XLE Options History — June 2021

In June 2021, XLE traded between $26.34 and $28.07. ATM implied volatility averaged 28.2%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.3% (HV 20d: 27.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2021-06-18: Highest Volume — 1,292,646 contracts
2021-06-18: Largest IV spike — 9.8% change
2021-06-18: Highest IV Rank — 19.4%
2021-06-18: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.42	$26.34	$28.07	$27.13	$26.92
Max Pain	$26.36	$25.00	$27.00	$25.00	$27.00
ATM IV	28.2%	25.7%	31.2%	29.1%	28.8%
Expected Move	8.0%	7.4%	8.9%	7.8%	7.8%
HV 20d	27.0%	23.7%	31.1%	30.8%	25.4%
HV 60d	27.6%	25.9%	29.3%	29.2%	27.5%
IV Rank	6.3%	0.0%	19.4%	3.0%	10.9%
IV Percentile	3.5%	0.0%	16.3%	0.8%	6.0%
Term Structure	0.5%	-0.2%	0.9%	0.8%	0.4%
VWIV	28.5%	26.7%	32.0%	27.8%	27.4%
Skew 25d	1.3%	0.4%	2.5%	2.5%	1.1%
Skew 10d	2.4%	0.7%	6.4%	4.8%	3.4%
Call IV 25d	28.4%	25.6%	32.1%	27.8%	29.1%
Put IV 25d	29.7%	26.9%	33.3%	30.3%	30.1%
Bid-Ask Spread %	6.58	2.00	22.95	2.53	4.04
Gamma HHI	0.09	0.08	0.12	0.08	0.08
Net GEX	196.7M	114.5M	262.4M	226.9M	159.4M
Net DEX	-4.86B	-6.68B	-2.31B	-5.39B	-2.74B
Net VEX	-22.8M	-24.9M	-20.5M	-22.5M	-24.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.16	1.02	0.36	0.39
Total Volume	426,557.091	148,716	1,292,646	436,880	148,716
Total OI	6,970,899.182	5,626,876	8,286,356	7,021,888	6,546,922

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
2021-06-01	$27.13	$25.00	29.1%	7.8%	30.8%	3.0%	27.8%	2.5%	0.8%	226.9M	-5.39B	-22.5M	0.36	2.53	321,610	115,270	4,412,340	2,609,548
2021-06-02	$27.62	$25.00	29.6%	7.7%	31.1%	4.5%	27.4%	2.3%	-0.2%	237.7M	-6.15B	-22.7M	0.29	2.00	396,670	114,564	4,450,362	2,640,668
2021-06-03	$27.71	$26.00	29.5%	8.5%	29.5%	4.0%	30.5%	2.1%	0.0%	246.0M	-6.28B	-22.9M	0.38	6.99	396,230	150,866	4,492,720	2,680,052
2021-06-04	$27.89	$26.00	27.8%	8.1%	29.5%	0.0%	29.2%	2.1%	0.0%	231.5M	-6.53B	-22.5M	0.43	4.99	172,104	74,418	4,531,934	2,760,834
2021-06-07	$27.73	$26.00	28.2%	8.2%	28.9%	1.5%	29.0%	1.4%	0.2%	226.7M	-6.10B	-22.3M	1.02	9.12	116,464	119,312	4,469,426	2,726,902
2021-06-08	$27.96	$26.00	26.9%	7.8%	28.9%	0.0%	27.8%	1.4%	0.3%	236.2M	-6.40B	-22.2M	0.63	4.19	138,704	87,568	4,486,624	2,814,320
2021-06-09	$27.83	$26.50	27.3%	8.1%	26.2%	1.3%	28.5%	1.2%	0.5%	230.1M	-6.27B	-21.9M	0.36	6.33	224,462	80,346	4,503,838	2,871,684
2021-06-10	$27.84	$26.50	26.9%	7.7%	26.2%	0.0%	27.2%	1.6%	0.2%	235.2M	-6.21B	-21.7M	0.69	10.55	183,366	126,034	4,506,238	2,917,742
2021-06-11	$27.66	$26.50	25.7%	7.5%	26.0%	0.0%	26.8%	1.4%	0.6%	213.0M	-5.93B	-21.6M	0.45	4.99	164,472	73,460	4,533,256	2,984,362
2021-06-14	$27.50	$26.50	26.1%	7.5%	24.5%	1.2%	26.7%	1.8%	0.7%	213.6M	-5.56B	-21.0M	0.54	4.47	143,166	77,190	4,480,770	2,959,506
2021-06-15	$28.07	$26.50	26.3%	7.5%	24.4%	1.9%	26.9%	1.0%	0.5%	262.4M	-6.68B	-20.5M	0.33	5.41	314,852	102,938	4,511,762	3,003,598
2021-06-16	$28.01	$26.50	27.0%	7.7%	23.7%	4.4%	27.6%	1.1%	0.8%	258.7M	-6.56B	-20.8M	0.16	22.95	655,632	101,912	4,586,884	3,054,632
2021-06-17	$27.04	$26.50	28.4%	8.1%	24.0%	9.6%	29.6%	1.1%	0.6%	168.9M	-4.80B	-22.6M	0.74	12.14	363,772	270,294	4,994,858	3,123,366
2021-06-18	$26.34	$26.50	31.2%	8.9%	26.0%	19.4%	32.0%	1.3%	0.2%	114.5M	-3.51B	-22.7M	0.30	6.72	992,598	300,048	5,079,174	3,207,182
2021-06-21	$27.00	$26.50	29.6%	8.4%	27.3%	13.6%	30.6%	1.3%	0.3%	126.0M	-2.86B	-23.4M	0.44	5.04	238,308	104,166	3,573,402	2,053,474
2021-06-22	$27.25	$26.50	29.2%	8.1%	27.4%	12.1%	30.6%	0.6%	0.3%	147.2M	-3.19B	-24.0M	0.31	5.67	310,716	94,844	3,666,282	2,099,180
2021-06-23	$27.36	$26.50	28.6%	8.0%	26.0%	10.0%	29.4%	0.5%	0.6%	165.6M	-3.44B	-24.3M	0.88	6.86	213,652	188,984	3,804,530	2,171,112
2021-06-24	$27.52	$26.50	28.5%	7.9%	25.9%	9.9%	27.8%	0.7%	0.8%	176.7M	-3.67B	-24.6M	0.40	4.41	235,446	93,980	3,879,180	2,218,694
2021-06-25	$27.66	$27.00	27.1%	7.4%	25.9%	4.9%	27.3%	0.9%	0.9%	198.5M	-3.81B	-24.9M	0.22	4.41	306,040	67,734	3,980,290	2,295,980
2021-06-28	$26.65	$27.00	29.3%	8.1%	29.5%	12.5%	29.1%	0.7%	0.7%	125.3M	-2.42B	-24.0M	0.37	4.15	473,442	176,570	3,955,842	2,227,936
2021-06-29	$26.61	$27.00	29.4%	8.1%	25.9%	13.1%	28.8%	0.4%	0.7%	126.6M	-2.31B	-24.3M	0.88	6.86	187,734	165,602	4,152,182	2,340,194
2021-06-30	$26.92	$27.00	28.8%	7.8%	25.4%	10.9%	27.4%	1.1%	0.4%	159.4M	-2.74B	-24.5M	0.39	4.04	107,262	41,454	4,176,630	2,370,292