XLE Options History — October 2022

In October 2022, XLE traded between $38.13 and $45.21. ATM implied volatility averaged 40.4%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 3.3% (HV 20d: 43.7%). Max pain ranged from $38.50 to $40.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.52.

Notable Days

2022-10-13: Highest Volume — 918,072 contracts
2022-10-14: Largest IV spike — 6.1% change
2022-10-14: Highest IV Rank — 81.0%
2022-10-14: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.81	$38.13	$45.21	$38.13	$45.21
Max Pain	$38.86	$38.50	$40.50	$38.50	$40.50
ATM IV	40.4%	35.1%	44.3%	41.8%	35.1%
Expected Move	11.6%	10.4%	12.6%	12.0%	10.6%
HV 20d	43.7%	29.9%	49.0%	46.1%	29.9%
HV 60d	38.8%	36.6%	39.7%	38.6%	36.6%
IV Rank	64.7%	42.9%	81.0%	70.7%	43.0%
IV Percentile	75.6%	42.5%	92.9%	85.3%	42.9%
Term Structure	-0.4%	-1.7%	0.8%	-0.2%	0.0%
VWIV	41.8%	37.0%	46.1%	44.1%	39.1%
Skew 25d	5.9%	4.4%	7.3%	6.8%	4.4%
Skew 10d	11.5%	8.1%	14.0%	13.9%	8.1%
Call IV 25d	37.7%	32.9%	41.7%	38.9%	33.2%
Put IV 25d	43.6%	37.3%	48.2%	45.7%	37.6%
Bid-Ask Spread %	2.82	2.04	3.61	2.57	2.96
Gamma HHI	0.07	0.05	0.14	0.06	0.07
Net GEX	68.5M	-14.2M	169.6M	-14.2M	98.4M
Net DEX	-2.95B	-5.40B	-136.9M	-136.9M	-4.59B
Net VEX	-30.2M	-32.3M	-27.2M	-29.9M	-27.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.69	3.24	1.45	2.36
Total Volume	486,900.667	273,460	918,072	584,560	364,682
Total OI	7,394,649.048	6,617,670	8,256,882	6,821,144	6,880,806

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
2022-10-03	$38.13	$38.50	41.8%	12.0%	46.1%	70.7%	44.1%	6.8%	-0.2%	-14.2M	-136.9M	-29.9M	1.45	2.57	238,964	345,596	2,121,136	4,700,008
2022-10-04	$39.58	$38.50	41.4%	11.7%	48.1%	68.8%	41.1%	6.9%	-0.5%	22.1M	-1.43B	-29.9M	1.66	2.59	234,706	390,050	2,175,372	4,686,190
2022-10-05	$40.68	$38.50	40.8%	11.7%	48.9%	66.3%	42.0%	6.3%	0.6%	39.6M	-2.29B	-30.6M	1.29	2.04	227,440	294,100	2,236,116	4,886,014
2022-10-06	$41.25	$38.50	41.1%	11.8%	49.0%	67.7%	44.7%	6.9%	-0.1%	55.3M	-2.84B	-30.7M	1.28	2.24	289,004	370,464	2,309,394	5,021,564
2022-10-07	$40.86	$38.50	42.2%	12.0%	48.2%	72.1%	42.6%	6.3%	0.0%	46.7M	-2.58B	-31.7M	1.06	2.74	205,694	217,358	2,422,172	5,233,782
2022-10-10	$40.12	$38.50	43.7%	12.4%	48.3%	78.4%	42.9%	7.3%	-0.3%	18.8M	-1.45B	-31.3M	1.02	2.69	250,498	255,234	2,324,162	5,113,870
2022-10-11	$39.77	$38.50	44.2%	12.4%	47.5%	80.5%	46.1%	7.3%	-1.1%	11.3M	-1.20B	-31.7M	1.92	2.94	130,334	250,478	2,403,612	5,113,646
2022-10-12	$40.20	$38.50	43.7%	12.4%	46.3%	78.3%	43.7%	6.7%	-0.7%	29.1M	-1.69B	-31.6M	1.30	3.04	150,274	196,008	2,438,902	5,185,626
2022-10-13	$41.76	$38.50	41.8%	11.8%	47.3%	70.6%	43.6%	6.0%	-0.9%	90.6M	-3.35B	-30.4M	3.17	2.94	220,076	697,996	2,501,250	5,268,406
2022-10-14	$40.20	$38.50	44.3%	12.6%	48.6%	81.0%	42.5%	6.4%	-0.4%	18.9M	-1.58B	-32.3M	1.22	3.16	157,524	191,498	2,564,976	5,331,076
2022-10-17	$40.77	$38.50	42.9%	12.2%	48.6%	75.3%	42.5%	6.2%	-1.5%	58.4M	-2.26B	-31.1M	1.08	2.34	131,444	142,016	2,557,548	5,255,512
2022-10-18	$40.92	$38.50	41.5%	11.9%	48.6%	69.4%	43.7%	6.2%	-1.5%	69.7M	-2.50B	-30.8M	3.24	3.61	119,584	387,454	2,598,020	5,295,654
2022-10-19	$42.03	$38.50	40.9%	11.7%	48.9%	66.8%	41.9%	5.2%	-1.5%	108.7M	-3.78B	-29.8M	1.45	3.43	250,756	363,276	2,607,088	5,281,546
2022-10-20	$42.21	$39.00	40.2%	11.6%	48.8%	64.0%	42.5%	5.3%	-1.7%	113.6M	-4.05B	-30.4M	1.74	2.74	201,632	349,890	2,683,594	5,435,624
2022-10-21	$43.47	$39.00	39.0%	11.3%	38.7%	59.1%	40.9%	4.9%	-1.2%	114.3M	-5.40B	-30.0M	0.69	2.87	207,838	144,262	2,730,056	5,526,826
2022-10-24	$43.65	$39.00	38.8%	11.5%	36.6%	58.2%	41.3%	5.3%	0.2%	83.5M	-3.83B	-29.2M	0.73	3.55	173,596	126,432	2,241,658	4,376,012
2022-10-25	$43.70	$39.00	37.4%	11.0%	36.8%	52.2%	38.8%	5.1%	0.6%	91.2M	-3.82B	-29.4M	1.45	2.50	143,652	208,066	2,280,696	4,394,086
2022-10-26	$44.45	$39.50	36.1%	10.7%	34.6%	47.0%	38.2%	4.9%	0.5%	108.1M	-4.47B	-28.6M	0.83	2.67	431,682	359,376	2,311,738	4,504,542
2022-10-27	$44.52	$39.50	36.2%	10.9%	34.4%	47.5%	38.2%	4.7%	0.4%	105.0M	-4.42B	-28.5M	1.98	2.82	155,574	308,646	2,357,848	4,716,080
2022-10-28	$44.55	$40.00	35.1%	10.4%	34.0%	42.9%	37.0%	4.5%	0.8%	169.6M	-4.38B	-28.2M	0.99	2.82	171,728	170,032	2,394,236	4,821,186
2022-10-31	$45.21	$40.50	35.1%	10.6%	29.9%	43.0%	39.1%	4.4%	0.0%	98.4M	-4.59B	-27.2M	2.36	2.96	108,630	256,052	2,282,932	4,597,874