XLE Options History — April 2022

In April 2022, XLE traded between $36.90 and $40.45. ATM implied volatility averaged 34.0%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.1% (HV 20d: 28.9%). Max pain ranged from $35.50 to $38.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.02.

Notable Days

2022-04-26: Highest Volume — 796,802 contracts
2022-04-21: Largest IV spike — 10.0% change
2022-04-26: Highest IV Rank — 76.5%
2022-04-26: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.79	$36.90	$40.45	$38.48	$37.62
Max Pain	$37.40	$35.50	$38.00	$35.50	$38.00
ATM IV	34.0%	30.2%	41.0%	30.2%	39.7%
Expected Move	9.8%	8.8%	12.1%	8.9%	11.7%
HV 20d	28.9%	23.2%	34.3%	34.3%	31.8%
HV 60d	30.8%	29.9%	31.9%	30.8%	31.9%
IV Rank	43.7%	25.7%	76.5%	25.7%	70.3%
IV Percentile	76.6%	51.2%	97.6%	51.2%	96.4%
Term Structure	-0.2%	-1.0%	0.9%	0.9%	-1.0%
VWIV	34.9%	30.9%	43.8%	31.6%	43.0%
Skew 25d	3.9%	1.6%	6.6%	1.6%	6.5%
Skew 10d	7.7%	3.1%	13.6%	3.1%	13.0%
Call IV 25d	32.4%	29.6%	37.8%	29.6%	37.1%
Put IV 25d	36.3%	31.2%	44.4%	31.2%	43.6%
Bid-Ask Spread %	3.22	1.84	4.95	3.08	3.79
Gamma HHI	0.10	0.05	0.48	0.09	0.06
Net GEX	34.5M	-19.0M	154.2M	39.1M	-17.3M
Net DEX	-1.80B	-2.94B	-439.2M	-1.92B	-736.4M
Net VEX	-13.6M	-16.3M	-12.2M	-13.3M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.43	4.43	0.92	1.46
Total Volume	315,795.3	159,000	796,802	252,808	278,198
Total OI	3,953,448.3	3,444,326	4,254,956	4,134,550	4,148,316

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
2022-04-01	$38.48	$35.50	30.2%	8.9%	34.3%	25.7%	31.6%	1.6%	0.9%	39.1M	-1.92B	-13.3M	0.92	3.08	131,858	120,950	1,433,800	2,700,750
2022-04-04	$38.55	$36.50	30.6%	8.9%	34.0%	27.8%	31.7%	1.7%	0.2%	41.4M	-1.97B	-13.0M	0.70	2.96	132,048	91,974	1,403,780	2,556,932
2022-04-05	$38.02	$36.50	31.3%	8.9%	33.6%	31.0%	30.9%	2.4%	-0.2%	28.5M	-1.64B	-13.4M	1.06	3.20	159,734	169,302	1,435,482	2,577,264
2022-04-06	$38.16	$36.50	31.7%	9.1%	31.5%	32.6%	31.7%	3.1%	0.1%	20.5M	-1.70B	-13.8M	1.33	3.07	148,390	196,800	1,494,214	2,641,402
2022-04-07	$38.81	$37.00	30.9%	8.9%	30.4%	29.2%	31.6%	2.9%	0.5%	44.3M	-2.13B	-13.5M	0.80	4.36	133,866	107,290	1,492,922	2,720,018
2022-04-08	$39.82	$37.50	30.8%	8.9%	31.6%	28.8%	32.3%	2.8%	0.4%	79.3M	-2.91B	-12.4M	0.70	2.20	205,500	144,056	1,514,276	2,740,680
2022-04-11	$38.66	$37.50	32.7%	9.4%	30.8%	37.7%	32.7%	3.4%	0.1%	51.2M	-2.01B	-13.3M	0.81	2.70	138,180	111,528	1,502,360	2,624,336
2022-04-12	$39.21	$37.50	32.7%	9.4%	27.8%	37.5%	33.0%	3.3%	0.1%	70.9M	-2.36B	-12.9M	0.73	3.47	150,004	109,442	1,497,146	2,652,478
2022-04-13	$39.80	$37.50	30.8%	8.8%	27.9%	28.8%	31.7%	3.1%	-0.0%	106.5M	-2.78B	-12.3M	0.80	2.73	118,896	94,846	1,513,838	2,669,552
2022-04-14	$40.04	$37.50	31.3%	9.0%	25.3%	30.7%	31.8%	3.2%	0.1%	154.2M	-2.94B	-12.4M	0.61	1.84	219,882	134,578	1,521,728	2,675,712
2022-04-18	$40.45	$37.50	32.5%	9.3%	25.2%	36.7%	34.4%	3.6%	-0.1%	36.5M	-2.37B	-12.2M	0.69	3.04	247,182	169,840	1,198,006	2,246,320
2022-04-19	$40.26	$37.50	32.4%	9.3%	23.5%	36.0%	32.7%	3.3%	-0.4%	33.7M	-2.31B	-12.7M	0.93	1.97	109,490	101,726	1,253,952	2,335,456
2022-04-20	$40.40	$37.50	32.0%	9.2%	23.2%	34.1%	32.3%	3.3%	-0.3%	35.5M	-2.38B	-12.4M	0.77	2.58	101,236	78,194	1,266,112	2,351,346
2022-04-21	$39.06	$38.00	35.2%	10.1%	26.0%	49.2%	35.2%	3.8%	-0.4%	12.8M	-1.62B	-13.3M	0.88	2.75	179,098	157,924	1,286,622	2,352,652
2022-04-22	$38.37	$38.00	37.2%	10.8%	26.8%	58.8%	37.1%	4.6%	-0.9%	-6.6M	-1.18B	-13.6M	0.84	3.53	199,996	168,180	1,297,012	2,387,202
2022-04-25	$36.90	$38.00	39.0%	11.5%	28.9%	67.0%	40.1%	5.9%	-1.0%	-19.0M	-439.2M	-14.3M	0.86	4.73	243,498	209,780	1,289,342	2,366,306
2022-04-26	$36.97	$38.00	41.0%	12.1%	27.6%	76.5%	43.8%	6.6%	-0.8%	-15.3M	-516.6M	-14.9M	4.43	4.95	146,624	650,178	1,340,104	2,417,630
2022-04-27	$37.53	$38.00	40.3%	11.8%	28.3%	73.4%	42.2%	6.4%	-0.9%	-15.0M	-673.1M	-16.3M	0.56	4.49	101,982	57,018	1,376,090	2,675,192
2022-04-28	$38.70	$38.00	38.1%	11.0%	30.2%	62.8%	38.5%	5.9%	-0.9%	8.7M	-1.45B	-15.8M	0.43	3.04	207,196	89,442	1,419,806	2,692,830
2022-04-29	$37.62	$38.00	39.7%	11.7%	31.8%	70.3%	43.0%	6.5%	-1.0%	-17.3M	-736.4M	-16.3M	1.46	3.79	113,054	165,144	1,439,090	2,709,226