XLE Options History — September 2021

In September 2021, XLE traded between $23.50 and $26.55. ATM implied volatility averaged 29.5%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.1% (HV 20d: 30.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2021-09-27: Highest Volume — 891,040 contracts
  • 2021-09-20: Largest IV spike — 22.8% change
  • 2021-09-20: Highest IV Rank — 35.2%
  • 2021-09-20: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.77$23.50$26.55$23.85$26.18
Max Pain$24.21$24.00$25.00$25.00$24.50
ATM IV29.5%27.1%35.7%27.7%33.3%
Expected Move8.5%7.6%10.5%7.6%9.6%
HV 20d30.6%27.1%34.6%27.2%33.8%
HV 60d30.1%28.6%31.9%29.0%31.1%
IV Rank13.3%4.7%35.2%6.9%26.8%
IV Percentile20.2%3.2%49.2%5.2%48.4%
Term Structure0.2%-0.4%0.9%0.1%0.5%
VWIV30.4%26.8%38.0%26.8%34.3%
Skew 25d3.4%1.8%6.8%4.0%4.1%
Skew 10d6.5%3.6%13.0%6.6%8.9%
Call IV 25d28.9%26.3%33.3%26.3%32.6%
Put IV 25d32.3%28.8%40.1%30.3%36.7%
Bid-Ask Spread %8.732.1134.827.543.51
Gamma HHI0.060.040.100.050.07
Net GEX62.5M-3.3M177.3M-2.8M137.4M
Net DEX-730.2M-2.96B471.7M471.7M-2.47B
Net VEX-18.5M-22.2M-16.8M-17.4M-21.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.311.500.430.31
Total Volume339,876.19114,642891,040191,906389,152
Total OI6,021,369.6195,010,3306,744,1666,057,8186,279,072

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$23.85$25.0027.7%7.6%27.2%6.9%26.8%4.0%0.1%-2.8M471.7M-17.4M0.437.54134,64857,2583,299,5662,758,252
2021-09-02$24.36$24.0027.8%7.9%28.1%7.4%28.7%2.5%0.4%31.9M-131.8M-18.0M0.3411.74201,93267,9523,317,5902,772,472
2021-09-03$24.29$24.0027.1%7.8%28.0%4.7%27.9%2.5%0.3%46.7M-98.2M-17.8M0.7419.3470,74052,2943,409,2202,806,638
2021-09-07$24.20$24.0027.4%8.0%27.7%6.0%27.8%3.1%0.6%24.3M40.6M-17.2M0.524.1697,71650,7823,409,6702,762,228
2021-09-08$23.90$24.0027.7%7.9%27.3%6.9%28.7%3.1%0.2%4.3M377.2M-17.2M1.173.5452,77061,8723,442,6322,776,654
2021-09-09$23.98$24.0027.8%8.0%27.1%7.3%28.2%3.4%0.1%7.8M344.2M-16.8M0.923.16128,750117,9023,489,9122,800,368
2021-09-10$23.91$24.0027.7%7.9%27.1%7.0%28.6%3.0%-0.0%-3.3M440.6M-16.8M0.433.42100,30243,2063,504,1582,820,880
2021-09-13$24.57$24.0028.2%8.1%28.8%8.6%28.5%3.4%-0.4%49.2M-300.5M-17.0M0.854.17116,61699,6663,469,4582,852,522
2021-09-14$24.18$24.0029.1%8.4%28.5%11.8%30.0%3.3%-0.0%22.5M123.4M-17.1M1.503.6394,692141,9963,513,2862,863,844
2021-09-15$25.13$24.5028.7%8.2%31.3%10.3%29.4%2.0%0.1%96.5M-1.13B-17.6M0.314.22442,610137,5683,534,8582,912,952
2021-09-16$24.93$24.5028.7%8.2%30.8%10.3%29.7%1.8%0.4%99.9M-881.4M-17.6M0.884.92130,246114,2783,572,3802,976,542
2021-09-17$24.70$24.5029.1%8.4%28.0%11.8%31.4%2.4%-0.2%48.1M-473.4M-17.5M0.344.03453,392154,2943,708,5843,035,582
2021-09-20$23.50$24.5035.7%10.5%33.8%35.2%38.0%6.8%-0.0%11.6M226.1M-18.4M1.0011.84197,296197,6722,728,6782,281,652
2021-09-21$23.77$24.5032.6%9.5%31.4%24.4%34.3%5.7%0.0%13.4M124.4M-18.6M0.733.3194,29468,8562,909,9142,358,350
2021-09-22$24.47$24.0029.9%8.6%32.5%14.6%31.0%4.4%0.0%52.4M-575.6M-19.1M0.7215.08160,484115,1442,999,8302,444,014
2021-09-23$25.29$24.0028.7%8.2%34.4%10.5%29.3%3.4%0.4%101.1M-1.42B-19.6M0.4534.82211,11495,8623,027,2062,475,274
2021-09-24$25.57$24.0028.9%8.2%34.1%11.3%31.4%3.3%0.4%108.7M-1.69B-20.0M0.923.34245,860225,6143,065,9802,533,226
2021-09-27$26.35$24.0029.2%8.4%34.6%12.2%29.4%2.8%0.9%145.4M-2.60B-20.0M0.3832.80645,372245,6683,071,7482,511,392
2021-09-28$26.47$24.2532.3%9.2%34.3%23.1%32.7%3.3%0.1%139.2M-2.73B-20.7M0.322.59634,350202,1503,119,8222,607,804
2021-09-29$26.55$24.2532.2%9.3%34.0%22.9%33.0%3.6%0.8%177.3M-2.96B-22.2M0.582.11180,384104,6463,493,5682,730,984
2021-09-30$26.18$24.5033.3%9.6%33.8%26.8%34.3%4.1%0.5%137.4M-2.47B-21.9M0.313.51297,41691,7363,487,1782,791,894