XLE Options History — February 2021

In February 2021, XLE traded between $19.82 and $25.16. ATM implied volatility averaged 38.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 2.0% (HV 20d: 36.7%). Max pain ranged from $19.50 to $20.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-02-08: Highest Volume — 1,187,990 contracts
  • 2021-02-02: Largest IV drop — 8.5% change
  • 2021-02-01: Highest IV Rank — 19.9%
  • 2021-02-01: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.53$19.82$25.16$19.82$24.30
Max Pain$19.95$19.50$20.50$20.00$20.50
ATM IV38.7%36.0%42.0%42.0%41.7%
Expected Move11.0%10.3%11.9%11.9%11.7%
HV 20d36.7%32.6%40.7%40.3%34.8%
HV 60d42.0%36.3%50.2%49.8%36.3%
IV Rank14.8%8.3%19.9%19.9%8.5%
IV Percentile28.8%11.5%57.1%57.1%53.6%
Term Structure0.2%-1.2%1.1%-0.2%-1.2%
VWIV39.3%36.6%43.0%43.0%41.8%
Skew 25d1.8%0.0%3.5%2.7%2.6%
Skew 10d3.7%1.2%6.6%5.1%4.9%
Call IV 25d38.2%36.2%41.3%41.3%40.2%
Put IV 25d40.0%36.7%44.0%44.0%42.8%
Bid-Ask Spread %2.751.754.994.994.38
Gamma HHI0.090.060.110.060.09
Net GEX149.9M40.0M195.2M40.0M156.3M
Net DEX-3.39B-5.67B-632.5M-632.5M-4.77B
Net VEX-18.2M-21.7M-14.0M-14.0M-21.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.110.580.510.41
Total Volume547,205.053297,0101,187,990658,090449,140
Total OI5,787,455.1584,944,7486,269,6184,944,7486,079,406

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$19.82$20.0042.0%11.9%40.3%19.9%43.0%2.7%-0.2%40.0M-632.5M-14.0M0.514.99436,326221,7643,345,9081,598,840
2021-02-02$20.05$20.0038.4%10.5%40.4%16.7%37.9%1.3%0.3%53.7M-872.0M-14.7M0.242.27360,81285,8163,597,6441,713,162
2021-02-03$20.82$20.0037.5%10.3%39.0%15.9%36.6%1.1%0.0%101.5M-1.71B-16.1M0.222.49347,22474,6783,809,0661,754,716
2021-02-04$21.00$19.5037.2%10.8%38.1%15.6%37.7%1.4%0.3%115.8M-1.91B-16.4M0.432.54276,314119,1983,898,1761,777,744
2021-02-05$21.27$19.5036.0%10.5%37.8%14.6%37.0%0.6%0.4%142.8M-2.27B-17.0M0.482.06208,782100,9464,012,1421,826,584
2021-02-08$22.20$19.5037.7%10.9%40.5%16.1%38.1%0.0%0.5%169.3M-3.29B-17.6M0.112.421,070,662117,3283,936,5941,820,006
2021-02-09$21.93$19.5037.2%10.8%40.7%15.7%38.5%0.7%0.4%159.0M-2.85B-17.6M0.392.52384,610149,7883,893,1541,852,336
2021-02-10$22.24$19.5037.2%10.9%38.7%15.7%38.0%1.4%0.7%173.1M-3.25B-18.4M0.162.19367,31056,9564,000,1441,927,148
2021-02-11$21.93$19.5037.1%10.8%38.8%15.6%39.5%1.3%0.3%162.2M-2.87B-18.5M0.372.67412,928153,3444,128,5161,958,730
2021-02-12$22.28$20.0036.7%10.7%37.2%15.2%38.0%1.2%0.8%195.2M-3.34B-18.7M0.301.75228,86668,1444,041,3541,953,588
2021-02-16$22.95$20.0039.1%11.2%34.4%17.3%39.3%2.2%0.8%186.0M-4.07B-18.8M0.262.10582,792151,3643,975,3941,927,522
2021-02-17$23.21$20.0038.3%11.0%33.7%16.6%39.6%2.6%0.9%193.4M-4.40B-19.1M0.372.05306,250113,6584,076,3521,993,884
2021-02-18$22.75$20.0038.2%10.9%34.7%16.5%38.8%2.4%1.1%189.8M-3.79B-19.0M0.382.62243,48493,1684,115,3662,041,772
2021-02-19$23.14$20.0038.3%10.9%32.6%15.9%38.1%2.9%0.5%182.7M-4.31B-19.0M0.582.73273,378158,9004,183,4322,086,186
2021-02-22$23.98$20.0040.5%11.5%34.2%16.1%40.9%2.5%-0.7%153.9M-4.46B-19.1M0.293.39448,184128,3943,683,4301,742,834
2021-02-23$24.33$20.5040.4%11.3%33.5%11.7%40.3%2.6%-0.7%156.9M-4.82B-19.2M0.262.72625,870163,3103,773,7401,795,036
2021-02-24$25.16$20.5040.2%11.5%33.4%8.3%40.7%1.1%0.0%155.7M-5.67B-20.1M0.252.96603,174149,2403,916,3641,805,006
2021-02-25$24.65$20.5041.9%11.9%33.7%8.7%42.7%3.5%-0.9%161.2M-5.18B-20.9M0.233.47541,956122,8384,083,3301,837,042
2021-02-26$24.30$20.5041.7%11.7%34.8%8.5%41.8%2.6%-1.2%156.3M-4.77B-21.7M0.414.38317,842131,2984,187,2721,892,134