XLE Options History — September 2022

In September 2022, XLE traded between $34.51 and $41.16. ATM implied volatility averaged 40.3%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 4.9% (HV 20d: 35.4%). Max pain ranged from $38.00 to $39.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2022-09-23: Highest Volume — 1,330,756 contracts
  • 2022-09-23: Largest IV spike — 18.1% change
  • 2022-09-26: Highest IV Rank — 96.4%
  • 2022-09-26: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.40$34.51$41.16$39.06$36.12
Max Pain$38.71$38.00$39.50$38.00$38.50
ATM IV40.3%35.1%48.0%41.9%43.6%
Expected Move11.6%10.0%13.9%12.1%12.7%
HV 20d35.4%31.2%43.3%31.5%41.9%
HV 60d38.3%34.9%41.9%41.7%37.0%
IV Rank64.5%42.9%96.4%71.1%77.9%
IV Percentile80.8%56.0%99.2%88.5%90.5%
Term Structure-0.1%-0.7%0.8%-0.5%0.3%
VWIV41.5%36.3%47.4%44.6%44.5%
Skew 25d6.5%5.0%8.6%6.3%7.6%
Skew 10d12.5%9.2%17.3%11.4%15.1%
Call IV 25d37.6%33.3%44.0%39.6%40.0%
Put IV 25d44.1%38.3%52.6%45.8%47.6%
Bid-Ask Spread %4.502.1521.092.432.97
Gamma HHI0.060.050.110.050.06
Net GEX-37.6M-131.5M50.8M-44.4M-52.1M
Net DEX144.4M-2.27B3.12B-88.8M1.65B
Net VEX-24.4M-29.9M-21.4M-22.3M-29.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.773.460.971.45
Total Volume438,532245,8281,330,756355,900420,040
Total OI6,533,541.5245,327,9107,377,2706,385,5127,097,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$39.06$38.0041.9%12.1%31.5%71.1%44.6%6.3%-0.5%-44.4M-88.8M-22.3M0.972.43180,860175,0401,726,8024,658,710
2022-09-02$39.87$38.0040.3%11.5%31.5%64.4%41.5%6.0%-0.2%-20.7M-727.6M-22.5M1.372.25110,804151,4361,805,6304,662,796
2022-09-06$39.74$39.0040.8%11.6%31.6%66.6%40.7%6.6%-0.3%-18.0M-651.6M-21.7M1.072.90151,028161,3581,767,0024,652,628
2022-09-07$39.23$39.0039.6%11.2%31.9%61.6%39.7%6.6%-0.5%-33.0M-279.0M-21.4M0.952.33226,056214,5001,826,9784,714,836
2022-09-08$39.20$39.0038.1%10.9%31.8%55.4%43.0%6.2%-0.4%-22.6M-418.1M-21.9M1.662.68152,466252,3961,941,7344,793,824
2022-09-09$40.35$39.0035.1%10.0%31.2%42.9%36.9%5.0%0.2%9.1M-1.49B-22.2M0.982.15139,268136,3602,033,7444,973,526
2022-09-12$40.98$39.0035.5%10.2%31.5%44.7%36.3%5.0%0.3%39.3M-2.08B-21.4M0.974.15127,002123,0922,011,7884,881,916
2022-09-13$39.91$39.0037.5%10.8%32.4%52.7%37.3%5.9%0.0%3.8M-1.16B-22.0M1.897.84170,498321,9862,050,2864,918,176
2022-09-14$41.16$39.0036.6%10.4%33.9%49.0%36.9%5.2%0.8%50.8M-2.27B-21.6M0.9221.09151,690139,7062,118,5284,985,126
2022-09-15$40.09$39.0037.4%10.7%35.5%52.4%39.7%6.5%0.0%-2.6M-1.23B-22.3M0.9511.30149,124142,0522,156,6985,050,768
2022-09-16$39.19$39.0038.6%11.1%35.2%57.3%39.1%5.6%0.2%-4.6M-439.0M-23.1M0.776.12334,132257,3282,255,5965,121,674
2022-09-19$38.77$39.5038.4%11.0%35.4%56.5%39.4%6.1%-0.2%-25.2M2.7M-23.9M1.922.9196,958186,5421,769,1503,558,760
2022-09-20$38.74$38.5039.5%11.3%35.3%60.9%41.2%6.6%-0.3%-29.8M16.1M-24.3M2.273.01129,902294,9441,820,8503,657,234
2022-09-21$38.19$38.5039.2%11.2%32.3%59.6%38.7%6.0%-0.2%-47.9M425.5M-25.0M1.042.67120,270125,5581,880,9143,877,710
2022-09-22$38.19$38.5038.7%11.1%31.9%57.9%40.5%6.3%-0.5%-45.4M311.1M-25.6M1.553.14138,026214,0101,954,6923,908,824
2022-09-23$35.37$38.5045.8%13.2%40.7%86.9%47.1%7.4%-0.4%-128.2M2.40B-26.3M3.462.67298,6361,032,1202,022,2804,009,510
2022-09-26$34.51$38.5048.0%13.9%41.1%96.4%46.8%8.6%-0.7%-127.7M3.12B-27.5M1.023.11278,272284,9662,040,2904,357,106
2022-09-27$34.84$38.5045.2%13.2%40.4%84.5%47.4%8.6%-0.1%-131.5M2.87B-28.6M3.173.48148,596471,0022,072,4844,435,024
2022-09-28$36.47$38.5043.0%12.5%43.3%75.5%43.7%7.6%0.3%-90.8M1.57B-29.6M1.392.29176,348244,4962,125,9844,673,050
2022-09-29$36.34$38.5044.1%12.8%43.3%80.0%46.7%7.7%0.2%-68.5M1.50B-29.7M2.613.12160,728419,5762,200,7624,633,416
2022-09-30$36.12$38.5043.6%12.7%41.9%77.9%44.5%7.6%0.3%-52.1M1.65B-29.9M1.452.97171,666248,3742,249,0524,848,514