XLE Options History — January 2023

In January 2023, XLE traded between $41.95 and $46.38. ATM implied volatility averaged 29.3%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.9% (HV 20d: 28.4%). Max pain ranged from $42.50 to $44.75. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2023-01-03: Highest Volume — 743,660 contracts
  • 2023-01-12: Largest IV drop — 9.5% change
  • 2023-01-03: Highest IV Rank — 40.0%
  • 2023-01-05: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.44$41.95$46.38$42.14$44.92
Max Pain$43.83$42.50$44.75$42.50$44.75
ATM IV29.3%25.7%34.7%34.7%27.7%
Expected Move8.5%7.5%9.8%9.7%8.3%
HV 20d28.4%23.8%32.3%32.3%25.7%
HV 60d30.1%28.9%31.8%31.5%29.6%
IV Rank11.5%0.0%40.0%40.0%8.8%
IV Percentile8.1%0.0%39.7%39.7%2.8%
Term Structure0.0%-1.0%0.8%-0.0%-0.1%
VWIV30.4%26.2%35.7%35.7%29.6%
Skew 25d4.6%3.8%5.2%5.2%4.7%
Skew 10d8.8%7.2%10.3%10.3%9.2%
Call IV 25d27.1%23.5%32.5%32.5%25.5%
Put IV 25d31.7%27.6%37.7%37.7%30.2%
Bid-Ask Spread %2.742.104.782.172.61
Gamma HHI0.060.050.090.090.06
Net GEX8.2M-118.1M95.6M-102.9M7.2M
Net DEX-813.4M-2.05B1.32B1.06B-544.1M
Net VEX-22.3M-24.8M-20.8M-24.4M-21.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.615.095.091.08
Total Volume259,596115,768743,660743,660115,768
Total OI5,302,941.73,902,9946,199,9085,570,3544,199,862

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$42.14$42.5034.7%9.7%32.3%40.0%35.7%5.2%-0.0%-102.9M1.06B-24.4M5.092.17122,102621,5581,832,2083,738,146
2023-01-04$41.95$42.5034.5%9.6%30.5%39.3%33.2%5.2%-0.1%-118.1M1.32B-24.8M1.793.6196,620172,9901,863,4283,887,682
2023-01-05$43.01$43.5033.4%9.8%30.7%33.6%34.5%4.5%0.0%-41.4M224.3M-24.8M2.743.0283,686229,3821,901,8703,995,948
2023-01-06$43.84$43.5031.4%9.1%31.3%18.6%34.3%4.0%-0.0%61.5M-716.9M-24.3M1.462.51135,360197,5021,941,6324,093,508
2023-01-09$43.66$43.5032.1%9.4%31.3%21.7%33.9%5.1%0.8%-13.5M-434.3M-23.9M2.552.49108,518276,8681,895,0843,978,090
2023-01-10$43.89$43.5031.1%9.0%30.3%14.5%33.2%4.8%0.4%-13.2M-584.3M-23.7M1.642.5961,546101,1881,926,5604,044,394
2023-01-11$44.01$43.5031.2%9.0%29.2%13.1%32.5%4.8%0.1%731.5K-742.6M-23.5M0.612.87154,75094,2501,951,1784,072,006
2023-01-12$44.92$43.5028.3%8.2%29.3%0.0%30.5%3.8%0.6%80.3M-1.85B-22.4M1.122.48153,876171,9021,955,0784,098,846
2023-01-13$45.03$43.5027.1%7.9%29.1%0.0%30.1%4.3%0.5%95.6M-2.02B-21.8M1.062.87104,520110,6381,960,1964,101,706
2023-01-17$44.98$44.0027.9%8.0%29.0%4.1%27.8%4.2%-0.2%57.9M-1.86B-20.9M0.632.39115,03072,3541,906,4704,062,270
2023-01-18$44.33$44.0029.1%8.3%29.3%9.2%29.4%4.6%-0.2%3.9M-1.07B-21.2M1.312.66103,584135,2941,909,9384,080,554
2023-01-19$44.91$44.0028.5%8.2%29.0%6.5%29.0%4.5%-0.3%23.3M-1.67B-21.2M1.382.27113,640156,6921,931,9524,131,330
2023-01-20$45.17$44.0027.6%8.0%28.4%2.7%28.3%4.6%-1.0%30.9M-2.05B-21.3M1.152.13122,784140,9941,963,7184,236,190
2023-01-23$45.22$44.0027.6%8.0%28.1%2.5%28.4%4.5%0.2%4.6M-781.8M-21.0M1.272.9876,11696,6321,309,1562,593,838
2023-01-24$45.02$44.0026.8%7.9%26.2%0.0%26.7%4.5%-0.1%-5.7M-645.3M-21.0M0.972.8895,17692,6121,339,4742,643,836
2023-01-25$44.97$44.5026.5%7.8%23.8%0.0%27.9%4.4%0.0%1.2M-624.0M-21.2M2.022.1045,07691,0841,384,2742,690,038
2023-01-26$46.38$44.5025.7%7.5%25.7%0.0%26.2%4.1%0.3%65.1M-1.67B-20.8M0.782.46148,468115,8561,405,6362,706,226
2023-01-27$45.75$44.5026.3%7.8%24.2%2.7%27.4%4.3%-0.0%35.6M-1.23B-21.4M0.862.9184,74272,8541,452,7722,751,916
2023-01-30$44.67$44.7528.6%8.6%25.7%12.5%28.7%5.2%-0.0%-8.3M-369.4M-21.5M0.784.78112,06687,8421,429,2642,692,560
2023-01-31$44.92$44.7527.7%8.3%25.7%8.8%29.6%4.7%-0.1%7.2M-544.1M-21.5M1.082.6155,58060,1881,485,9602,713,902