XLE Options History — August 2022

In August 2022, XLE traded between $35.87 and $42.28. ATM implied volatility averaged 35.7%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.2% (HV 20d: 35.4%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.51.

Notable Days

2022-08-11: Highest Volume — 712,894 contracts
2022-08-22: Largest IV spike — 8.4% change
2022-08-30: Highest IV Rank — 63.2%
2022-08-31: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.16	$35.87	$42.28	$38.40	$40.41
Max Pain	$37.54	$37.00	$38.00	$37.00	$38.00
ATM IV	35.7%	31.9%	40.0%	36.0%	39.9%
Expected Move	10.1%	9.3%	11.4%	10.3%	11.4%
HV 20d	35.4%	30.8%	38.4%	38.4%	32.8%
HV 60d	41.6%	40.6%	44.4%	44.4%	41.6%
IV Rank	45.3%	29.6%	63.2%	46.8%	62.8%
IV Percentile	65.6%	41.7%	84.9%	69.8%	84.1%
Term Structure	0.2%	-1.1%	1.5%	-0.3%	-0.2%
VWIV	37.0%	33.4%	40.3%	37.9%	40.1%
Skew 25d	5.3%	3.9%	6.9%	5.4%	6.0%
Skew 10d	10.0%	7.0%	11.8%	10.7%	10.6%
Call IV 25d	33.3%	30.2%	37.5%	34.1%	37.5%
Put IV 25d	38.7%	34.1%	43.5%	39.5%	43.5%
Bid-Ask Spread %	3.51	1.60	26.13	3.33	3.19
Gamma HHI	0.06	0.04	0.14	0.06	0.05
Net GEX	5.3M	-82.8M	89.2M	14.5M	-10.0M
Net DEX	-1.03B	-2.34B	1.19B	-1.02B	-1.07B
Net VEX	-20.3M	-22.2M	-18.8M	-20.4M	-22.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.45	3.70	1.50	1.25
Total Volume	317,452.957	176,912	712,894	256,584	303,072
Total OI	6,324,297.565	5,792,062	7,066,964	6,160,282	6,313,126

