XLE Options History — May 2022

In May 2022, XLE traded between $37.97 and $44.25. ATM implied volatility averaged 38.5%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 6.1% (HV 20d: 44.6%). Max pain ranged from $35.00 to $38.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.69.

Notable Days

2022-05-09: Highest Volume — 577,986 contracts
2022-05-09: Largest IV spike — 21.8% change
2022-05-09: Highest IV Rank — 94.5%
2022-05-09: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.87	$37.97	$44.25	$38.06	$43.41
Max Pain	$36.57	$35.00	$38.50	$38.00	$38.50
ATM IV	38.5%	32.8%	44.9%	39.7%	36.0%
Expected Move	11.1%	9.4%	12.7%	11.9%	10.4%
HV 20d	44.6%	32.0%	50.8%	32.0%	45.4%
HV 60d	36.4%	31.8%	38.1%	31.8%	37.4%
IV Rank	64.7%	37.9%	94.5%	70.2%	53.1%
IV Percentile	90.0%	70.2%	99.2%	96.0%	81.3%
Term Structure	-0.1%	-1.3%	1.5%	-0.3%	-1.3%
VWIV	41.0%	34.9%	48.3%	43.9%	38.0%
Skew 25d	6.9%	5.3%	9.2%	6.6%	5.6%
Skew 10d	13.4%	10.1%	18.3%	13.7%	10.1%
Call IV 25d	35.4%	30.3%	40.7%	36.3%	33.2%
Put IV 25d	42.4%	36.4%	49.4%	42.9%	38.8%
Bid-Ask Spread %	3.40	2.07	5.03	5.03	4.66
Gamma HHI	0.06	0.04	0.08	0.06	0.06
Net GEX	12.3M	-63.1M	54.8M	-11.2M	16.7M
Net DEX	-2.29B	-3.83B	-401.2M	-966.8M	-3.09B
Net VEX	-15.5M	-18.0M	-13.7M	-15.7M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.87	2.72	1.37	2.01
Total Volume	427,251.048	228,404	577,986	228,404	491,256
Total OI	4,681,214.667	4,045,618	5,282,868	4,045,618	4,832,412

Daily Data (21 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
2022-05-02	$38.06	$38.00	39.7%	11.9%	32.0%	70.2%	43.9%	6.6%	-0.3%	-11.2M	-966.8M	-15.7M	1.37	5.03	96,530	131,874	1,365,786	2,679,832
2022-05-03	$39.16	$38.00	37.4%	11.1%	33.7%	59.4%	39.4%	6.3%	-0.3%	11.0M	-1.67B	-14.9M	2.36	3.62	120,304	283,880	1,377,346	2,709,514
2022-05-04	$40.80	$38.00	33.9%	9.9%	36.1%	43.1%	36.1%	5.3%	0.1%	39.8M	-2.73B	-14.4M	1.50	3.15	163,174	244,960	1,420,112	2,878,268
2022-05-05	$40.15	$35.00	38.0%	11.0%	36.7%	62.2%	38.4%	7.0%	-0.3%	22.7M	-2.22B	-14.9M	1.76	4.92	175,324	309,280	1,430,386	2,913,594
2022-05-06	$41.27	$35.00	36.8%	10.5%	37.5%	56.9%	38.8%	6.3%	0.3%	52.9M	-3.02B	-14.8M	2.10	3.85	172,080	361,124	1,482,366	2,897,586
2022-05-09	$37.97	$35.00	44.9%	12.7%	47.5%	94.5%	45.6%	8.7%	-0.5%	-37.8M	-401.2M	-17.6M	1.80	4.06	206,180	371,806	1,472,518	3,014,150
2022-05-10	$38.17	$35.00	43.7%	12.5%	46.4%	88.9%	48.3%	9.2%	0.0%	-46.7M	-449.8M	-17.7M	2.72	3.53	146,934	398,994	1,521,454	3,094,348
2022-05-11	$39.01	$35.00	42.3%	12.1%	46.8%	82.6%	47.8%	7.5%	0.1%	-43.8M	-1.03B	-17.7M	2.27	4.21	128,854	292,810	1,549,920	3,312,232
2022-05-12	$38.78	$35.00	43.8%	12.4%	46.5%	89.5%	48.0%	8.2%	-0.4%	-63.1M	-747.7M	-18.0M	2.32	3.85	125,108	289,946	1,567,296	3,346,618
2022-05-13	$40.42	$35.00	39.3%	11.3%	48.8%	68.2%	42.3%	7.4%	0.5%	-14.6M	-2.27B	-16.2M	1.26	2.37	189,696	239,228	1,585,738	3,424,750
2022-05-16	$41.51	$35.00	38.0%	10.9%	49.6%	62.2%	39.7%	6.6%	-0.1%	44.2M	-3.15B	-14.9M	1.02	2.50	210,178	214,726	1,570,212	3,369,732
2022-05-17	$41.88	$35.00	36.0%	10.4%	49.6%	53.1%	39.8%	6.4%	0.6%	54.8M	-3.40B	-14.6M	1.15	3.30	183,984	212,038	1,591,438	3,369,252
2022-05-18	$40.68	$36.00	40.3%	11.6%	50.8%	73.1%	42.3%	7.4%	-0.2%	19.4M	-2.50B	-15.7M	1.78	3.97	171,274	304,144	1,638,904	3,435,558
2022-05-19	$41.03	$37.50	39.0%	11.1%	49.3%	66.9%	42.2%	6.7%	0.3%	24.3M	-2.66B	-16.0M	1.53	3.40	179,534	274,536	1,650,560	3,548,470
2022-05-20	$40.76	$37.50	38.4%	10.9%	48.8%	64.0%	39.9%	7.1%	0.6%	4.7M	-2.50B	-16.1M	1.27	3.21	188,092	238,952	1,665,794	3,617,074
2022-05-23	$41.94	$37.50	37.8%	10.8%	46.9%	61.6%	39.9%	7.3%	-0.8%	20.9M	-2.38B	-15.2M	0.87	2.13	182,960	159,588	1,413,760	3,015,782
2022-05-24	$42.28	$37.50	38.1%	10.7%	46.9%	62.7%	39.7%	7.2%	-0.8%	22.9M	-2.53B	-15.3M	1.79	3.06	116,340	208,194	1,414,592	3,043,092
2022-05-25	$43.01	$37.50	37.0%	10.4%	47.0%	57.9%	38.5%	6.6%	0.3%	42.4M	-3.01B	-14.6M	1.33	2.25	167,478	223,228	1,447,466	3,096,754
2022-05-26	$43.65	$38.50	35.3%	9.9%	46.2%	49.6%	36.4%	6.2%	1.5%	50.2M	-3.49B	-13.8M	1.54	2.26	128,022	196,852	1,510,688	3,201,490
2022-05-27	$44.25	$38.50	32.8%	9.4%	44.4%	37.9%	34.9%	6.0%	-1.3%	48.3M	-3.83B	-13.7M	1.68	2.07	176,478	296,332	1,535,246	3,293,418
2022-05-31	$43.41	$38.50	36.0%	10.4%	45.4%	53.1%	38.0%	5.6%	-1.3%	16.7M	-3.09B	-14.0M	2.01	4.66	163,128	328,128	1,496,368	3,336,044