XLE Options History — October 2021

In October 2021, XLE traded between $26.91 and $29.61. ATM implied volatility averaged 29.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.6% (HV 20d: 28.0%). Max pain ranged from $24.50 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-10-04: Highest Volume — 1,170,124 contracts
  • 2021-10-07: Largest IV drop — 5.8% change
  • 2021-10-04: Highest IV Rank — 30.6%
  • 2021-10-04: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.41$26.91$29.61$26.91$28.80
Max Pain$26.29$24.50$27.50$24.50$27.50
ATM IV29.5%26.9%34.4%32.9%27.0%
Expected Move8.5%7.7%9.7%9.4%7.9%
HV 20d28.0%20.0%35.3%34.3%20.8%
HV 60d29.3%28.0%31.6%31.6%28.0%
IV Rank13.4%4.2%30.6%25.2%4.5%
IV Percentile22.4%2.4%50.0%47.6%3.6%
Term Structure0.0%-0.8%0.9%0.7%0.8%
VWIV30.6%27.7%34.5%33.1%28.1%
Skew 25d1.6%0.5%4.1%3.1%1.3%
Skew 10d3.2%1.0%9.3%8.2%3.1%
Call IV 25d29.6%26.7%33.5%32.5%26.7%
Put IV 25d31.3%28.0%37.6%35.6%28.0%
Bid-Ask Spread %4.892.2412.985.222.55
Gamma HHI0.090.080.120.090.10
Net GEX202.7M169.3M238.0M180.1M178.7M
Net DEX-4.66B-5.83B-3.31B-3.31B-4.32B
Net VEX-21.3M-23.0M-20.0M-22.0M-20.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.131.900.190.61
Total Volume412,643.905154,8281,170,124671,014281,328
Total OI6,691,695.0486,121,3027,427,1406,121,3026,716,624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$26.91$24.5032.9%9.4%34.3%25.2%33.1%3.1%0.7%180.1M-3.31B-22.0M0.195.22562,060108,9543,404,8862,716,416
2021-10-04$27.45$25.0034.4%9.7%34.5%30.6%34.5%4.1%-0.6%201.4M-4.15B-21.5M0.1312.981,039,068131,0563,503,2202,690,834
2021-10-05$27.59$25.0032.9%9.3%34.3%25.2%33.6%3.1%-0.2%238.0M-4.51B-21.8M0.426.44523,906217,4863,769,2982,724,760
2021-10-06$27.18$25.0034.0%9.6%34.5%29.2%33.5%3.2%-0.6%228.2M-3.79B-22.8M0.876.69216,820189,5003,929,3622,774,470
2021-10-07$27.44$26.0032.0%9.2%34.5%22.2%33.8%2.7%0.2%218.4M-3.98B-22.6M0.729.17178,510129,3303,876,1302,834,368
2021-10-08$28.30$26.0032.2%9.1%35.3%22.7%33.8%1.7%-0.1%213.8M-5.32B-22.0M0.494.94651,918319,0903,890,8262,916,010
2021-10-11$28.23$26.0031.9%9.1%34.8%21.7%32.8%1.5%-0.2%219.8M-4.91B-21.6M0.604.76276,316165,8023,773,2942,881,718
2021-10-12$28.11$26.0031.2%9.0%33.9%19.3%34.2%2.1%0.2%215.5M-4.71B-23.0M1.905.4380,056152,2304,028,2783,135,038
2021-10-13$28.24$26.0030.0%8.7%31.9%15.1%31.2%1.6%0.3%220.1M-4.90B-22.5M0.725.2590,13464,6944,112,6983,220,166
2021-10-14$28.52$26.5028.4%8.2%31.5%9.5%29.1%1.1%0.2%223.2M-5.37B-21.9M0.534.19161,44486,1584,106,8103,290,238
2021-10-15$28.73$26.5027.1%7.8%30.9%4.9%29.1%0.5%0.3%202.4M-5.83B-21.3M0.924.10222,790204,1084,120,6183,306,522
2021-10-18$28.68$26.5027.0%7.7%22.9%4.4%27.7%0.7%-0.5%171.0M-4.40B-20.7M0.524.14240,676125,5783,552,9382,730,030
2021-10-19$28.96$26.5027.1%7.8%22.9%4.7%28.4%0.9%-0.6%182.8M-4.77B-20.6M1.134.66123,796140,4343,593,9662,775,582
2021-10-20$29.20$27.0027.3%7.8%21.8%5.3%27.7%0.7%-0.8%204.4M-5.01B-21.0M0.942.24119,190111,5143,673,6582,830,524
2021-10-21$28.69$27.0027.9%8.0%21.7%7.6%28.6%0.7%-0.8%169.3M-4.29B-20.9M0.572.65215,530122,6903,678,0842,859,780
2021-10-22$28.96$27.0027.3%7.9%21.7%5.5%28.1%0.8%-0.5%219.0M-4.71B-20.9M0.575.30162,62292,0563,735,3502,901,492
2021-10-25$29.39$27.0027.4%8.0%20.0%5.8%28.5%1.2%0.5%200.0M-5.18B-20.1M0.582.71179,200104,2223,665,5442,840,952
2021-10-26$29.61$27.0026.9%7.9%20.0%4.2%28.1%1.1%0.7%210.8M-5.46B-20.1M0.813.19125,614101,7543,711,6802,899,898
2021-10-27$28.80$27.0027.9%8.2%23.2%7.5%29.5%1.1%0.9%172.9M-4.33B-20.6M0.953.57237,098224,2863,755,9762,929,388
2021-10-28$28.91$27.0027.7%8.1%22.3%6.8%28.8%1.0%0.7%187.2M-4.52B-20.1M0.772.41105,09881,4063,800,3622,867,808
2021-10-29$28.80$27.5027.0%7.9%20.8%4.5%28.1%1.3%0.8%178.7M-4.32B-20.0M0.612.55175,188106,1403,824,3602,892,264