XLE Options History — February 2023 In February 2023, XLE traded between $41.59 and $45.13. ATM implied volatility averaged 28.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 1.1% (HV 20d: 27.5%). Max pain ranged from $42.50 to $44.75. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.19.
Notable Days 2023-02-24 : Highest Volume — 581,658 contracts2023-02-23 : Largest IV drop — 8.2% change2023-02-22 : Highest IV Rank — 25.7%2023-02-22 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $43.32 $41.59 $45.13 $44.41 $41.94 Max Pain $43.05 $42.50 $44.75 $44.75 $42.50 ATM IV 28.6% 27.0% 31.6% 27.2% 28.0% Expected Move 8.1% 7.7% 8.7% 7.8% 7.8% HV 20d 27.5% 22.0% 32.1% 22.0% 28.9% HV 60d 28.7% 27.6% 30.1% 29.5% 27.9% IV Rank 12.6% 5.9% 25.7% 6.6% 10.0% IV Percentile 6.8% 1.6% 19.0% 2.0% 6.3% Term Structure 0.3% -1.1% 1.3% -0.1% -0.3% VWIV 28.8% 27.0% 30.6% 27.5% 27.2% Skew 25d 5.0% 4.2% 6.1% 4.9% 5.2% Skew 10d 9.4% 8.3% 11.0% 9.2% 8.9% Call IV 25d 26.1% 24.8% 28.2% 24.9% 25.4% Put IV 25d 31.1% 29.3% 34.3% 29.8% 30.6% Bid-Ask Spread % 2.79 1.88 4.40 4.40 3.37 Gamma HHI 0.08 0.06 0.12 0.06 0.11 Net GEX -41.0M -125.3M 70.6M -17.1M -84.4M Net DEX 326.6M -1.26B 1.54B -159.9M 1.13B Net VEX -21.6M -22.2M -21.1M -21.5M -21.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.19 0.48 3.17 0.97 0.80 Total Volume 239,677.158 90,936 581,658 328,946 147,142 Total OI 4,480,460.632 4,220,120 4,809,656 4,240,278 4,576,410
Daily Data (19 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 2023-02-01 $44.41 $44.75 27.2% 7.8% 22.0% 6.6% 27.5% 4.9% -0.1% -17.1M -159.9M -21.5M 0.97 4.40 166,914 162,032 1,506,864 2,733,414 2023-02-02 $42.97 $42.50 28.9% 8.5% 25.3% 14.0% 29.6% 5.3% 0.2% -108.9M 1.03B -21.5M 1.63 2.38 107,120 174,988 1,547,858 2,803,728 2023-02-03 $43.02 $42.50 28.5% 8.5% 23.7% 12.1% 29.2% 4.7% 0.1% -89.5M 936.0M -21.6M 0.65 2.47 174,716 112,716 1,542,590 2,821,086 2023-02-06 $42.81 $42.50 28.6% 8.2% 22.7% 12.8% 28.8% 4.9% -0.2% -88.0M 912.3M -21.4M 0.63 2.81 123,254 77,314 1,554,244 2,787,406 2023-02-07 $44.13 $42.50 27.4% 8.0% 25.2% 7.7% 27.6% 4.4% 0.5% -13.5M -227.5M -21.7M 0.48 2.16 143,082 68,928 1,621,694 2,800,396 2023-02-08 $43.89 $42.50 27.8% 8.1% 25.2% 9.3% 29.2% 4.4% 0.3% -18.4M -92.0M -21.9M 1.19 2.36 54,934 65,520 1,665,216 2,816,480 2023-02-09 $43.48 $42.50 28.9% 8.4% 25.4% 13.8% 28.6% 5.1% 0.5% -52.7M 332.6M -21.8M 1.22 2.46 77,264 94,444 1,668,258 2,850,740 2023-02-10 $45.13 $42.50 27.9% 8.2% 27.9% 9.6% 29.2% 4.2% 1.0% 70.6M -1.26B -22.2M 0.79 1.88 172,398 135,664 1,727,480 2,854,076 2023-02-13 $45.00 $43.50 29.1% 8.4% 27.9% 14.8% 29.6% 5.1% 0.8% 55.3M -1.14B -22.2M 0.76 2.00 129,784 98,320 1,749,076 2,843,386 2023-02-14 $45.08 $44.00 27.3% 7.8% 27.9% 7.1% 27.9% 4.4% 0.9% 63.8M -1.18B -21.6M 1.08 2.51 88,748 96,242 1,759,356 2,885,738 2023-02-15 $44.20 $44.00 27.0% 7.7% 28.3% 5.9% 29.5% 4.6% 1.1% 3.1M -341.8M -21.6M 2.00 3.06 64,104 127,960 1,786,920 2,907,104 2023-02-16 $43.88 $43.50 27.2% 7.7% 28.0% 6.6% 27.0% 4.3% 1.3% -23.3M -43.5M -21.8M 1.12 2.62 42,932 48,004 1,807,960 2,978,072 2023-02-17 $42.23 $44.00 29.2% 8.3% 30.8% 15.2% 29.7% 5.3% 1.1% -125.3M 1.54B -21.3M 1.23 2.86 196,548 242,384 1,823,156 2,986,500 2023-02-21 $42.19 $43.50 31.1% 8.6% 30.7% 23.2% 30.4% 5.9% -0.1% -74.7M 996.7M -21.3M 1.22 3.03 89,754 109,926 1,566,962 2,653,158 2023-02-22 $41.59 $43.00 31.6% 8.7% 31.0% 25.7% 30.6% 6.1% -1.1% -92.7M 1.39B -21.1M 1.07 3.11 123,438 131,480 1,606,272 2,684,014 2023-02-23 $42.45 $42.75 29.0% 8.0% 32.1% 14.5% 27.8% 5.1% -0.7% -56.9M 723.6M -21.3M 1.16 2.88 65,654 76,064 1,619,082 2,716,012 2023-02-24 $42.17 $42.50 29.4% 8.0% 29.6% 16.0% 30.0% 5.5% -0.1% -69.3M 963.7M -21.1M 3.17 4.21 139,570 442,088 1,637,730 2,740,354 2023-02-27 $42.47 $42.50 29.0% 8.0% 29.7% 14.4% 27.4% 5.3% -0.3% -57.5M 697.8M -22.1M 1.50 2.46 72,890 109,546 1,647,570 2,852,390 2023-02-28 $41.94 $42.50 28.0% 7.8% 28.9% 10.0% 27.2% 5.2% -0.3% -84.4M 1.13B -21.8M 0.80 3.37 81,714 65,428 1,686,438 2,889,972
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