XLE Options History — March 2022

In March 2022, XLE traded between $35.48 and $39.28. ATM implied volatility averaged 37.1%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 3.3% (HV 20d: 33.7%). Max pain ranged from $32.50 to $35.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.13.

Notable Days

2022-03-18: Highest Volume — 954,768 contracts
2022-03-07: Largest IV spike — 13.5% change
2022-03-04: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.64	$35.48	$39.28	$35.48	$38.33
Max Pain	$33.72	$32.50	$35.50	$32.50	$35.50
ATM IV	37.1%	31.0%	46.0%	39.4%	31.1%
Expected Move	10.9%	9.0%	15.0%	12.0%	9.1%
HV 20d	33.7%	28.7%	37.3%	29.1%	35.9%
HV 60d	30.1%	27.8%	31.7%	27.8%	30.9%
IV Rank	61.1%	29.4%	100.0%	85.7%	29.8%
IV Percentile	86.7%	61.1%	100.0%	98.8%	62.3%
Term Structure	-0.5%	-1.7%	0.8%	-0.1%	0.8%
VWIV	38.9%	31.6%	53.2%	42.3%	31.8%
Skew 25d	1.5%	0.5%	4.7%	4.7%	1.1%
Skew 10d	2.0%	-1.1%	6.5%	6.5%	2.9%
Call IV 25d	37.1%	30.9%	46.2%	37.5%	31.0%
Put IV 25d	38.6%	31.7%	47.3%	42.2%	32.1%
Bid-Ask Spread %	3.98	1.94	8.33	3.92	3.43
Gamma HHI	0.08	0.06	0.14	0.07	0.09
Net GEX	33.5M	20.2K	67.0M	38.1M	13.1M
Net DEX	-3.08B	-4.76B	-1.77B	-2.89B	-1.88B
Net VEX	-13.2M	-14.3M	-12.1M	-14.2M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.19	3.06	1.39	0.72
Total Volume	485,680.348	229,934	954,768	503,772	280,862
Total OI	4,648,330.174	3,644,090	5,648,346	4,352,958	4,238,658

