XLE Options History — April 2021

In April 2021, XLE traded between $23.52 and $25.34. ATM implied volatility averaged 30.7%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.9% (HV 20d: 25.8%). Max pain ranged from $24.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.45.

Notable Days

2021-04-14: Highest Volume — 617,978 contracts
2021-04-23: Largest IV drop — 6.2% change
2021-04-20: Highest IV Rank — 7.1%
2021-04-20: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.31	$23.52	$25.34	$25.09	$24.67
Max Pain	$24.83	$24.50	$25.00	$24.50	$25.00
ATM IV	30.7%	29.4%	32.8%	31.8%	30.2%
Expected Move	8.8%	8.5%	9.4%	8.7%	8.8%
HV 20d	25.8%	20.5%	33.3%	33.3%	25.2%
HV 60d	32.0%	29.7%	34.4%	34.3%	30.1%
IV Rank	1.6%	0.0%	7.1%	0.0%	2.8%
IV Percentile	1.2%	0.0%	4.8%	0.0%	3.2%
Term Structure	-0.1%	-0.6%	0.9%	0.1%	-0.6%
VWIV	31.8%	30.7%	33.6%	30.8%	32.2%
Skew 25d	0.4%	-0.3%	1.4%	0.6%	-0.1%
Skew 10d	1.5%	-0.8%	4.9%	2.2%	-0.5%
Call IV 25d	31.2%	29.5%	33.6%	32.0%	31.2%
Put IV 25d	31.7%	30.1%	34.2%	32.5%	31.2%
Bid-Ask Spread %	10.17	2.82	30.47	3.05	3.48
Gamma HHI	0.11	0.09	0.16	0.16	0.12
Net GEX	105.8M	49.0M	194.5M	194.5M	154.4M
Net DEX	-2.08B	-3.59B	-1.24B	-3.15B	-2.63B
Net VEX	-20.9M	-22.2M	-19.9M	-21.9M	-22.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.20	1.02	0.41	0.41
Total Volume	299,603.048	142,744	617,978	290,342	256,986
Total OI	6,267,124.952	5,510,950	7,012,110	6,334,714	6,233,264

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
2021-04-01	$25.09	$24.50	31.8%	8.7%	33.3%	0.0%	30.8%	0.6%	0.1%	194.5M	-3.15B	-21.9M	0.41	3.05	206,416	83,926	4,133,256	2,201,458
2021-04-05	$24.59	$25.00	32.8%	9.3%	30.6%	2.3%	33.2%	0.2%	0.0%	118.0M	-2.39B	-21.2M	0.45	3.14	99,396	44,948	4,160,994	2,157,548
2021-04-06	$24.54	$25.00	31.9%	9.1%	30.3%	0.4%	31.9%	0.7%	-0.0%	112.5M	-2.26B	-20.8M	0.23	5.80	144,088	33,808	4,204,504	2,196,548
2021-04-07	$24.59	$25.00	30.9%	8.8%	29.5%	0.0%	31.7%	0.0%	-0.0%	117.6M	-2.33B	-20.4M	0.79	3.39	124,742	98,724	4,212,062	2,213,454
2021-04-08	$24.20	$25.00	30.3%	8.7%	27.6%	0.0%	31.4%	-0.3%	-0.0%	71.7M	-1.75B	-19.9M	0.30	30.47	399,058	118,816	4,225,402	2,276,050
2021-04-09	$24.09	$25.00	29.8%	8.7%	27.5%	0.0%	31.0%	-0.0%	0.2%	49.0M	-1.66B	-20.6M	0.71	28.61	147,832	104,736	4,370,524	2,299,504
2021-04-12	$23.91	$25.00	30.5%	8.8%	27.4%	1.5%	31.6%	0.2%	0.2%	51.4M	-1.45B	-20.0M	0.21	2.82	177,712	36,880	4,361,714	2,277,630
2021-04-13	$23.91	$25.00	30.4%	8.8%	27.4%	1.3%	32.6%	-0.2%	0.2%	55.0M	-1.48B	-20.0M	0.23	13.27	309,212	69,664	4,393,194	2,289,536
2021-04-14	$24.55	$25.00	30.9%	8.9%	28.1%	2.4%	31.6%	-0.2%	0.2%	140.1M	-2.36B	-21.1M	0.40	10.37	440,760	177,218	4,476,588	2,321,782
2021-04-15	$24.42	$25.00	30.1%	8.7%	28.0%	0.6%	33.5%	0.8%	0.9%	102.7M	-2.09B	-20.6M	0.70	6.49	160,576	112,554	4,491,834	2,399,360
2021-04-16	$24.20	$25.00	29.5%	8.5%	23.1%	0.0%	30.8%	-0.3%	-0.1%	83.4M	-1.81B	-20.4M	1.02	6.29	112,350	114,100	4,543,650	2,468,460
2021-04-19	$24.14	$25.00	31.1%	8.9%	22.9%	3.3%	31.6%	0.9%	-0.5%	90.2M	-1.83B	-20.3M	0.49	17.60	95,608	47,136	3,564,638	1,946,312
2021-04-20	$23.52	$25.00	32.8%	9.4%	23.4%	7.1%	33.6%	1.1%	-0.6%	62.3M	-1.24B	-20.1M	0.54	6.80	313,072	168,364	3,602,084	1,977,880
2021-04-21	$23.88	$25.00	31.3%	9.0%	23.4%	3.9%	32.0%	1.0%	-0.5%	84.3M	-1.63B	-21.1M	0.31	4.79	128,212	39,878	3,766,370	2,043,422
2021-04-22	$23.63	$24.50	31.7%	9.1%	21.6%	5.7%	32.3%	1.1%	-0.2%	67.4M	-1.34B	-20.8M	0.72	29.63	97,904	70,488	3,801,322	2,070,170
2021-04-23	$23.80	$24.50	29.8%	8.6%	21.8%	0.6%	30.8%	0.5%	-0.2%	76.3M	-1.53B	-21.2M	0.30	7.06	276,310	82,538	3,847,822	2,114,790
2021-04-26	$23.96	$24.50	29.4%	8.5%	20.5%	0.0%	30.9%	1.4%	-0.2%	95.1M	-1.71B	-20.6M	0.37	7.73	153,280	56,818	3,779,238	2,071,196
2021-04-27	$24.28	$24.50	29.5%	8.5%	21.2%	0.2%	32.2%	1.2%	-0.4%	122.9M	-2.11B	-20.9M	0.20	12.56	216,116	42,950	3,849,694	2,077,064
2021-04-28	$25.14	$24.50	29.8%	8.7%	24.6%	1.2%	32.1%	0.1%	-0.0%	180.5M	-3.31B	-21.7M	0.41	6.97	400,986	165,940	3,949,004	2,092,532
2021-04-29	$25.34	$24.50	29.4%	8.5%	24.5%	0.0%	30.7%	-0.3%	-0.2%	192.4M	-3.59B	-22.2M	0.35	3.24	267,134	94,428	4,031,680	2,116,090
2021-04-30	$24.67	$25.00	30.2%	8.8%	25.2%	2.8%	32.2%	-0.1%	-0.6%	154.4M	-2.63B	-22.0M	0.41	3.48	182,462	74,524	4,073,154	2,160,110