XLE Options History — September 2020

In September 2020, XLE traded between $14.95 and $17.67. ATM implied volatility averaged 38.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 9.8% (HV 20d: 28.5%). Max pain ranged from $16.50 to $19.11. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2020-09-25: Highest Volume — 332,516 contracts
2020-09-21: Largest IV spike — 14.2% change
2020-09-03: Highest IV Rank — 23.3%
2020-09-03: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.32	$14.95	$17.67	$17.67	$14.95
Max Pain	$17.52	$16.50	$19.11	$19.11	$16.50
ATM IV	38.3%	33.5%	43.2%	38.4%	39.4%
Expected Move	10.9%	9.6%	12.2%	10.4%	11.0%
HV 20d	28.5%	21.7%	35.7%	23.3%	35.7%
HV 60d	32.5%	30.7%	37.8%	37.8%	32.5%
IV Rank	19.2%	15.1%	23.3%	19.2%	20.2%
IV Percentile	55.9%	45.2%	66.3%	58.3%	57.1%
Term Structure	0.3%	-6.0%	3.9%	-1.0%	3.9%
VWIV	38.1%	34.1%	43.1%	36.9%	38.8%
Skew 25d	4.7%	3.1%	7.3%	5.3%	3.6%
Skew 10d	7.5%	5.2%	11.7%	8.2%	6.2%
Call IV 25d	36.8%	32.8%	40.2%	36.1%	38.6%
Put IV 25d	41.4%	36.6%	47.5%	41.5%	42.2%
Bid-Ask Spread %	6.34	3.46	13.36	3.46	4.49
Gamma HHI	0.09	0.06	0.30	0.07	0.10
Net GEX	-7.8M	-27.9M	2.0M	2.0M	-8.0M
Net DEX	1.01B	799.2M	1.20B	799.2M	1.04B
Net VEX	-5.7M	-6.7M	-5.0M	-6.3M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.17	1.59	0.26	0.55
Total Volume	146,296.667	63,976	332,516	63,976	101,942
Total OI	3,272,362.571	2,742,296	3,723,080	3,187,268	3,102,846

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
2020-09-01	$17.67	$19.11	38.4%	10.4%	23.3%	19.2%	36.9%	5.3%	-1.0%	2.0M	799.2M	-6.3M	0.26	3.46	50,806	13,170	1,856,400	1,330,868
2020-09-02	$17.63	$19.11	40.4%	10.9%	22.8%	20.9%	38.4%	5.0%	0.2%	1.5M	801.3M	-6.3M	0.53	3.62	60,392	32,272	1,864,782	1,333,574
2020-09-03	$17.44	$18.00	43.2%	12.2%	22.9%	23.3%	43.1%	7.3%	-6.0%	148.3K	835.0M	-6.3M	0.35	5.95	207,932	72,254	1,894,998	1,335,138
2020-09-04	$17.45	$18.00	41.1%	11.7%	22.8%	21.6%	40.8%	6.9%	-0.1%	-643.2K	808.4M	-6.7M	0.52	12.78	70,316	36,460	2,027,184	1,389,498
2020-09-08	$16.87	$18.00	40.6%	11.5%	21.7%	21.2%	40.3%	6.1%	-0.2%	-3.4M	979.8M	-6.2M	0.76	6.33	75,776	57,874	2,049,500	1,380,248
2020-09-09	$16.96	$17.50	37.0%	10.6%	22.0%	18.1%	36.6%	5.0%	-0.1%	-4.9M	984.1M	-6.1M	0.47	7.21	52,804	24,678	2,080,340	1,407,174
2020-09-10	$16.36	$17.50	38.4%	10.8%	24.0%	19.3%	36.9%	5.5%	-1.0%	-9.5M	1.17B	-5.4M	0.48	5.50	97,244	47,064	2,109,370	1,410,056
2020-09-11	$16.32	$17.50	36.2%	10.3%	23.9%	17.4%	37.6%	5.0%	-0.4%	-9.5M	1.17B	-5.5M	1.05	13.36	45,926	48,116	2,153,600	1,417,036
2020-09-14	$16.48	$17.50	34.6%	9.9%	24.3%	16.0%	34.9%	4.2%	0.8%	-9.7M	1.14B	-5.5M	0.46	4.01	72,372	33,144	2,135,836	1,416,726
2020-09-15	$16.30	$17.50	33.8%	9.7%	24.3%	15.4%	34.8%	3.9%	0.7%	-8.2M	1.18B	-5.2M	0.78	4.47	35,948	28,034	2,180,598	1,426,330
2020-09-16	$17.00	$17.50	33.5%	9.6%	29.9%	15.1%	34.1%	3.8%	0.7%	-563.3K	929.6M	-5.9M	0.65	8.92	134,658	87,214	2,192,748	1,438,368
2020-09-17	$16.88	$17.50	34.3%	9.8%	29.9%	15.8%	34.6%	3.1%	-0.1%	-8.5M	989.9M	-5.9M	0.67	12.24	63,138	42,508	2,214,456	1,465,872
2020-09-18	$16.77	$17.50	34.0%	9.7%	29.6%	15.5%	34.3%	3.8%	-0.2%	-18.0M	1.05B	-5.7M	1.59	9.13	58,124	92,604	2,241,848	1,481,232
2020-09-21	$15.90	$17.50	38.8%	11.1%	34.2%	19.6%	38.8%	5.0%	0.1%	-9.8M	941.0M	-5.6M	0.45	6.99	101,532	45,426	1,486,780	1,255,516
2020-09-22	$15.85	$17.25	39.0%	11.2%	32.1%	19.8%	39.1%	4.3%	0.1%	-10.6M	947.6M	-5.6M	0.46	3.52	89,824	41,336	1,528,624	1,273,558
2020-09-23	$15.17	$17.00	41.5%	12.0%	34.6%	21.9%	41.7%	4.1%	0.1%	-8.8M	1.08B	-5.1M	1.17	3.57	110,860	130,096	1,561,668	1,290,468
2020-09-24	$15.10	$17.00	41.3%	11.9%	34.4%	21.7%	41.2%	5.0%	0.2%	-19.4M	1.17B	-5.0M	1.34	4.31	89,538	119,608	1,569,308	1,368,192
2020-09-25	$15.08	$17.00	39.3%	11.2%	34.3%	20.1%	38.4%	3.7%	0.7%	-27.9M	1.20B	-5.0M	0.17	4.50	285,110	47,406	1,603,506	1,417,606
2020-09-28	$15.48	$17.00	38.8%	11.0%	35.3%	19.6%	38.6%	3.5%	3.9%	-5.1M	928.4M	-5.6M	0.74	4.80	81,544	60,388	1,677,302	1,320,308
2020-09-29	$15.06	$16.50	40.3%	11.5%	35.7%	20.9%	40.4%	3.8%	3.7%	-4.5M	1.01B	-5.3M	0.60	3.91	79,162	47,630	1,711,924	1,318,228
2020-09-30	$14.95	$16.50	39.4%	11.0%	35.7%	20.2%	38.8%	3.6%	3.9%	-8.0M	1.04B	-5.2M	0.55	4.49	65,872	36,070	1,762,640	1,340,206