XLE Options History — August 2021 In August 2021, XLE traded between $22.80 and $25.03. ATM implied volatility averaged 28.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.4% (HV 20d: 28.5%). Max pain ranged from $25.00 to $25.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2021-08-19 : Highest Volume — 605,578 contracts2021-08-19 : Largest IV spike — 7.6% change2021-08-19 : Highest IV Rank — 22.8%2021-08-19 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $24.29 $22.80 $25.03 $24.54 $24.26 Max Pain $25.07 $25.00 $25.50 $25.50 $25.00 ATM IV 28.9% 26.8% 32.2% 31.2% 27.5% Expected Move 8.2% 7.4% 9.1% 9.0% 7.4% HV 20d 28.5% 21.8% 32.6% 32.6% 27.8% HV 60d 28.8% 27.6% 29.8% 29.5% 28.9% IV Rank 11.2% 3.7% 22.8% 19.4% 6.1% IV Percentile 11.5% 1.2% 34.9% 25.0% 4.4% Term Structure 0.4% -0.8% 1.9% -0.4% 0.3% VWIV 29.8% 26.8% 34.2% 32.3% 28.0% Skew 25d 4.2% 3.3% 6.0% 4.9% 4.0% Skew 10d 9.2% 6.5% 14.0% 12.1% 6.7% Call IV 25d 27.5% 25.5% 30.1% 29.7% 26.3% Put IV 25d 31.7% 29.0% 36.1% 34.6% 30.3% Bid-Ask Spread % 5.11 2.33 11.28 4.65 4.51 Gamma HHI 0.08 0.04 0.52 0.05 0.05 Net GEX 1.0M -260.0M 60.0M 32.4M 21.1M Net DEX 149.6M -606.1M 1.97B -185.4M 20.8M Net VEX -18.8M -20.8M -16.5M -20.6M -18.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.24 2.48 0.59 0.72 Total Volume 233,436.545 81,778 605,578 204,818 100,316 Total OI 6,421,361.636 5,399,486 7,038,804 6,420,722 6,026,008
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 2021-08-02 $24.54 $25.50 31.2% 9.0% 32.6% 19.4% 32.3% 4.9% -0.4% 32.4M -185.4M -20.6M 0.59 4.65 129,114 75,704 3,846,554 2,574,168 2021-08-03 $24.92 $25.50 30.4% 8.5% 31.7% 16.5% 32.2% 4.6% -0.1% 46.6M -544.8M -20.8M 0.95 3.99 99,586 95,062 3,874,138 2,630,416 2021-08-04 $24.32 $25.50 31.3% 8.9% 32.2% 19.5% 31.8% 4.8% -0.4% 11.3M 140.9M -20.1M 0.55 3.76 110,328 60,240 3,890,560 2,653,946 2021-08-05 $24.54 $25.00 29.8% 8.6% 32.4% 14.2% 29.9% 3.8% -0.2% 19.9M -88.9M -20.3M 0.62 4.37 128,160 79,510 3,926,310 2,710,536 2021-08-06 $24.75 $25.00 28.3% 8.3% 31.4% 8.9% 30.0% 3.4% 0.0% 38.3M -316.2M -20.2M 1.06 8.69 85,072 90,148 3,947,040 2,736,466 2021-08-09 $24.45 $25.00 28.7% 8.3% 31.5% 10.6% 29.5% 3.5% 0.4% 17.5M 31.3M -19.5M 0.77 2.95 86,576 66,248 3,891,352 2,653,400 2021-08-10 $24.83 $25.00 28.6% 8.3% 32.2% 10.1% 32.6% 3.4% 0.2% 44.0M -381.5M -19.8M 2.48 10.82 101,256 251,152 3,917,272 2,695,564 2021-08-11 $25.03 $25.00 27.5% 8.0% 30.3% 6.2% 28.9% 3.3% 0.6% 60.0M -606.1M -19.6M 0.65 7.49 213,962 139,930 3,936,364 2,715,300 2021-08-12 $24.97 $25.00 27.0% 7.9% 30.0% 4.5% 32.4% 3.3% 0.7% 59.2M -501.6M -19.4M 0.60 5.72 203,474 122,952 3,970,060 2,840,942 2021-08-13 $24.70 $25.00 26.8% 7.9% 28.3% 3.7% 28.3% 3.5% 0.9% 31.7M -120.5M -19.3M 1.11 2.33 96,110 106,796 4,001,168 2,855,666 2021-08-16 $24.21 $25.00 28.1% 8.1% 25.3% 8.2% 27.7% 3.7% 1.0% -16.6M 445.7M -18.7M 0.50 4.94 104,548 51,980 3,994,232 2,889,256 2021-08-17 $23.96 $25.00 29.0% 8.3% 24.8% 11.6% 30.4% 4.4% 1.0% -35.9M 705.0M -18.4M 1.41 2.85 59,716 84,326 4,003,494 2,907,298 2021-08-18 $23.59 $25.00 29.9% 8.6% 21.8% 14.7% 31.0% 5.3% 1.9% -64.3M 1.13B -17.8M 1.39 4.18 86,222 119,630 4,013,584 2,931,298 2021-08-19 $22.80 $25.00 32.2% 9.1% 24.4% 22.8% 34.2% 6.0% 1.6% -111.2M 1.97B -16.7M 1.80 4.10 216,458 389,120 4,012,080 2,951,630 2021-08-20 $22.96 $25.00 29.8% 8.4% 24.7% 14.3% 29.2% 5.4% 1.4% -260.0M 1.86B -16.5M 1.38 3.42 132,952 183,528 4,036,744 3,002,060 2021-08-23 $23.82 $25.00 28.8% 7.8% 26.9% 10.7% 27.8% 4.5% -0.8% -7.2M 437.1M -17.4M 1.06 11.28 124,088 131,894 2,869,410 2,530,076 2021-08-24 $24.23 $25.00 28.4% 7.8% 27.5% 9.3% 26.9% 4.4% 0.3% 17.0M -26.5M -17.9M 0.53 3.17 123,622 65,568 2,930,876 2,581,684 2021-08-25 $24.39 $25.00 28.2% 7.7% 27.2% 8.8% 26.9% 4.2% -0.2% 25.1M -120.2M -18.2M 0.24 2.89 277,214 65,684 2,990,946 2,665,336 2021-08-26 $24.07 $25.00 29.6% 8.2% 27.3% 13.8% 31.9% 4.5% -0.5% 11.9M 207.5M -18.2M 0.97 3.38 89,880 87,004 3,036,878 2,683,348 2021-08-27 $24.67 $25.00 27.7% 7.4% 28.2% 6.9% 27.1% 4.0% 0.1% 48.0M -565.0M -18.8M 0.45 7.46 151,130 67,566 3,273,794 2,716,354 2021-08-30 $24.45 $25.00 27.3% 7.4% 28.3% 5.6% 26.8% 3.6% -0.1% 33.6M -204.3M -18.3M 0.53 5.52 53,300 28,478 3,237,828 2,718,520 2021-08-31 $24.26 $25.00 27.5% 7.4% 27.8% 6.1% 28.0% 4.0% 0.3% 21.1M 20.8M -18.0M 0.72 4.51 58,234 42,082 3,280,982 2,745,026
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