XLE Options History — June 2020

In June 2020, XLE traded between $18.28 and $23.30. ATM implied volatility averaged 46.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 10.2% (HV 20d: 57.0%). Max pain ranged from $20.61 to $22.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2020-06-08: Highest Volume — 516,320 contracts
2020-06-11: Largest IV spike — 22.5% change
2020-06-11: Highest IV Rank — 37.0%
2020-06-11: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.15	$18.28	$23.30	$19.76	$18.94
Max Pain	$21.81	$20.61	$22.50	$20.61	$21.00
ATM IV	46.8%	36.3%	58.9%	39.9%	46.7%
Expected Move	13.4%	10.4%	16.4%	11.6%	13.4%
HV 20d	57.0%	46.4%	65.2%	47.0%	60.4%
HV 60d	69.5%	56.1%	90.8%	90.8%	56.2%
IV Rank	26.8%	18.0%	37.0%	21.0%	26.7%
IV Percentile	78.6%	73.0%	86.5%	74.6%	75.4%
Term Structure	-0.5%	-1.9%	1.9%	1.9%	-0.4%
VWIV	47.0%	35.3%	55.1%	40.8%	47.3%
Skew 25d	8.3%	5.8%	13.0%	9.0%	7.4%
Skew 10d	15.3%	10.8%	30.0%	16.8%	13.1%
Call IV 25d	43.8%	33.2%	54.1%	35.9%	43.9%
Put IV 25d	52.1%	41.5%	66.3%	44.9%	51.3%
Bid-Ask Spread %	2.67	1.75	5.11	2.35	2.24
Gamma HHI	0.06	0.05	0.17	0.06	0.17
Net GEX	6.7M	-13.3M	29.1M	8.6M	-13.3M
Net DEX	435.5M	-1.08B	1.04B	603.3M	875.7M
Net VEX	-9.1M	-10.9M	-7.6M	-7.6M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.12	1.42	0.26	0.56
Total Volume	197,581.818	69,090	516,320	69,090	82,770
Total OI	3,665,698.909	3,145,888	4,219,302	3,393,372	3,297,368

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
2020-06-01	$19.76	$20.61	39.9%	11.6%	47.0%	21.0%	40.8%	9.0%	1.9%	8.6M	603.3M	-7.6M	0.26	2.35	54,812	14,278	1,866,128	1,527,244
2020-06-02	$20.16	$20.61	38.3%	11.1%	46.4%	19.7%	38.7%	9.6%	-1.0%	11.5M	462.0M	-7.7M	0.12	1.98	228,552	26,488	1,875,226	1,532,170
2020-06-03	$20.91	$20.61	36.3%	10.6%	47.8%	18.0%	38.5%	8.4%	-1.1%	18.5M	118.3M	-8.4M	0.51	2.11	104,546	53,306	1,965,244	1,540,430
2020-06-04	$20.70	$21.50	37.4%	10.7%	47.5%	18.9%	38.5%	8.3%	-1.1%	17.4M	193.2M	-8.4M	0.82	2.06	79,450	65,368	1,986,670	1,567,196
2020-06-05	$22.23	$21.50	36.7%	10.4%	52.7%	18.3%	35.3%	8.1%	-1.5%	19.3M	-492.7M	-9.4M	0.14	3.08	451,460	63,902	2,006,852	1,588,462
2020-06-08	$23.30	$22.50	44.2%	12.0%	53.0%	24.6%	44.8%	7.2%	-1.9%	29.1M	-1.08B	-10.6M	0.76	2.76	293,122	223,198	2,102,222	1,569,210
2020-06-09	$22.67	$22.50	45.6%	12.8%	54.1%	25.8%	45.0%	6.5%	-0.7%	17.0M	-659.3M	-10.9M	1.42	2.11	86,204	122,168	2,162,950	1,735,500
2020-06-10	$21.56	$22.50	48.1%	13.5%	57.4%	27.9%	46.6%	5.8%	-0.3%	11.9M	-62.3M	-10.4M	0.41	4.64	130,304	53,202	2,182,182	1,752,184
2020-06-11	$19.58	$22.50	58.9%	16.4%	65.1%	37.0%	55.1%	12.2%	-1.5%	4.1M	801.7M	-9.2M	1.02	5.11	226,022	230,092	2,217,974	1,770,310
2020-06-12	$19.84	$22.50	55.1%	15.6%	65.2%	33.8%	53.5%	13.0%	-1.6%	4.4M	737.8M	-9.7M	0.80	4.29	157,322	126,394	2,308,118	1,850,160
2020-06-15	$19.83	$22.50	53.1%	15.1%	65.2%	32.1%	53.1%	9.4%	-0.7%	3.1M	672.3M	-9.6M	0.68	2.09	92,614	63,214	2,272,398	1,819,466
2020-06-16	$20.45	$22.50	51.2%	14.7%	59.7%	30.5%	51.3%	8.8%	-0.1%	9.4M	372.4M	-10.1M	0.42	3.40	88,450	37,252	2,299,860	1,824,042
2020-06-17	$19.91	$22.50	50.4%	14.4%	59.8%	29.8%	50.9%	8.2%	-0.1%	4.2M	629.3M	-9.5M	0.91	2.60	44,466	40,280	2,302,672	1,835,176
2020-06-18	$20.00	$22.50	48.7%	14.0%	58.7%	28.4%	51.2%	6.3%	0.4%	5.3M	606.6M	-9.5M	1.13	1.94	55,992	63,050	2,316,490	1,852,944
2020-06-19	$19.95	$22.50	47.4%	13.6%	58.3%	27.3%	45.9%	7.0%	-0.7%	7.4M	650.7M	-9.4M	0.51	2.51	138,718	70,354	2,342,586	1,876,716
2020-06-22	$19.55	$22.00	47.0%	13.4%	58.8%	27.0%	47.5%	7.4%	0.1%	3.1M	633.1M	-9.3M	0.58	1.98	65,468	38,220	1,711,742	1,434,146
2020-06-23	$19.64	$22.00	45.0%	12.9%	57.5%	25.3%	46.4%	6.6%	0.1%	3.2M	622.7M	-9.2M	0.91	1.89	75,564	68,608	1,738,018	1,444,770
2020-06-24	$18.70	$21.50	50.0%	14.4%	59.9%	29.5%	50.7%	8.5%	-0.0%	-4.3M	940.2M	-8.4M	1.02	3.61	98,282	100,372	1,754,754	1,483,882
2020-06-25	$18.83	$21.25	48.9%	14.1%	59.6%	28.5%	49.7%	7.9%	0.4%	-3.4M	902.1M	-8.6M	0.85	2.00	45,360	38,472	1,802,270	1,505,436
2020-06-26	$18.28	$21.25	51.9%	15.4%	60.3%	31.0%	53.1%	8.4%	-0.9%	-6.2M	1.04B	-8.2M	0.75	2.17	99,356	74,318	1,815,494	1,512,828
2020-06-29	$18.41	$21.00	49.4%	14.3%	59.9%	29.0%	50.8%	7.9%	-0.4%	-3.9M	1.01B	-8.1M	0.74	1.75	43,444	31,986	1,794,286	1,501,600
2020-06-30	$18.94	$21.00	46.7%	13.4%	60.4%	26.7%	47.3%	7.4%	-0.4%	-13.3M	875.7M	-8.3M	0.56	2.24	53,100	29,670	1,801,536	1,495,832