XLE Options History — February 2022

In February 2022, XLE traded between $33.35 and $35.18. ATM implied volatility averaged 34.1%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.7% (HV 20d: 29.4%). Max pain ranged from $30.50 to $32.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.52.

Notable Days

2022-02-11: Highest Volume — 699,268 contracts
2022-02-17: Largest IV spike — 10.6% change
2022-02-23: Highest IV Rank — 79.8%
2022-02-23: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.23	$33.35	$35.18	$34.08	$35.13
Max Pain	$31.87	$30.50	$32.50	$31.00	$32.50
ATM IV	34.1%	30.3%	38.5%	31.1%	35.8%
Expected Move	9.9%	8.8%	11.0%	9.3%	10.7%
HV 20d	29.4%	26.6%	31.5%	30.0%	29.1%
HV 60d	29.1%	27.4%	30.5%	29.4%	27.9%
IV Rank	54.3%	32.4%	79.8%	37.1%	64.6%
IV Percentile	78.4%	53.2%	95.6%	61.1%	86.9%
Term Structure	-0.2%	-2.5%	0.6%	-0.2%	0.1%
VWIV	35.9%	32.0%	39.8%	34.0%	39.1%
Skew 25d	4.3%	3.2%	5.1%	3.2%	4.2%
Skew 10d	7.1%	5.3%	9.7%	5.5%	6.3%
Call IV 25d	32.6%	29.2%	36.7%	30.2%	33.9%
Put IV 25d	36.9%	32.6%	40.9%	33.4%	38.1%
Bid-Ask Spread %	4.73	2.21	8.31	3.06	2.82
Gamma HHI	0.09	0.06	0.10	0.09	0.07
Net GEX	59.6M	-2.0M	108.4M	88.6M	38.2M
Net DEX	-2.78B	-3.75B	-1.41B	-3.34B	-2.70B
Net VEX	-15.3M	-16.1M	-13.5M	-15.6M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.57	4.04	0.94	1.56
Total Volume	420,689.474	307,512	699,268	490,524	360,336
Total OI	4,543,240	4,238,558	5,032,034	4,318,086	4,265,970

Daily Data (19 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
2022-02-01	$34.08	$31.00	31.1%	9.3%	30.0%	37.1%	34.0%	3.2%	-0.2%	88.6M	-3.34B	-15.6M	0.94	3.06	252,744	237,780	1,997,302	2,320,784
2022-02-02	$34.27	$31.50	30.3%	8.8%	28.3%	32.4%	32.0%	3.2%	-0.2%	98.4M	-3.46B	-15.4M	2.04	2.35	122,094	248,626	2,025,286	2,392,164
2022-02-03	$33.89	$30.50	32.8%	9.4%	28.9%	46.7%	36.7%	4.5%	-0.2%	87.0M	-3.08B	-16.1M	1.83	7.62	108,618	198,894	2,052,864	2,352,810
2022-02-04	$34.63	$30.50	32.3%	9.3%	28.7%	43.8%	34.9%	3.8%	-0.5%	108.4M	-3.70B	-15.7M	0.83	5.62	361,866	301,646	2,066,408	2,424,452
2022-02-07	$34.96	$31.00	32.7%	9.5%	28.7%	46.2%	37.2%	4.0%	-0.1%	89.5M	-3.66B	-15.3M	1.67	5.68	122,970	205,658	1,983,632	2,408,546
2022-02-08	$34.09	$31.00	32.4%	9.4%	30.4%	44.7%	32.8%	4.3%	0.4%	75.7M	-2.96B	-15.5M	1.06	5.57	153,674	162,560	2,004,460	2,426,998
2022-02-09	$34.35	$31.00	30.7%	8.8%	27.9%	34.7%	33.4%	4.2%	-0.1%	90.5M	-3.25B	-14.8M	4.04	4.11	78,042	315,524	2,036,976	2,459,844
2022-02-10	$34.05	$31.50	32.5%	9.4%	28.2%	45.2%	36.6%	5.1%	0.4%	66.7M	-2.85B	-15.8M	3.65	6.00	92,152	336,300	2,048,046	2,632,582
2022-02-11	$35.18	$32.50	35.9%	10.3%	29.8%	64.9%	38.9%	4.7%	0.3%	86.5M	-3.75B	-16.0M	1.47	8.31	282,958	416,310	2,066,874	2,731,656
2022-02-14	$34.30	$32.50	36.7%	10.5%	30.9%	69.8%	36.7%	5.1%	0.4%	63.7M	-2.85B	-15.9M	0.71	7.84	325,698	230,710	2,017,662	2,710,072
2022-02-15	$33.90	$32.50	33.8%	9.7%	31.4%	52.7%	34.2%	5.1%	0.4%	40.3M	-2.39B	-15.0M	1.15	5.58	155,314	178,054	1,974,664	2,790,386
2022-02-16	$34.30	$32.50	32.0%	9.2%	31.5%	42.2%	32.4%	4.1%	0.2%	66.0M	-2.78B	-14.9M	1.13	3.56	153,936	174,264	2,009,488	2,838,928
2022-02-17	$34.28	$32.50	35.4%	10.1%	31.3%	61.8%	36.8%	4.7%	0.6%	54.8M	-2.66B	-15.3M	1.28	2.21	169,376	216,688	2,022,744	2,898,188
2022-02-18	$34.02	$32.50	36.0%	10.3%	29.7%	65.6%	36.6%	4.3%	-0.0%	20.1M	-2.42B	-15.7M	1.28	3.34	175,908	224,738	2,069,570	2,962,464
2022-02-22	$33.49	$32.50	37.1%	10.7%	30.5%	71.9%	37.4%	4.7%	-0.2%	8.4M	-1.55B	-15.6M	1.05	3.29	183,162	192,714	1,756,212	2,482,346
2022-02-23	$33.76	$32.50	38.5%	11.0%	26.6%	79.8%	39.8%	4.2%	-2.5%	17.0M	-1.78B	-15.7M	1.37	4.38	137,566	187,892	1,811,728	2,520,992
2022-02-24	$33.35	$32.50	37.5%	11.0%	27.0%	74.3%	39.0%	3.7%	-0.0%	-2.0M	-1.41B	-15.7M	0.57	5.48	335,820	190,754	1,860,438	2,580,062
2022-02-25	$34.36	$32.50	33.7%	9.8%	28.7%	52.3%	34.3%	3.9%	-2.1%	35.5M	-2.22B	-13.5M	1.22	3.10	180,996	220,758	1,719,866	2,598,096
2022-02-28	$35.13	$32.50	35.8%	10.7%	29.1%	64.6%	39.1%	4.2%	0.1%	38.2M	-2.70B	-13.6M	1.56	2.82	140,894	219,442	1,682,660	2,583,310