XLE Options History — June 2022

In June 2022, XLE traded between $35.40 and $46.23. ATM implied volatility averaged 39.7%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 1.3% (HV 20d: 41.0%). Max pain ranged from $38.50 to $42.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2022-06-17: Highest Volume — 2,310,318 contracts
  • 2022-06-13: Largest IV spike — 19.7% change
  • 2022-06-23: Highest IV Rank — 100.0%
  • 2022-06-23: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.73$35.40$46.23$44.48$35.70
Max Pain$40.82$38.50$42.50$38.50$39.00
ATM IV39.7%32.0%46.9%33.5%46.5%
Expected Move11.5%9.4%13.9%9.8%13.2%
HV 20d41.0%27.4%49.8%45.2%48.4%
HV 60d39.2%35.4%43.7%37.6%43.7%
IV Rank69.4%34.4%100.0%41.5%98.3%
IV Percentile86.8%59.9%100.0%72.2%99.6%
Term Structure-0.3%-1.8%1.0%-0.3%-0.1%
VWIV41.0%34.5%49.1%35.5%46.1%
Skew 25d6.5%4.9%8.5%5.8%7.9%
Skew 10d12.7%8.4%17.7%10.1%16.2%
Call IV 25d37.3%30.6%44.4%31.4%43.0%
Put IV 25d43.8%35.5%51.8%37.2%50.9%
Bid-Ask Spread %3.882.3311.103.453.69
Gamma HHI0.060.040.100.070.05
Net GEX-51.8M-181.2M65.3M25.1M-115.4M
Net DEX-535.7M-4.72B3.57B-3.67B2.88B
Net VEX-18.1M-23.6M-12.2M-13.6M-23.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.634.831.151.11
Total Volume709,328.571200,5282,310,318400,200538,244
Total OI5,736,545.3334,961,3466,718,6824,961,3466,444,526

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$44.48$38.5033.5%9.8%45.2%41.5%35.5%5.8%-0.3%25.1M-3.67B-13.6M1.153.45185,988214,2121,529,9263,431,420
2022-06-02$44.15$40.5034.0%9.7%43.5%43.8%35.5%5.5%-0.3%16.0M-3.52B-14.1M1.824.24106,396193,3821,581,2443,498,698
2022-06-03$44.74$41.0032.7%9.5%42.9%37.5%34.5%5.4%-0.6%47.7M-4.01B-13.4M1.623.51136,712222,0461,588,3503,554,458
2022-06-06$44.79$42.0033.5%9.5%42.1%41.1%34.9%5.6%-0.1%46.4M-3.94B-13.0M1.193.0691,396109,1321,553,1563,494,134
2022-06-07$46.09$42.5032.4%9.4%27.4%35.9%35.5%4.9%0.3%65.3M-4.70B-12.2M1.593.03176,882280,9561,569,1563,539,348
2022-06-08$46.23$42.5032.0%9.4%27.5%34.4%35.4%4.9%1.0%61.1M-4.72B-12.3M1.872.36164,630308,6541,595,4383,624,820
2022-06-09$45.37$42.5033.7%9.6%28.9%42.4%35.2%5.3%-0.2%36.6M-4.11B-13.3M1.962.92164,442322,5081,606,0143,713,708
2022-06-10$44.62$42.5035.1%10.0%29.8%49.0%35.7%5.3%-0.0%-519.5K-3.48B-14.7M1.444.95217,324312,8981,679,9923,875,086
2022-06-13$41.91$42.5042.1%12.0%36.1%81.4%43.6%6.8%-1.8%-48.5M-1.36B-16.4M4.836.31222,8701,075,5421,697,4143,814,032
2022-06-14$42.19$42.5040.3%11.5%35.0%73.2%42.3%6.3%-0.8%-79.5M-1.35B-17.8M2.594.88153,334397,5241,733,7064,445,706
2022-06-15$41.27$42.5039.0%11.2%35.7%67.1%39.6%5.4%-0.2%-113.7M-522.4M-18.1M2.0111.10148,968299,4061,766,7444,535,008
2022-06-16$38.87$42.0044.3%12.7%40.4%91.7%44.8%7.6%-1.3%-181.2M1.96B-19.2M2.025.13383,042773,3161,791,4364,612,196
2022-06-17$36.98$41.0046.0%13.3%43.5%99.8%47.3%7.1%-1.0%-178.3M3.57B-20.4M2.664.11630,5661,679,7521,920,8904,797,792
2022-06-21$38.38$40.0042.5%12.5%46.0%83.5%43.3%6.5%-0.7%-118.3M1.92B-22.4M1.092.61280,468306,7141,358,3164,368,896
2022-06-22$36.84$40.0044.4%13.1%46.3%92.2%45.2%8.1%-0.3%-126.8M2.75B-21.8M1.042.95426,966444,5281,420,8404,048,036
2022-06-23$35.40$40.0046.9%13.9%47.4%100.0%49.1%8.5%-0.5%-133.1M3.43B-21.9M2.142.65511,9281,094,1181,557,6704,139,638
2022-06-24$35.97$39.0044.1%12.7%47.4%87.1%45.5%6.7%0.2%-62.4M2.73B-22.6M0.902.94314,904284,0421,831,4604,305,188
2022-06-27$37.03$39.0043.1%12.3%48.6%82.9%43.1%7.2%-0.1%-87.2M1.77B-22.6M0.632.33341,738213,6241,750,9984,199,182
2022-06-28$37.78$38.7542.5%12.3%49.0%80.0%42.9%7.1%0.3%-49.8M964.5M-23.3M0.792.58292,910232,3981,937,5184,249,090
2022-06-29$36.48$39.0045.7%13.1%49.8%94.4%46.2%7.8%-0.0%-91.9M2.17B-23.2M1.282.70281,456359,9841,981,8484,324,374
2022-06-30$35.70$39.0046.5%13.2%48.4%98.3%46.1%7.9%-0.1%-115.4M2.88B-23.6M1.113.69255,224283,0202,036,0364,408,490