XLE Options History — January 2021

In January 2021, XLE traded between $19.00 and $22.33. ATM implied volatility averaged 40.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.4% (HV 20d: 35.7%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.44.

Notable Days

  • 2021-01-14: Highest Volume — 1,614,890 contracts
  • 2021-01-27: Largest IV spike — 10.5% change
  • 2021-01-27: Highest IV Rank — 23.2%
  • 2021-01-27: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.86$19.00$22.33$19.00$19.63
Max Pain$19.63$19.00$20.00$19.00$20.00
ATM IV40.1%37.1%45.9%40.9%44.4%
Expected Move11.4%10.5%13.4%11.4%12.9%
HV 20d35.7%31.7%40.3%34.8%40.3%
HV 60d50.0%49.2%51.2%49.2%49.8%
IV Rank19.9%17.5%23.2%21.4%22.0%
IV Percentile41.1%21.0%70.6%49.6%65.9%
Term Structure-0.2%-1.5%1.5%-0.7%1.5%
VWIV40.1%36.6%47.9%40.0%46.6%
Skew 25d1.1%-0.6%3.2%0.9%3.2%
Skew 10d2.7%-2.2%5.8%1.5%5.8%
Call IV 25d40.0%37.1%45.4%41.5%42.5%
Put IV 25d41.1%37.9%48.2%42.3%45.8%
Bid-Ask Spread %2.451.695.102.122.74
Gamma HHI0.090.060.140.090.06
Net GEX99.6M24.7M161.9M61.8M24.7M
Net DEX-1.86B-4.01B-282.1M-282.1M-430.2M
Net VEX-13.3M-15.0M-10.7M-10.7M-14.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.141.021.020.95
Total Volume487,189.579166,5821,614,890180,864259,584
Total OI5,217,791.5794,420,9966,415,2104,926,9885,249,610

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$19.00$19.0040.9%11.4%34.8%21.4%40.0%0.9%-0.7%61.8M-282.1M-10.7M1.022.1289,70291,1623,185,1321,741,856
2021-01-05$19.94$19.0040.4%11.3%33.1%20.9%39.7%-0.6%-0.1%90.4M-1.16B-11.5M0.242.24798,212188,2823,207,3641,776,612
2021-01-06$20.45$19.0040.7%11.2%33.0%21.2%39.3%0.4%-0.2%112.5M-1.70B-12.0M0.303.15341,194104,0463,417,5641,881,990
2021-01-07$20.82$19.0037.6%10.5%33.1%18.6%36.6%0.1%-0.1%136.6M-2.21B-11.9M0.212.51463,29097,0303,526,1061,913,374
2021-01-08$20.75$19.0037.7%10.7%33.1%18.7%37.4%0.2%-0.4%128.3M-2.08B-12.1M0.422.25315,220133,9443,594,5421,926,174
2021-01-11$21.05$19.0040.3%11.2%31.7%20.9%38.8%0.9%-1.5%135.4M-2.39B-12.1M0.142.45631,66091,5343,586,1681,927,532
2021-01-12$21.86$19.0039.2%11.0%33.8%20.0%38.7%1.5%-0.9%150.8M-3.40B-13.0M0.332.38469,134154,6983,784,8761,984,156
2021-01-13$21.58$20.0038.4%10.8%31.8%19.2%37.8%0.7%-0.8%145.3M-3.05B-12.9M0.462.13199,28292,0563,839,6562,049,540
2021-01-14$22.33$20.0039.5%11.0%33.3%20.2%38.8%0.7%-1.1%161.9M-4.01B-13.3M0.152.171,405,746209,1443,882,0642,095,630
2021-01-15$21.32$20.0039.7%11.2%37.9%20.4%39.3%0.0%-1.1%116.7M-2.78B-14.1M0.552.03355,108196,3604,202,8402,212,370
2021-01-19$21.85$20.0038.1%10.9%38.5%19.0%38.5%0.1%-0.0%107.3M-2.22B-14.2M0.641.89149,18895,6622,994,0481,426,948
2021-01-20$21.88$20.0037.1%10.6%37.5%17.5%37.3%0.8%0.2%114.0M-2.22B-14.3M0.312.11295,23692,6383,068,7601,458,896
2021-01-21$21.20$20.0038.0%10.9%38.0%18.0%38.6%1.8%0.1%87.7M-1.64B-14.7M0.581.69163,58295,0843,238,8601,474,378
2021-01-22$21.06$20.0038.7%11.1%37.4%18.3%39.0%2.0%-0.5%82.2M-1.53B-14.7M0.421.91226,69495,9963,294,2981,512,692
2021-01-25$20.77$20.0040.8%11.8%37.2%19.3%41.6%1.9%-0.0%74.7M-1.31B-14.4M0.362.02256,08891,3023,202,2041,478,516
2021-01-26$20.45$20.0041.5%12.0%37.4%19.4%42.5%1.6%0.3%59.5M-1.07B-14.2M0.242.18288,40269,3743,292,8241,517,456
2021-01-27$20.09$20.0045.9%13.4%38.1%23.2%47.9%2.8%0.8%49.8M-864.8M-14.4M0.563.41310,316174,0703,443,7641,542,010
2021-01-28$20.34$20.0042.4%12.1%38.1%20.2%42.9%2.2%1.0%53.2M-1.03B-15.0M0.465.10114,08252,5003,557,1921,650,038
2021-01-29$19.63$20.0044.4%12.9%40.3%22.0%46.6%3.2%1.5%24.7M-430.2M-14.0M0.952.74132,990126,5943,595,4721,654,138