XLE Options History — July 2020

In July 2020, XLE traded between $17.29 and $19.07. ATM implied volatility averaged 42.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 1.4% (HV 20d: 41.4%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2020-07-21: Highest Volume — 248,576 contracts
2020-07-17: Largest IV drop — 6.1% change
2020-07-13: Highest IV Rank — 27.4%
2020-07-14: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.38	$17.29	$19.07	$18.57	$17.92
Max Pain	$19.43	$19.00	$21.00	$21.00	$19.00
ATM IV	42.9%	38.0%	47.9%	46.2%	38.9%
Expected Move	12.2%	10.8%	13.5%	13.1%	11.0%
HV 20d	41.4%	35.6%	58.9%	58.7%	37.3%
HV 60d	52.0%	48.0%	55.5%	55.4%	48.5%
IV Rank	23.2%	19.0%	27.4%	26.3%	19.7%
IV Percentile	67.6%	59.1%	76.6%	75.0%	59.5%
Term Structure	-0.3%	-0.9%	0.4%	-0.5%	0.2%
VWIV	42.7%	38.0%	47.3%	45.9%	38.8%
Skew 25d	5.5%	4.3%	6.8%	5.9%	5.0%
Skew 10d	10.2%	7.4%	12.4%	10.7%	10.2%
Call IV 25d	40.8%	36.5%	45.6%	43.7%	37.1%
Put IV 25d	46.3%	40.8%	51.8%	49.6%	42.1%
Bid-Ask Spread %	1.88	1.57	2.68	2.68	2.17
Gamma HHI	0.06	0.05	0.24	0.05	0.24
Net GEX	1.6M	-22.5M	10.5M	599.2K	-22.5M
Net DEX	843.0M	509.8M	1.24B	959.9M	948.0M
Net VEX	-7.5M	-8.2M	-6.5M	-7.9M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.30	1.32	0.46	1.32
Total Volume	114,601.909	66,116	248,576	76,186	120,634
Total OI	3,237,297.545	2,939,224	3,471,244	3,232,244	3,229,126

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
2020-07-01	$18.57	$21.00	46.2%	13.1%	58.7%	26.3%	45.9%	5.9%	-0.5%	599.2K	959.9M	-7.9M	0.46	2.68	52,074	24,112	1,771,154	1,461,090
2020-07-02	$18.70	$21.00	43.5%	12.0%	58.9%	24.0%	41.8%	5.8%	-0.1%	-715.7K	935.2M	-7.8M	0.46	2.04	58,872	27,020	1,796,536	1,472,214
2020-07-06	$18.69	$20.00	44.8%	12.7%	51.6%	25.1%	45.0%	6.3%	-0.9%	280.0K	922.4M	-7.6M	0.36	1.82	130,170	47,462	1,766,876	1,445,416
2020-07-07	$18.15	$20.00	45.7%	12.9%	47.7%	25.9%	44.3%	6.8%	-0.5%	-1.8M	1.03B	-7.3M	1.03	1.93	52,926	54,752	1,847,096	1,437,286
2020-07-08	$18.16	$20.00	44.7%	12.7%	47.6%	25.0%	43.2%	6.3%	-0.7%	-3.1M	1.04B	-7.3M	0.45	1.77	57,736	25,966	1,861,904	1,454,136
2020-07-09	$17.29	$20.00	46.9%	13.0%	47.5%	26.8%	45.9%	6.3%	-0.8%	-6.8M	1.24B	-6.5M	0.62	1.79	93,358	57,744	1,877,750	1,462,278
2020-07-10	$17.70	$20.00	45.8%	13.1%	36.8%	25.9%	44.2%	6.2%	-0.4%	-3.1M	1.13B	-6.9M	0.36	2.46	79,724	28,586	1,920,422	1,472,506
2020-07-13	$17.75	$19.50	47.6%	13.5%	36.3%	27.4%	46.2%	6.0%	-0.8%	-1.5M	1.05B	-7.2M	0.54	1.96	64,838	34,692	1,855,174	1,451,768
2020-07-14	$18.27	$19.00	47.9%	13.5%	38.3%	27.3%	47.3%	6.3%	-0.7%	1.7M	914.0M	-7.8M	1.13	1.70	76,310	86,086	1,883,028	1,471,800
2020-07-15	$18.69	$19.00	46.0%	13.2%	37.4%	25.7%	45.9%	6.2%	-0.2%	5.5M	793.5M	-8.2M	0.59	1.64	100,684	59,308	1,913,176	1,515,762
2020-07-16	$18.55	$19.00	44.8%	12.8%	36.5%	24.7%	45.3%	5.7%	-0.2%	5.0M	832.3M	-8.0M	0.55	1.81	48,570	26,722	1,932,774	1,519,476
2020-07-17	$18.33	$19.00	42.0%	12.0%	36.5%	22.4%	40.9%	4.6%	-0.4%	2.8M	964.4M	-7.5M	0.44	1.61	70,316	31,014	1,941,380	1,529,864
2020-07-20	$18.09	$19.00	41.2%	11.8%	36.6%	21.7%	42.0%	4.5%	-0.4%	2.1M	795.5M	-7.1M	0.75	1.71	54,022	40,524	1,631,114	1,308,110
2020-07-21	$19.07	$19.00	40.4%	11.6%	41.5%	21.0%	41.4%	5.4%	-0.0%	9.6M	509.8M	-7.9M	0.42	1.70	175,004	73,572	1,655,502	1,335,060
2020-07-22	$18.90	$19.00	39.8%	11.4%	41.5%	20.5%	40.3%	4.5%	-0.0%	7.5M	547.0M	-8.0M	0.54	1.79	84,556	45,984	1,733,858	1,374,574
2020-07-23	$18.75	$19.00	40.2%	11.5%	37.8%	20.8%	41.5%	4.7%	-0.0%	9.0M	573.7M	-8.0M	0.84	1.76	49,544	41,442	1,769,788	1,380,982
2020-07-24	$18.75	$19.00	40.1%	11.5%	37.7%	20.7%	40.4%	5.2%	-0.0%	4.8M	581.0M	-7.9M	0.30	1.66	57,114	17,266	1,779,446	1,391,198
2020-07-27	$18.67	$19.00	39.2%	11.3%	36.2%	20.0%	39.7%	4.8%	0.4%	9.1M	632.7M	-7.6M	0.63	1.87	40,560	25,556	1,737,832	1,365,270
2020-07-28	$18.45	$19.00	39.6%	11.3%	36.4%	20.3%	41.0%	4.7%	0.1%	5.1M	720.6M	-7.4M	0.60	1.57	49,678	29,892	1,748,716	1,381,466
2020-07-29	$18.81	$19.00	38.0%	10.8%	35.6%	19.0%	38.0%	4.3%	0.3%	10.5M	591.2M	-7.7M	0.42	1.98	50,578	21,266	1,761,742	1,399,484
2020-07-30	$18.15	$19.00	39.5%	11.3%	37.2%	20.2%	41.5%	5.2%	0.2%	961.8K	831.4M	-7.2M	1.20	2.05	70,538	84,470	1,775,024	1,401,388
2020-07-31	$17.92	$19.00	38.9%	11.0%	37.3%	19.7%	38.8%	5.0%	0.2%	-22.5M	948.0M	-6.9M	1.32	2.17	51,940	68,694	1,796,732	1,432,394