Daily Data (23 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
2022-03-01	$35.48	$32.50	39.4%	12.0%	29.1%	85.7%	42.3%	4.7%	-0.1%	38.1M	-2.89B	-14.2M	1.39	3.92	211,082	292,690	1,713,574	2,639,384
2022-03-02	$36.62	$32.50	36.5%	10.9%	28.7%	69.1%	39.5%	4.0%	-0.6%	60.9M	-3.73B	-13.2M	1.08	1.94	181,662	196,408	1,761,988	2,775,936
2022-03-03	$36.38	$32.50	37.4%	11.2%	28.9%	74.3%	40.9%	4.3%	-0.7%	49.3M	-3.48B	-13.8M	1.46	2.68	123,638	180,672	1,780,240	2,841,308
2022-03-04	$37.53	$32.50	40.6%	12.2%	30.0%	100.0%	43.6%	3.5%	-1.2%	67.0M	-4.21B	-13.2M	1.01	2.79	245,710	247,600	1,792,388	2,911,186
2022-03-07	$38.07	$32.50	46.0%	14.5%	29.5%	100.0%	51.4%	1.4%	-1.7%	44.0M	-4.31B	-13.4M	0.87	3.69	297,182	257,182	1,792,404	2,870,300
2022-03-08	$38.78	$33.50	45.7%	15.0%	29.9%	98.6%	53.2%	0.8%	-0.9%	45.0M	-4.76B	-12.7M	0.87	3.08	443,840	386,454	1,869,280	3,013,624
2022-03-09	$37.53	$33.50	43.6%	14.7%	31.0%	88.7%	52.4%	1.5%	-1.4%	29.9M	-3.81B	-14.1M	3.00	3.40	211,236	632,786	1,963,436	3,153,158
2022-03-10	$38.63	$34.50	41.3%	13.0%	32.2%	77.8%	46.2%	0.5%	-0.9%	27.4M	-4.68B	-12.7M	0.97	2.61	208,822	201,948	2,000,856	3,535,292
2022-03-11	$38.41	$34.50	41.2%	12.6%	32.0%	77.3%	46.6%	0.6%	-0.9%	22.7M	-4.55B	-13.3M	3.06	2.20	144,758	442,340	2,061,844	3,586,502
2022-03-14	$37.09	$32.50	41.9%	11.2%	33.5%	80.9%	39.5%	2.0%	-0.6%	31.1M	-3.57B	-13.8M	1.87	8.33	158,114	296,324	1,999,890	3,244,410
2022-03-15	$35.83	$32.50	38.8%	10.6%	34.6%	66.2%	37.4%	2.0%	-0.8%	6.0M	-2.50B	-14.3M	1.47	7.10	206,690	304,496	2,024,010	3,281,052
2022-03-16	$35.69	$32.50	35.4%	9.8%	34.3%	50.4%	34.4%	1.6%	-0.9%	3.8M	-2.49B	-12.9M	1.79	7.11	104,062	186,718	2,041,292	3,327,276
2022-03-17	$37.03	$32.50	36.3%	9.9%	36.4%	54.4%	35.0%	0.8%	-0.8%	47.8M	-3.75B	-12.3M	0.56	6.14	243,548	135,584	2,044,462	3,357,594
2022-03-18	$36.95	$33.50	34.9%	9.7%	36.4%	47.8%	32.9%	0.7%	-0.5%	26.3M	-3.71B	-12.1M	0.19	3.41	804,400	150,368	2,095,282	3,406,402
2022-03-21	$38.09	$34.00	35.7%	9.9%	37.3%	51.6%	34.8%	0.6%	-0.3%	31.8M	-1.92B	-12.9M	0.31	4.12	427,264	134,466	1,277,452	2,366,638
2022-03-22	$37.86	$34.00	33.3%	9.4%	36.8%	40.5%	32.9%	0.5%	-0.2%	39.7M	-1.86B	-12.8M	0.43	2.89	348,048	149,614	1,364,468	2,398,824
2022-03-23	$38.54	$35.00	33.6%	9.5%	37.0%	41.7%	35.0%	0.7%	-0.4%	51.4M	-2.24B	-12.9M	0.71	4.70	248,482	177,360	1,399,950	2,445,758
2022-03-24	$38.49	$35.00	33.7%	9.6%	36.5%	42.4%	34.9%	1.2%	-0.1%	49.4M	-2.14B	-13.2M	1.31	3.27	210,778	275,158	1,411,856	2,534,638
2022-03-25	$39.28	$35.00	32.4%	9.4%	35.8%	36.0%	34.0%	1.0%	0.3%	52.2M	-2.58B	-13.0M	0.82	3.61	308,318	252,426	1,424,866	2,732,494
2022-03-28	$38.27	$35.00	31.6%	9.1%	37.2%	32.5%	33.0%	0.6%	0.5%	5.7M	-1.81B	-13.3M	0.72	3.92	181,170	130,980	1,425,190	2,674,290
2022-03-29	$38.24	$35.00	31.0%	9.0%	37.1%	29.4%	31.6%	0.8%	0.5%	20.2K	-1.77B	-13.2M	0.79	3.77	178,794	140,680	1,427,792	2,708,428
2022-03-30	$38.66	$35.00	31.0%	9.0%	35.8%	29.6%	32.0%	0.8%	0.6%	28.5M	-2.16B	-12.9M	0.56	3.34	147,700	82,234	1,460,014	2,735,908
2022-03-31	$38.33	$35.50	31.1%	9.1%	35.9%	29.8%	31.8%	1.1%	0.8%	13.1M	-1.88B	-13.4M	0.72	3.43	162,976	117,886	1,470,448	2,768,210