XLE Options History — August 2020

In August 2020, XLE traded between $17.87 and $19.23. ATM implied volatility averaged 35.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.8% (HV 20d: 28.9%). Max pain ranged from $19.00 to $21.61. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2020-08-27: Highest Volume — 212,980 contracts
2020-08-26: Largest IV spike — 5.0% change
2020-08-03: Highest IV Rank — 19.3%
2020-08-03: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.52	$17.87	$19.23	$18.14	$17.87
Max Pain	$20.84	$19.00	$21.61	$19.00	$19.11
ATM IV	35.7%	33.1%	38.4%	38.4%	38.1%
Expected Move	10.1%	9.4%	10.9%	10.9%	10.7%
HV 20d	28.9%	23.1%	37.6%	37.6%	24.3%
HV 60d	44.1%	39.2%	48.4%	48.4%	39.2%
IV Rank	17.0%	14.8%	19.3%	19.3%	19.1%
IV Percentile	54.7%	51.6%	58.7%	58.7%	57.9%
Term Structure	0.6%	-0.7%	1.9%	-0.6%	1.4%
VWIV	35.5%	32.2%	39.1%	38.9%	36.5%
Skew 25d	4.9%	3.9%	5.9%	5.5%	4.6%
Skew 10d	8.6%	6.9%	10.3%	10.3%	6.9%
Call IV 25d	33.9%	31.6%	36.7%	36.5%	36.7%
Put IV 25d	38.8%	35.6%	42.0%	42.0%	41.2%
Bid-Ask Spread %	2.88	1.63	3.85	1.63	2.81
Gamma HHI	0.08	0.05	0.32	0.05	0.06
Net GEX	5.1M	-28.3M	21.6M	2.2M	5.0M
Net DEX	713.9M	483.1M	1.01B	832.1M	720.7M
Net VEX	-6.7M	-7.5M	-6.0M	-6.9M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.30	1.37	0.45	0.70
Total Volume	106,360	52,516	212,980	68,394	108,832
Total OI	3,175,020.286	2,918,452	3,290,736	3,143,630	3,121,540

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
2020-08-03	$18.14	$19.00	38.4%	10.9%	37.6%	19.3%	38.9%	5.5%	-0.6%	2.2M	832.1M	-6.9M	0.45	1.63	47,244	21,150	1,745,662	1,397,968
2020-08-04	$18.49	$19.00	38.1%	10.8%	36.8%	19.0%	39.1%	5.7%	0.2%	8.0M	705.5M	-7.2M	0.42	2.00	105,858	44,270	1,762,586	1,402,392
2020-08-05	$18.69	$19.00	36.4%	10.1%	37.0%	17.6%	36.5%	5.1%	-0.2%	13.4M	644.4M	-7.1M	0.42	3.30	105,286	43,810	1,791,030	1,409,104
2020-08-06	$18.52	$21.61	36.3%	10.6%	32.0%	17.5%	35.6%	4.6%	-0.3%	9.4M	720.4M	-7.0M	0.42	2.95	47,572	19,876	1,790,630	1,423,220
2020-08-07	$18.59	$21.61	36.3%	10.6%	31.1%	17.5%	36.0%	4.2%	0.1%	8.6M	696.0M	-7.1M	0.94	3.85	61,022	57,306	1,804,462	1,432,840
2020-08-10	$19.16	$21.61	36.3%	10.7%	32.7%	17.5%	36.9%	5.1%	0.8%	14.8M	496.9M	-7.5M	0.46	3.27	94,774	43,490	1,781,986	1,413,008
2020-08-11	$19.16	$21.61	36.9%	10.7%	31.3%	18.0%	36.8%	5.2%	0.6%	16.6M	483.1M	-7.5M	0.30	3.39	109,700	33,246	1,800,860	1,439,376
2020-08-12	$19.23	$21.61	35.3%	10.5%	30.4%	16.6%	36.7%	4.2%	1.2%	19.1M	487.4M	-7.2M	0.63	3.17	46,886	29,326	1,812,700	1,443,834
2020-08-13	$18.94	$21.61	35.0%	10.2%	30.8%	16.4%	35.9%	4.7%	0.7%	13.9M	613.3M	-7.2M	1.13	2.67	24,656	27,860	1,823,358	1,456,044
2020-08-14	$19.04	$21.61	34.2%	9.9%	30.5%	15.7%	34.2%	4.5%	0.4%	21.6M	577.0M	-7.0M	0.39	2.81	56,450	21,966	1,829,288	1,451,034
2020-08-17	$18.99	$21.61	33.7%	9.7%	30.0%	15.3%	36.2%	4.5%	1.9%	11.7M	629.1M	-6.8M	0.87	2.53	34,810	30,236	1,793,620	1,424,114
2020-08-18	$18.70	$21.61	33.2%	9.5%	23.8%	14.9%	32.8%	3.9%	1.9%	4.4M	748.4M	-6.4M	0.37	2.45	57,126	20,972	1,805,578	1,429,472
2020-08-19	$18.52	$21.61	33.1%	9.5%	23.8%	14.8%	32.7%	4.7%	1.3%	-405.2K	812.4M	-6.3M	0.63	2.53	35,750	22,394	1,817,522	1,434,888
2020-08-20	$18.20	$21.61	34.7%	9.9%	24.4%	16.1%	34.8%	4.8%	1.8%	-8.8M	939.6M	-6.0M	1.37	2.31	38,044	51,998	1,829,918	1,440,000
2020-08-21	$17.99	$21.61	34.5%	9.7%	24.7%	16.0%	33.4%	4.6%	1.4%	-28.3M	1.01B	-6.0M	0.31	2.40	126,510	39,706	1,846,766	1,443,970
2020-08-24	$18.45	$21.61	34.5%	9.5%	26.5%	16.0%	34.0%	5.9%	-0.3%	-1.9M	770.7M	-6.3M	0.47	3.08	81,724	38,430	1,611,332	1,307,120
2020-08-25	$18.26	$21.61	34.5%	9.4%	26.4%	16.0%	32.2%	5.2%	-0.7%	-2.4M	820.4M	-6.3M	0.67	3.16	55,432	36,986	1,650,334	1,326,618
2020-08-26	$17.89	$20.00	36.3%	9.8%	26.2%	17.5%	34.5%	5.3%	0.3%	-4.8M	839.7M	-6.1M	0.70	3.28	67,906	47,530	1,688,662	1,301,774
2020-08-27	$17.91	$20.00	37.5%	10.3%	23.1%	18.5%	35.9%	5.7%	0.6%	-5.1M	814.4M	-6.3M	0.42	3.49	149,982	62,998	1,719,980	1,306,130
2020-08-28	$18.23	$19.11	37.0%	10.0%	23.5%	18.1%	35.3%	5.0%	0.5%	9.2M	630.7M	-6.8M	0.53	3.31	55,284	29,162	1,835,666	1,329,040
2020-08-31	$17.87	$19.11	38.1%	10.7%	24.3%	19.1%	36.5%	4.6%	1.4%	5.0M	720.7M	-6.5M	0.70	2.81	64,012	44,820	1,822,428	1,299,112