%	12.6M	396.5M	-7.8M	0.83	2.91	198,032	164,168	1,878,768	1,545,332
2020-04-30	$18.96	$17.50	51.6%	15.5%	62.5%	30.8%	53.6%	14.8%	-0.5%	11.8M	498.7M	-7.7M	0.78	2.62	105,646	82,852	1,942,378	1,565,030