XLE Options History — October 2020

In October 2020, XLE traded between $13.89 and $15.63. ATM implied volatility averaged 43.7%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 7.2% (HV 20d: 36.5%). Max pain ranged from $15.50 to $16.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.62.

Notable Days

2020-10-08: Highest Volume — 269,202 contracts
2020-10-28: Largest IV spike — 16.9% change
2020-10-30: Highest IV Rank — 32.5%
2020-10-30: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.91	$13.89	$15.63	$14.44	$14.24
Max Pain	$15.75	$15.50	$16.50	$16.50	$15.50
ATM IV	43.7%	40.8%	54.1%	42.0%	54.1%
Expected Move	12.7%	11.5%	17.0%	11.6%	17.0%
HV 20d	36.5%	30.5%	40.2%	36.7%	35.8%
HV 60d	31.6%	30.1%	33.1%	33.1%	32.7%
IV Rank	23.8%	21.3%	32.5%	22.3%	32.5%
IV Percentile	65.9%	54.8%	83.3%	64.7%	83.3%
Term Structure	-0.3%	-1.7%	5.0%	5.0%	-1.7%
VWIV	44.5%	40.0%	59.1%	40.8%	59.1%
Skew 25d	4.3%	2.3%	6.6%	3.9%	3.6%
Skew 10d	7.6%	3.7%	12.6%	6.0%	4.0%
Call IV 25d	42.2%	39.4%	53.3%	39.8%	53.3%
Put IV 25d	46.5%	43.6%	56.9%	43.7%	56.9%
Bid-Ask Spread %	3.13	2.23	5.83	3.79	5.83
Gamma HHI	0.07	0.05	0.08	0.07	0.05
Net GEX	-169.9K	-7.8M	10.5M	-6.8M	-898.9K
Net DEX	920.7M	683.2M	1.13B	1.12B	1.01B
Net VEX	-5.6M	-6.1M	-4.8M	-4.8M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.31	1.25	0.33	1.06
Total Volume	158,464.364	83,168	269,202	194,898	221,424
Total OI	3,322,809.545	3,054,220	3,776,264	3,054,220	3,776,264

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
2020-10-01	$14.44	$16.50	42.0%	11.6%	36.7%	22.3%	40.8%	3.9%	5.0%	-6.8M	1.12B	-4.8M	0.33	3.79	146,048	48,850	1,711,968	1,342,252
2020-10-02	$14.66	$16.50	42.0%	11.5%	37.8%	22.3%	40.0%	4.2%	3.9%	-5.5M	1.07B	-5.0M	0.59	4.38	71,282	42,016	1,769,882	1,359,030
2020-10-05	$15.07	$16.00	42.5%	12.5%	39.8%	22.7%	43.3%	6.0%	-0.1%	-2.6M	949.8M	-5.3M	0.41	5.28	86,802	35,562	1,758,342	1,339,042
2020-10-06	$14.92	$16.00	43.2%	12.4%	38.6%	23.3%	42.8%	6.6%	-0.5%	-2.2M	980.9M	-5.2M	0.64	4.74	84,504	54,324	1,798,206	1,354,004
2020-10-07	$15.07	$16.00	42.4%	12.2%	38.8%	22.6%	44.2%	6.3%	-0.1%	-2.4M	939.3M	-5.3M	0.61	2.98	54,534	33,226	1,822,766	1,372,772
2020-10-08	$15.63	$16.00	43.1%	12.3%	39.9%	23.2%	43.9%	5.1%	-0.6%	8.8M	683.2M	-6.1M	0.53	2.77	175,642	93,560	1,863,822	1,383,188
2020-10-09	$15.39	$16.00	41.5%	11.8%	40.2%	21.9%	42.2%	2.3%	-0.1%	7.9M	794.7M	-5.9M	0.62	2.64	79,414	49,150	1,928,828	1,394,456
2020-10-12	$15.45	$16.00	42.0%	11.8%	40.0%	22.3%	41.5%	2.8%	-0.6%	4.5M	796.8M	-5.9M	0.85	2.78	78,084	66,272	1,894,932	1,369,422
2020-10-13	$15.22	$16.00	41.5%	11.8%	40.1%	21.9%	40.6%	3.7%	-0.3%	250.7K	886.7M	-5.7M	1.01	2.96	41,446	41,722	1,931,190	1,396,028
2020-10-14	$15.28	$15.50	41.8%	11.7%	36.3%	22.1%	40.5%	3.8%	-1.0%	385.8K	885.2M	-5.8M	0.31	2.31	139,486	43,462	1,951,616	1,423,204
2020-10-15	$15.40	$15.50	41.8%	11.8%	36.6%	22.2%	41.9%	4.7%	-0.8%	6.2M	824.0M	-5.9M	0.51	2.25	81,962	41,466	2,007,788	1,420,438
2020-10-16	$15.10	$15.50	42.0%	11.9%	37.0%	22.3%	40.5%	4.1%	-1.0%	-438.9K	908.0M	-5.7M	0.41	2.23	68,950	28,498	2,021,732	1,411,538
2020-10-19	$14.83	$15.50	42.3%	12.1%	32.9%	22.6%	40.9%	4.3%	-1.5%	-2.2M	918.1M	-5.2M	0.48	2.88	64,896	31,176	1,760,028	1,311,900
2020-10-20	$15.01	$15.50	42.5%	12.1%	33.3%	22.7%	42.0%	4.5%	-1.5%	438.1K	874.0M	-5.5M	0.52	2.71	70,414	36,946	1,822,866	1,349,518
2020-10-21	$14.69	$15.50	42.8%	12.3%	30.5%	23.0%	44.1%	4.4%	-1.4%	-3.0M	950.4M	-5.2M	0.33	2.39	121,790	39,872	1,852,934	1,351,122
2020-10-22	$15.28	$15.50	41.6%	12.0%	33.8%	22.0%	42.2%	3.5%	-1.2%	8.5M	743.6M	-5.9M	0.61	2.59	131,812	79,804	1,925,656	1,369,334
2020-10-23	$15.18	$15.50	40.8%	11.8%	33.9%	21.3%	42.6%	3.4%	-1.5%	10.5M	779.4M	-5.9M	1.25	3.18	105,874	132,784	1,988,422	1,409,100
2020-10-26	$14.61	$15.50	45.2%	13.6%	35.0%	25.0%	47.1%	4.6%	-0.0%	-3.7M	965.0M	-5.8M	0.71	2.26	90,302	64,464	1,954,040	1,479,952
2020-10-27	$14.48	$15.50	44.6%	13.4%	33.9%	24.5%	47.8%	3.9%	-0.3%	-6.9M	1.01B	-5.8M	0.39	2.34	104,152	40,422	1,985,022	1,509,256
2020-10-28	$13.89	$15.50	52.2%	16.5%	36.7%	30.9%	57.7%	4.8%	-0.9%	-7.8M	1.13B	-5.4M	0.89	2.95	129,628	115,858	2,011,206	1,536,810
2020-10-29	$14.26	$15.50	49.8%	15.2%	36.3%	28.9%	53.7%	4.4%	-0.3%	-6.7M	1.04B	-5.9M	0.67	2.67	131,070	87,266	2,109,328	1,572,606
2020-10-30	$14.24	$15.50	54.1%	17.0%	35.8%	32.5%	59.1%	3.6%	-1.7%	-898.9K	1.01B	-6.0M	1.06	5.83	107,598	113,826	2,172,758	1,603,506