XLE Options History — March 2021

In March 2021, XLE traded between $23.94 and $26.76. ATM implied volatility averaged 37.3%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.9% (HV 20d: 32.3%). Max pain ranged from $20.50 to $24.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.50.

Notable Days

2021-03-19: Highest Volume — 818,788 contracts
2021-03-05: Largest IV drop — 10.7% change
2021-03-04: Highest IV Rank — 8.6%
2021-03-04: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.38	$23.94	$26.76	$24.73	$24.54
Max Pain	$23.04	$20.50	$24.50	$20.50	$24.50
ATM IV	37.3%	34.2%	41.8%	38.4%	34.2%
Expected Move	10.7%	9.7%	11.6%	11.2%	9.7%
HV 20d	32.3%	29.5%	36.0%	30.7%	32.6%
HV 60d	34.9%	33.7%	36.4%	36.4%	35.4%
IV Rank	4.7%	2.1%	8.6%	5.2%	2.1%
IV Percentile	17.8%	2.4%	55.2%	21.8%	2.4%
Term Structure	0.0%	-1.4%	4.4%	-0.2%	-0.2%
VWIV	38.1%	34.8%	40.9%	40.1%	35.2%
Skew 25d	1.5%	0.1%	3.1%	1.8%	1.0%
Skew 10d	3.5%	0.6%	7.4%	3.2%	2.5%
Call IV 25d	37.4%	34.1%	40.6%	37.9%	34.2%
Put IV 25d	38.9%	35.2%	43.4%	39.7%	35.2%
Bid-Ask Spread %	3.81	2.50	6.37	3.19	3.73
Gamma HHI	0.10	0.08	0.20	0.09	0.10
Net GEX	146.4M	66.8M	186.0M	158.0M	121.8M
Net DEX	-4.72B	-7.14B	-1.57B	-4.98B	-2.36B
Net VEX	-21.3M	-23.3M	-20.1M	-21.3M	-22.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.20	1.25	0.41	0.35
Total Volume	405,168.87	145,564	818,788	309,346	232,582
Total OI	6,370,112.174	5,739,418	7,539,212	5,906,034	6,460,960