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
2022-08-01	$38.40	$37.00	36.0%	10.3%	38.4%	46.8%	37.9%	5.4%	-0.3%	14.5M	-1.02B	-20.4M	1.50	3.33	102,716	153,868	1,940,506	4,219,776
2022-08-02	$38.48	$37.00	36.9%	10.6%	33.9%	50.1%	37.9%	5.5%	-0.2%	10.3M	-976.8M	-20.8M	1.48	2.44	99,632	147,684	1,934,066	4,253,162
2022-08-03	$37.41	$37.00	36.4%	10.4%	35.6%	48.4%	38.2%	5.8%	-0.4%	-21.7M	-162.2M	-20.5M	1.28	2.88	150,306	192,282	1,943,858	4,279,528
2022-08-04	$35.87	$37.50	38.0%	10.8%	37.5%	54.7%	37.4%	6.1%	-0.4%	-82.8M	1.19B	-20.8M	1.71	1.90	126,758	216,430	1,935,544	4,351,712
2022-08-05	$36.59	$37.50	35.5%	10.2%	38.2%	44.6%	37.2%	5.1%	-0.6%	-80.9M	590.2M	-20.5M	1.84	2.01	92,530	170,146	1,962,076	4,399,698
2022-08-08	$36.80	$37.50	35.6%	10.3%	37.7%	45.1%	36.5%	5.7%	0.2%	-51.7M	331.4M	-19.7M	1.77	2.68	63,780	113,132	1,916,176	4,312,760
2022-08-09	$37.31	$37.50	34.8%	10.0%	36.8%	41.7%	36.4%	5.3%	0.5%	-29.3M	-91.3M	-19.5M	1.72	1.60	65,702	113,320	1,934,104	4,344,422
2022-08-10	$37.62	$37.50	33.2%	9.7%	36.9%	35.0%	35.9%	5.0%	0.4%	-18.6M	-360.2M	-18.9M	1.12	1.82	110,202	122,930	1,944,658	4,396,518
2022-08-11	$38.92	$37.50	32.9%	9.5%	36.9%	33.8%	40.1%	4.2%	0.4%	44.2M	-1.45B	-18.9M	2.23	2.69	220,460	492,434	1,990,994	4,443,352
2022-08-12	$39.17	$37.50	31.9%	9.3%	36.7%	29.6%	38.7%	3.9%	0.7%	42.4M	-1.58B	-18.8M	3.70	1.81	100,548	371,666	1,986,542	4,559,316
2022-08-15	$38.47	$37.50	33.7%	9.7%	37.4%	37.1%	34.1%	4.8%	1.0%	5.1M	-806.3M	-19.5M	1.76	3.02	77,810	136,740	1,920,564	4,588,536
2022-08-16	$38.46	$37.50	33.7%	9.7%	35.8%	37.0%	36.9%	4.7%	1.2%	-2.6M	-793.0M	-19.6M	1.32	3.01	123,434	162,594	1,941,638	4,631,942
2022-08-17	$38.66	$37.50	34.1%	9.8%	35.6%	39.0%	33.6%	5.1%	0.8%	12.4M	-957.0M	-19.7M	0.63	26.13	165,740	105,020	1,965,042	4,662,528
2022-08-18	$39.72	$37.50	33.1%	9.4%	35.1%	34.5%	34.6%	4.1%	1.1%	89.2M	-1.94B	-19.4M	1.75	1.65	232,742	406,126	2,017,308	4,695,484
2022-08-19	$39.74	$37.50	34.4%	9.7%	34.9%	40.1%	33.4%	4.3%	1.5%	64.6M	-1.72B	-20.7M	0.53	1.82	178,982	94,614	2,027,870	5,039,094
2022-08-22	$39.59	$37.50	37.3%	10.3%	33.3%	52.0%	37.0%	5.9%	-0.7%	-7.8M	-912.9M	-20.7M	0.45	2.03	136,874	61,736	1,508,364	4,283,698
2022-08-23	$41.16	$37.50	36.4%	10.1%	35.2%	48.4%	36.0%	5.6%	1.2%	36.4M	-1.98B	-19.8M	0.87	1.73	212,856	186,012	1,563,240	4,308,190
2022-08-24	$41.56	$37.50	36.8%	10.2%	34.5%	49.8%	36.1%	5.8%	-1.1%	38.6M	-2.14B	-20.5M	1.23	1.88	160,070	196,194	1,604,068	4,399,884
2022-08-25	$41.84	$38.00	35.7%	9.8%	34.5%	45.2%	37.7%	5.7%	-0.5%	26.5M	-2.34B	-20.4M	3.29	2.66	69,952	229,894	1,644,576	4,535,790
2022-08-26	$41.51	$38.00	37.3%	10.3%	31.8%	51.9%	37.1%	6.2%	0.1%	20.6M	-2.02B	-21.3M	1.65	1.91	117,590	194,124	1,658,792	4,673,146
2022-08-29	$42.28	$38.00	37.2%	10.3%	30.8%	51.5%	37.3%	5.8%	0.1%	29.9M	-2.31B	-20.9M	0.85	2.18	106,426	90,188	1,622,042	4,569,032
2022-08-30	$40.63	$38.00	40.0%	11.3%	34.7%	63.2%	40.3%	6.9%	-0.6%	-6.3M	-1.19B	-22.1M	0.85	6.40	176,320	149,782	1,634,096	4,602,026
2022-08-31	$40.41	$38.00	39.9%	11.4%	32.8%	62.8%	40.1%	6.0%	-0.2%	-10.0M	-1.07B	-22.2M	1.25	3.19	134,548	168,524	1,691,100	4,622,026