XLE Options History — November 2022

In November 2022, XLE traded between $44.31 and $47.06. ATM implied volatility averaged 34.2%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.4% (HV 20d: 30.8%). Max pain ranged from $40.00 to $44.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.35.

Notable Days

2022-11-09: Highest Volume — 957,834 contracts
2022-11-09: Largest IV spike — 8.3% change
2022-11-09: Highest IV Rank — 50.7%
2022-11-09: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.79	$44.31	$47.06	$45.43	$45.61
Max Pain	$42.40	$40.00	$44.50	$40.50	$44.50
ATM IV	34.2%	31.4%	37.0%	34.5%	31.4%
Expected Move	9.9%	9.2%	10.7%	10.3%	9.4%
HV 20d	30.8%	26.8%	35.1%	27.9%	35.1%
HV 60d	37.7%	36.4%	38.7%	36.6%	37.7%
IV Rank	39.2%	27.7%	50.7%	40.5%	27.7%
IV Percentile	36.8%	16.3%	57.1%	40.5%	16.3%
Term Structure	0.3%	-1.3%	1.3%	0.3%	0.4%
VWIV	36.4%	31.7%	39.7%	36.4%	33.4%
Skew 25d	4.9%	3.7%	6.3%	3.9%	5.1%
Skew 10d	9.4%	7.0%	11.1%	7.5%	8.4%
Call IV 25d	32.0%	29.1%	34.8%	33.0%	29.1%
Put IV 25d	36.9%	34.2%	40.2%	36.9%	34.2%
Bid-Ask Spread %	2.43	2.04	5.17	2.60	2.33
Gamma HHI	0.07	0.05	0.08	0.07	0.06
Net GEX	36.3M	-53.4M	112.8M	101.8M	-22.0M
Net DEX	-3.90B	-5.52B	-1.60B	-4.74B	-2.50B
Net VEX	-27.0M	-29.3M	-24.5M	-26.9M	-29.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.35	0.90	3.91	1.57	1.72
Total Volume	510,620.857	79,080	957,834	263,976	422,370
Total OI	7,431,736	6,891,338	8,085,318	6,931,690	8,039,098

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
2022-11-01	$45.43	$40.50	34.5%	10.3%	27.9%	40.5%	36.4%	3.9%	0.3%	101.8M	-4.74B	-26.9M	1.57	2.60	102,720	161,256	2,294,302	4,637,388
2022-11-02	$44.39	$40.50	34.8%	10.3%	28.7%	41.7%	37.7%	4.2%	0.3%	68.3M	-3.75B	-27.4M	3.66	5.17	112,166	410,356	2,289,258	4,689,206
2022-11-03	$45.27	$40.00	33.7%	10.0%	29.1%	37.0%	38.5%	3.8%	0.7%	95.4M	-4.47B	-27.4M	3.03	2.34	152,282	461,602	2,311,272	4,882,382
2022-11-04	$45.71	$40.00	33.5%	10.0%	28.6%	36.3%	36.0%	3.7%	0.5%	93.3M	-4.73B	-25.7M	1.76	2.43	184,970	326,216	2,280,340	4,818,924
2022-11-07	$46.45	$40.00	33.4%	9.9%	27.4%	36.0%	35.5%	3.9%	1.1%	96.2M	-5.15B	-24.5M	1.04	2.10	214,024	222,418	2,235,156	4,656,182
2022-11-08	$46.63	$40.00	34.1%	10.1%	26.8%	38.9%	37.3%	4.2%	1.3%	97.5M	-5.27B	-25.5M	2.06	2.24	136,892	282,066	2,314,024	4,776,282
2022-11-09	$44.31	$41.00	37.0%	10.7%	33.9%	50.7%	39.7%	5.4%	0.4%	-15.2M	-2.72B	-28.0M	3.28	2.43	223,860	733,974	2,350,056	4,924,064
2022-11-10	$45.18	$42.00	35.1%	10.4%	32.1%	43.0%	37.3%	4.9%	1.3%	7.3M	-3.62B	-27.6M	2.17	2.20	145,966	317,348	2,380,324	5,148,664
2022-11-11	$46.80	$42.50	33.0%	9.6%	29.8%	34.3%	35.6%	4.5%	0.8%	112.8M	-5.50B	-25.8M	1.65	2.12	186,560	307,728	2,389,800	5,253,310
2022-11-14	$46.75	$42.50	33.9%	9.8%	29.9%	37.9%	35.9%	4.8%	0.7%	86.0M	-5.27B	-25.6M	3.20	2.23	113,842	363,868	2,356,966	5,150,294
2022-11-15	$47.06	$42.50	34.5%	9.9%	29.8%	40.6%	36.2%	4.8%	1.0%	88.6M	-5.52B	-25.2M	1.62	2.87	183,442	296,994	2,382,336	5,244,982
2022-11-16	$46.20	$43.00	34.8%	10.0%	30.2%	41.7%	35.8%	5.1%	0.4%	52.0M	-4.59B	-26.7M	2.34	2.15	139,512	326,186	2,434,538	5,345,602
2022-11-17	$45.94	$44.00	34.8%	9.9%	30.4%	41.5%	37.8%	5.1%	0.5%	27.3M	-4.15B	-27.3M	2.32	2.19	157,438	365,502	2,499,970	5,456,624
2022-11-18	$45.86	$44.00	34.3%	9.7%	29.0%	39.7%	36.2%	5.0%	1.0%	-9.0M	-3.96B	-27.4M	3.53	2.15	120,438	424,898	2,492,054	5,593,264
2022-11-21	$44.94	$43.50	36.2%	10.2%	30.1%	47.5%	37.0%	5.7%	-1.3%	-51.1M	-2.09B	-27.2M	1.46	2.34	264,604	386,106	2,085,746	4,859,376
2022-11-22	$46.68	$43.50	33.6%	9.4%	32.8%	36.5%	35.2%	5.8%	-0.8%	32.3M	-3.83B	-26.6M	2.31	2.10	222,808	515,556	2,171,998	4,930,982
2022-11-23	$46.09	$44.00	33.9%	9.4%	32.9%	37.9%	35.0%	5.8%	-1.2%	-11.5M	-3.02B	-28.0M	2.72	2.31	114,000	309,982	2,137,246	5,291,272
2022-11-25	$46.21	$44.00	32.8%	9.2%	32.9%	33.2%	31.7%	5.8%	-0.7%	3.7M	-3.24B	-27.6M	0.90	2.68	41,724	37,356	2,184,202	5,446,292
2022-11-28	$44.72	$44.00	35.1%	10.3%	35.1%	42.8%	38.2%	6.3%	-0.2%	-53.4M	-1.60B	-28.2M	3.91	2.04	180,298	704,560	2,153,498	5,246,556
2022-11-29	$45.35	$44.50	33.6%	10.1%	35.0%	36.8%	38.2%	5.8%	0.3%	-38.3M	-2.19B	-29.3M	3.15	2.09	84,168	264,982	2,247,822	5,684,804
2022-11-30	$45.61	$44.50	31.4%	9.4%	35.1%	27.7%	33.4%	5.1%	0.4%	-22.0M	-2.50B	-29.1M	1.72	2.33	155,542	266,828	2,287,070	5,752,028