Daily Data (23 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
2021-03-01	$24.73	$20.50	38.4%	11.2%	30.7%	5.2%	40.1%	1.8%	-0.2%	158.0M	-4.98B	-21.3M	0.41	3.19	219,824	89,522	4,038,912	1,867,122
2021-03-02	$24.73	$20.50	38.3%	10.9%	31.0%	5.1%	38.0%	1.7%	-0.6%	155.1M	-4.88B	-20.9M	0.20	4.56	211,980	42,336	4,025,570	1,917,922
2021-03-03	$25.13	$20.50	38.7%	11.3%	31.1%	5.5%	40.0%	2.1%	-0.6%	157.8M	-5.35B	-21.0M	0.46	4.92	280,894	129,136	4,050,840	1,933,164
2021-03-04	$25.48	$21.50	41.8%	11.6%	29.5%	8.6%	40.4%	2.7%	-0.9%	165.7M	-5.81B	-21.2M	0.32	5.21	431,960	137,570	4,133,550	1,945,594
2021-03-05	$26.45	$21.50	37.3%	10.8%	31.1%	4.2%	37.8%	1.1%	-1.4%	171.4M	-7.05B	-20.1M	0.54	3.28	333,098	180,600	4,201,084	1,997,284
2021-03-08	$26.66	$22.50	39.9%	11.4%	31.1%	6.7%	40.5%	1.7%	-0.2%	157.4M	-6.92B	-20.1M	0.56	6.37	215,110	120,742	4,109,148	1,985,936
2021-03-09	$26.04	$22.50	38.4%	11.1%	31.1%	5.2%	39.3%	0.7%	0.2%	157.4M	-6.19B	-20.4M	0.51	2.87	169,272	86,078	4,115,540	2,039,060
2021-03-10	$26.75	$22.50	37.1%	11.3%	30.8%	3.9%	40.0%	0.4%	4.4%	156.6M	-6.99B	-20.1M	0.29	2.59	348,452	101,560	4,128,710	2,072,560
2021-03-11	$26.73	$22.50	39.6%	11.5%	31.0%	6.4%	40.5%	0.1%	0.5%	169.6M	-7.12B	-20.8M	0.49	2.50	238,608	117,740	4,344,882	2,119,200
2021-03-12	$26.76	$22.50	38.5%	11.1%	29.9%	5.4%	39.6%	0.5%	0.3%	173.2M	-7.14B	-20.8M	0.39	3.43	240,576	93,556	4,406,750	2,202,028
2021-03-15	$26.45	$23.00	38.9%	11.2%	30.8%	5.7%	40.9%	1.0%	-0.4%	167.3M	-6.71B	-20.3M	1.25	3.15	113,996	142,376	4,388,188	2,170,714
2021-03-16	$25.72	$23.00	37.0%	10.6%	32.3%	3.8%	37.9%	1.1%	-0.0%	161.6M	-5.72B	-20.7M	0.46	3.09	425,974	197,498	4,425,892	2,274,378
2021-03-17	$25.86	$23.50	35.8%	10.3%	32.2%	2.6%	36.8%	0.7%	-0.4%	175.8M	-6.03B	-21.0M	0.89	4.11	156,944	140,026	4,665,954	2,422,856
2021-03-18	$24.70	$23.50	39.1%	11.3%	36.0%	6.0%	40.1%	2.4%	-0.3%	142.1M	-4.10B	-21.2M	0.83	4.49	440,246	366,296	4,693,652	2,471,636
2021-03-19	$24.87	$24.00	36.2%	10.3%	35.8%	3.6%	34.8%	2.1%	1.3%	150.8M	-4.23B	-21.4M	0.33	3.67	615,566	203,222	4,873,140	2,666,072
2021-03-22	$24.34	$24.50	35.4%	10.1%	34.7%	3.4%	36.0%	2.3%	0.1%	84.8M	-2.07B	-21.8M	0.43	3.10	337,018	145,062	3,803,556	1,935,862
2021-03-23	$23.94	$24.50	35.9%	10.4%	34.8%	4.2%	37.3%	2.5%	0.1%	66.8M	-1.57B	-21.2M	0.66	3.27	264,294	173,474	3,891,974	2,018,424
2021-03-24	$24.57	$24.50	35.0%	10.1%	33.9%	3.4%	35.3%	3.1%	-0.2%	98.8M	-2.25B	-22.2M	0.44	3.70	284,824	124,238	3,990,770	2,106,814
2021-03-25	$24.59	$24.50	35.5%	10.1%	33.1%	4.4%	37.8%	2.4%	-0.2%	106.5M	-2.35B	-22.6M	0.68	4.14	269,680	182,392	4,121,100	2,169,216
2021-03-26	$25.08	$24.50	35.0%	10.2%	33.4%	3.5%	36.2%	1.3%	-0.1%	186.0M	-3.16B	-23.2M	0.43	3.42	278,256	120,398	4,243,958	2,263,812
2021-03-29	$24.96	$24.50	36.1%	10.4%	32.9%	5.3%	37.5%	0.7%	-0.1%	145.8M	-2.99B	-23.3M	0.38	5.44	105,648	39,916	4,156,854	2,225,408
2021-03-30	$24.75	$24.50	34.7%	10.0%	33.1%	3.1%	35.2%	1.7%	0.1%	136.1M	-2.67B	-22.6M	0.26	3.26	134,910	35,434	4,194,756	2,241,778
2021-03-31	$24.54	$24.50	34.2%	9.7%	32.6%	2.1%	35.2%	1.0%	-0.2%	121.8M	-2.36B	-22.2M	0.35	3.73	171,968	60,614	4,212,344	2,248,616