XLE Options History — July 2021

In July 2021, XLE traded between $23.38 and $27.41. ATM implied volatility averaged 30.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.3% (HV 20d: 31.0%). Max pain ranged from $25.50 to $27.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-07-19: Highest Volume — 489,232 contracts
  • 2021-07-19: Largest IV spike — 17.9% change
  • 2021-07-19: Highest IV Rank — 36.8%
  • 2021-07-19: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.30$23.38$27.41$27.41$24.64
Max Pain$26.24$25.50$27.00$27.00$25.50
ATM IV30.7%28.1%36.2%28.6%30.3%
Expected Move8.7%7.3%10.3%7.6%8.6%
HV 20d31.0%26.2%34.9%26.3%32.6%
HV 60d29.5%27.5%31.4%27.7%29.5%
IV Rank17.4%8.5%36.8%10.0%16.3%
IV Percentile18.1%3.6%39.3%6.0%18.7%
Term Structure0.2%-0.5%0.9%0.7%0.2%
VWIV31.7%26.4%37.3%26.6%32.4%
Skew 25d4.0%0.6%7.8%0.9%5.0%
Skew 10d9.7%2.8%17.3%2.8%11.4%
Call IV 25d29.6%27.9%33.9%28.8%29.0%
Put IV 25d33.6%28.8%41.7%29.7%34.0%
Bid-Ask Spread %6.413.4712.543.927.85
Gamma HHI0.060.050.100.090.05
Net GEX57.9M-22.7M200.2M197.1M35.9M
Net DEX-813.5M-3.34B811.6M-3.34B-227.3M
Net VEX-22.0M-24.7M-19.9M-24.7M-20.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.451.550.451.08
Total Volume281,478.571112,176489,232318,304213,310
Total OI6,385,5385,950,2786,937,1266,370,0186,369,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$27.41$27.0028.6%7.6%26.3%10.0%26.6%0.9%0.7%197.1M-3.34B-24.7M0.453.92219,68898,6164,082,7142,287,304
2021-07-02$27.36$27.0028.1%7.3%26.2%8.5%26.4%0.6%0.9%200.2M-3.24B-24.6M0.474.42227,360107,6204,110,8462,323,436
2021-07-06$26.48$27.0030.2%8.7%28.5%15.8%31.2%1.7%-0.0%111.7M-1.92B-23.3M0.654.53218,262140,8023,970,1962,271,020
2021-07-07$26.05$27.0030.5%8.8%28.6%16.8%30.9%2.1%0.1%78.4M-1.32B-23.3M0.453.47165,83475,0544,002,7502,335,070
2021-07-08$25.80$27.0031.7%8.9%28.7%21.0%31.5%3.0%-0.5%62.4M-1.06B-22.7M0.874.96122,224106,7264,046,0462,357,130
2021-07-09$26.38$27.0029.4%8.4%30.1%12.8%30.8%2.4%0.1%96.0M-1.71B-23.3M0.715.54205,298146,5384,091,5282,414,434
2021-07-12$26.41$26.5028.6%8.3%30.1%10.0%30.0%3.1%0.2%104.4M-1.75B-22.7M1.555.9280,610124,5944,071,0522,438,156
2021-07-13$26.20$26.5028.8%8.3%30.2%10.6%30.1%3.6%0.4%83.5M-1.43B-22.4M0.783.60113,69088,4184,088,2522,477,058
2021-07-14$25.34$26.5029.3%8.3%30.7%12.6%31.1%3.7%-0.1%12.7M-438.5M-21.3M1.093.81172,858188,0784,090,4682,518,324
2021-07-15$25.04$26.5029.2%8.5%30.8%12.2%31.3%4.0%0.5%-15.8M-51.2M-21.0M0.954.68195,152186,1304,151,8562,623,018
2021-07-16$24.31$26.0030.7%8.8%30.1%17.4%31.8%4.8%-0.2%-22.7M661.7M-20.9M0.964.45241,018231,8984,260,3262,676,800
2021-07-19$23.38$26.0036.2%10.3%31.6%36.8%37.3%7.8%-0.1%-114.8K811.6M-19.9M1.159.79227,792261,4403,590,8522,359,426
2021-07-20$23.82$26.0032.6%9.3%31.0%24.2%34.2%6.0%0.6%9.2M421.2M-20.9M0.605.73160,96896,9703,700,6242,433,088
2021-07-21$24.67$26.0031.0%8.9%33.9%18.7%32.4%5.1%0.3%41.0M-404.1M-22.2M0.6012.48186,488112,1283,746,1262,465,166
2021-07-22$24.39$26.0031.4%9.0%33.8%19.8%31.9%5.1%-0.2%24.1M-103.3M-21.5M0.576.5971,25840,9183,814,3222,520,006
2021-07-23$24.29$25.5031.0%8.8%33.5%18.5%32.7%4.8%0.5%15.7M46.2M-21.5M1.079.29105,668113,1223,837,1042,531,894
2021-07-26$24.84$25.5032.1%9.3%34.9%22.5%33.8%4.8%0.0%43.8M-549.4M-21.5M0.666.3497,55264,8483,720,7422,454,252
2021-07-27$24.55$25.5033.0%9.5%32.9%25.8%35.6%5.5%0.0%33.1M-218.0M-21.2M0.805.64100,68480,8983,746,3382,485,252
2021-07-28$24.85$25.5031.4%8.9%33.4%19.9%32.7%5.0%0.2%48.6M-544.0M-21.5M0.7612.5493,00671,0803,792,2822,520,338
2021-07-29$25.07$25.5030.2%8.6%33.3%15.8%30.8%4.9%0.3%55.9M-728.1M-21.5M0.508.97237,988118,4643,774,7562,546,836
2021-07-30$24.64$25.5030.3%8.6%32.6%16.3%32.4%5.0%0.2%35.9M-227.3M-20.9M1.087.85102,566110,7443,806,0642,563,046