XLE Options History — January 2022

In January 2022, XLE traded between $28.64 and $32.93. ATM implied volatility averaged 31.2%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.4% (HV 20d: 27.8%). Max pain ranged from $27.11 to $31.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2022-01-25: Highest Volume — 854,080 contracts
2022-01-31: Largest IV drop — 8.8% change
2022-01-27: Highest IV Rank — 59.0%
2022-01-26: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.46	$28.64	$32.93	$28.64	$32.91
Max Pain	$29.07	$27.11	$31.00	$27.11	$31.00
ATM IV	31.2%	25.3%	37.1%	25.3%	32.8%
Expected Move	9.1%	7.1%	11.1%	7.1%	9.9%
HV 20d	27.8%	23.2%	29.4%	26.0%	29.2%
HV 60d	27.5%	25.8%	28.8%	25.8%	28.6%
IV Rank	31.5%	2.6%	59.0%	2.6%	46.7%
IV Percentile	51.1%	0.8%	86.9%	0.8%	73.4%
Term Structure	-0.2%	-1.0%	0.8%	0.4%	-0.2%
VWIV	33.0%	25.7%	41.2%	26.6%	36.3%
Skew 25d	3.3%	1.6%	6.1%	3.1%	4.3%
Skew 10d	6.0%	2.4%	11.1%	6.0%	8.2%
Call IV 25d	30.3%	24.6%	34.7%	24.6%	31.6%
Put IV 25d	33.6%	27.6%	40.5%	27.7%	35.9%
Bid-Ask Spread %	3.92	2.10	6.79	2.51	2.67
Gamma HHI	0.08	0.05	0.14	0.06	0.08
Net GEX	91.7M	-4.8M	154.7M	63.0M	43.0M
Net DEX	-3.30B	-4.98B	-1.28B	-1.67B	-2.33B
Net VEX	-13.9M	-17.1M	-12.2M	-13.3M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.36	3.18	0.74	1.32
Total Volume	486,365.3	210,462	854,080	210,462	287,054
Total OI	4,901,540	3,604,140	5,869,896	4,802,976	4,218,410

Daily Data (20 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
2022-01-03	$28.64	$27.11	25.3%	7.1%	26.0%	2.6%	26.6%	3.1%	0.4%	63.0M	-1.67B	-13.3M	0.74	2.51	120,894	89,568	2,181,044	2,621,932
2022-01-04	$29.66	$27.11	25.6%	7.2%	27.9%	4.1%	25.7%	2.5%	0.1%	105.7M	-2.78B	-12.5M	0.54	3.14	311,644	166,898	2,206,226	2,646,700
2022-01-05	$29.59	$27.25	27.4%	7.6%	27.1%	12.7%	27.6%	1.8%	0.8%	104.5M	-2.66B	-13.4M	0.49	2.83	293,308	144,548	2,277,964	2,713,258
2022-01-06	$30.31	$28.00	27.5%	7.8%	28.2%	13.1%	29.1%	2.4%	-0.1%	119.9M	-3.36B	-12.7M	0.78	3.25	168,084	130,906	2,285,020	2,765,702
2022-01-07	$30.68	$28.00	28.1%	8.2%	28.2%	16.1%	28.6%	1.9%	-0.1%	121.5M	-3.78B	-12.7M	0.58	3.09	258,358	149,574	2,322,922	2,804,524
2022-01-10	$30.41	$28.00	28.5%	8.3%	28.5%	18.2%	29.7%	3.0%	0.3%	126.9M	-3.38B	-13.1M	0.94	6.51	121,026	114,288	2,340,216	2,759,062
2022-01-11	$31.59	$28.50	28.8%	8.4%	29.2%	19.5%	29.3%	1.7%	0.4%	149.7M	-4.51B	-12.2M	0.36	3.49	480,220	174,908	2,367,686	2,781,978
2022-01-12	$31.68	$29.00	28.6%	8.2%	28.7%	18.4%	29.3%	1.6%	-0.1%	154.7M	-4.53B	-12.2M	0.48	5.15	328,730	157,892	2,390,622	2,809,724
2022-01-13	$31.51	$29.00	30.4%	8.8%	28.8%	27.0%	32.5%	2.8%	-0.1%	137.9M	-4.33B	-13.2M	3.18	6.79	129,306	410,920	2,485,432	2,876,710
2022-01-14	$32.26	$29.00	29.2%	8.3%	29.4%	21.4%	30.6%	2.0%	-0.1%	142.7M	-4.98B	-13.0M	0.79	4.45	275,258	217,366	2,499,882	3,080,584
2022-01-18	$32.27	$29.00	31.5%	9.0%	28.0%	32.3%	32.8%	2.8%	-0.8%	140.8M	-4.84B	-12.9M	1.55	5.33	221,374	343,882	2,525,690	3,056,544
2022-01-19	$32.27	$29.00	31.4%	9.0%	23.7%	31.6%	32.1%	2.5%	-0.8%	134.7M	-4.71B	-14.1M	1.41	2.10	182,636	257,862	2,555,854	3,216,824
2022-01-20	$32.04	$30.00	32.0%	9.2%	23.2%	34.6%	33.8%	2.8%	-1.0%	123.6M	-4.16B	-14.4M	1.54	2.37	210,302	324,520	2,486,772	3,268,332
2022-01-21	$31.22	$30.00	34.6%	10.0%	26.1%	46.6%	35.2%	4.2%	-0.8%	-3.0M	-3.01B	-14.8M	1.33	4.02	265,416	352,914	2,498,668	3,371,228
2022-01-24	$31.32	$30.00	37.1%	11.1%	26.1%	58.9%	39.9%	6.1%	0.1%	-4.8M	-1.28B	-14.7M	2.03	5.43	143,936	292,712	1,596,078	2,008,062
2022-01-25	$32.72	$30.00	35.9%	10.7%	29.2%	53.1%	39.0%	4.8%	-0.4%	32.6M	-2.42B	-14.2M	0.43	2.88	598,480	255,600	1,617,292	2,006,718
2022-01-26	$32.58	$30.00	36.9%	11.1%	29.4%	57.4%	41.2%	5.8%	-0.6%	34.9M	-2.34B	-15.8M	0.62	4.68	372,316	230,820	1,869,458	2,078,964
2022-01-27	$32.93	$30.50	36.4%	10.9%	29.0%	59.0%	40.7%	5.9%	-0.7%	55.4M	-2.61B	-16.2M	1.79	4.49	209,700	375,704	1,979,004	2,141,638
2022-01-28	$32.59	$31.00	35.9%	10.8%	29.2%	56.9%	39.3%	4.9%	-0.3%	50.9M	-2.24B	-17.1M	2.34	3.22	167,394	390,988	2,016,184	2,301,892
2022-01-31	$32.91	$31.00	32.8%	9.9%	29.2%	46.7%	36.3%	4.3%	-0.2%	43.0M	-2.33B	-16.3M	1.32	2.67	123,852	163,202	1,957,322	2,261,088