XLE Options History — July 2022

In July 2022, XLE traded between $33.74 and $39.26. ATM implied volatility averaged 42.0%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 2.6% (HV 20d: 44.6%). Max pain ranged from $37.00 to $39.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.16.

Notable Days

2022-07-06: Highest Volume — 865,540 contracts
2022-07-05: Largest IV spike — 12.6% change
2022-07-05: Highest IV Rank — 100.0%
2022-07-06: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.78	$33.74	$39.26	$36.41	$39.26
Max Pain	$37.44	$37.00	$39.50	$38.75	$37.00
ATM IV	42.0%	34.2%	48.9%	43.5%	34.2%
Expected Move	11.8%	9.5%	13.3%	11.6%	9.5%
HV 20d	44.6%	36.0%	50.6%	49.6%	37.7%
HV 60d	44.7%	43.9%	45.1%	43.9%	45.0%
IV Rank	71.7%	39.4%	100.0%	84.4%	39.4%
IV Percentile	88.1%	62.3%	100.0%	94.8%	62.3%
Term Structure	-0.4%	-1.6%	0.4%	0.3%	0.1%
VWIV	41.3%	34.1%	46.4%	39.9%	34.1%
Skew 25d	6.9%	4.1%	9.1%	8.0%	4.1%
Skew 10d	13.7%	7.9%	18.0%	16.3%	7.9%
Call IV 25d	38.9%	32.5%	45.0%	40.3%	32.5%
Put IV 25d	45.8%	36.6%	53.9%	48.3%	36.6%
Bid-Ask Spread %	2.37	1.83	3.11	2.36	2.19
Gamma HHI	0.06	0.05	0.07	0.05	0.06
Net GEX	-79.0M	-163.5M	43.4M	-101.2M	43.4M
Net DEX	1.51B	-1.87B	3.53B	2.08B	-1.87B
Net VEX	-22.5M	-23.9M	-20.2M	-23.5M	-20.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.80	1.61	0.81	0.80
Total Volume	411,270.3	266,522	865,540	429,602	400,304
Total OI	6,303,361.8	5,754,824	6,782,556	6,309,432	6,318,490

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
2022-07-01	$36.41	$38.75	43.5%	11.6%	49.6%	84.4%	39.9%	8.0%	0.3%	-101.2M	2.08B	-23.5M	0.81	2.36	238,008	191,594	1,941,198	4,368,234
2022-07-05	$34.78	$39.50	48.9%	13.2%	50.4%	100.0%	46.3%	8.7%	-1.3%	-132.5M	3.20B	-23.3M	1.24	2.74	274,150	339,980	1,870,672	4,340,086
2022-07-06	$34.45	$38.50	48.9%	13.3%	50.2%	99.7%	45.4%	9.1%	-1.6%	-143.1M	3.45B	-23.3M	1.15	2.62	401,862	463,678	1,910,290	4,439,486
2022-07-07	$35.56	$37.50	45.5%	12.7%	50.6%	85.8%	44.0%	7.4%	-0.8%	-112.0M	2.25B	-23.9M	0.84	3.03	191,906	161,862	2,068,068	4,465,860
2022-07-08	$35.61	$37.50	43.0%	12.1%	50.5%	75.4%	41.6%	6.7%	-0.8%	-114.9M	2.18B	-23.3M	1.30	2.31	169,878	220,344	2,102,586	4,470,786
2022-07-11	$35.07	$37.50	44.6%	12.5%	50.4%	82.2%	43.5%	7.5%	-0.5%	-126.9M	2.69B	-22.8M	1.14	2.55	165,932	189,462	2,045,910	4,445,250
2022-07-12	$34.34	$37.50	45.9%	12.8%	50.5%	87.3%	44.6%	7.8%	-1.0%	-143.1M	3.15B	-22.8M	1.45	2.34	178,248	257,852	2,088,756	4,454,716
2022-07-13	$34.50	$37.50	44.7%	12.6%	47.3%	82.5%	42.5%	7.4%	-0.9%	-142.3M	2.98B	-22.5M	1.21	2.60	138,510	167,336	2,168,826	4,491,514
2022-07-14	$33.74	$37.50	44.9%	12.7%	47.1%	83.3%	46.4%	7.2%	-0.7%	-163.5M	3.53B	-22.2M	1.61	1.93	220,484	355,810	2,196,322	4,529,656
2022-07-15	$34.33	$37.00	42.0%	11.9%	47.9%	71.6%	41.7%	6.3%	-1.1%	-91.2M	2.85B	-22.0M	0.88	1.83	246,294	215,812	2,245,862	4,536,694
2022-07-18	$34.96	$37.00	41.9%	12.0%	44.9%	71.0%	40.6%	7.0%	-0.2%	-76.5M	1.44B	-22.0M	1.24	2.40	194,954	242,524	1,772,648	3,982,176
2022-07-19	$36.18	$37.00	40.0%	11.4%	43.8%	63.0%	41.5%	6.7%	-0.0%	-41.1M	534.1M	-21.7M	0.89	1.95	170,034	151,608	1,853,252	4,055,554
2022-07-20	$36.61	$37.00	39.7%	11.4%	41.7%	61.8%	40.9%	6.2%	0.2%	-31.1M	259.4M	-22.7M	1.31	2.82	153,898	201,020	1,900,360	4,077,258
2022-07-21	$35.71	$37.00	40.1%	11.5%	40.1%	63.6%	39.7%	6.9%	-0.2%	-61.0M	980.7M	-22.9M	1.00	2.05	154,864	154,352	1,938,948	4,152,194
2022-07-22	$35.53	$37.00	39.3%	11.2%	37.5%	60.2%	39.3%	6.5%	0.4%	-71.0M	1.04B	-22.8M	1.43	2.05	126,668	181,198	1,984,250	4,200,244
2022-07-25	$36.80	$37.00	38.6%	11.0%	39.1%	57.2%	39.0%	5.8%	-0.5%	-25.2M	99.4M	-22.4M	1.22	2.32	175,806	214,106	1,904,298	4,143,198
2022-07-26	$36.54	$37.00	39.8%	11.3%	37.8%	62.5%	39.4%	6.6%	-0.3%	-36.1M	343.8M	-22.7M	1.29	1.86	162,768	209,338	1,943,826	4,186,032
2022-07-27	$37.51	$37.00	38.1%	10.8%	38.3%	55.5%	37.7%	6.0%	0.1%	-8.9M	-404.0M	-22.5M	0.99	3.11	138,580	137,860	1,953,290	4,266,420
2022-07-28	$37.63	$37.00	36.5%	10.3%	36.0%	48.7%	37.9%	5.7%	0.1%	-2.0M	-523.2M	-21.3M	1.40	2.39	111,146	155,376	1,951,548	4,302,478
2022-07-29	$39.26	$37.00	34.2%	9.5%	37.7%	39.4%	34.1%	4.1%	0.1%	43.4M	-1.87B	-20.2M	0.80	2.19	221,800	178,504	1,985,858	4,332,632