XLE Options History — March 2023 In March 2023, XLE traded between $38.50 and $43.63. ATM implied volatility averaged 30.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.3% (HV 20d: 29.2%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.63.
Notable Days 2023-03-15 : Highest Volume — 1,077,638 contracts2023-03-15 : Largest IV spike — 17.4% change2023-03-15 : Highest IV Rank — 54.6%2023-03-15 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $40.83 $38.50 $43.63 $42.80 $41.33 Max Pain $41.28 $40.00 $42.50 $42.50 $40.00 ATM IV 30.5% 25.7% 38.4% 27.9% 27.2% Expected Move 8.6% 7.0% 10.8% 7.9% 7.5% HV 20d 29.2% 23.0% 32.4% 30.0% 31.6% HV 60d 28.3% 26.9% 29.8% 28.2% 28.0% IV Rank 20.9% 0.3% 54.6% 9.6% 6.7% IV Percentile 21.5% 0.4% 69.4% 5.6% 5.2% Term Structure -0.0% -0.7% 0.7% -0.0% 0.7% VWIV 30.4% 24.5% 38.8% 27.7% 27.0% Skew 25d 5.5% 3.9% 7.5% 5.1% 4.8% Skew 10d 10.2% 7.1% 14.1% 9.0% 9.0% Call IV 25d 28.1% 23.7% 35.7% 25.7% 24.7% Put IV 25d 33.7% 27.8% 42.9% 30.8% 29.5% Bid-Ask Spread % 2.88 1.74 4.75 2.49 1.82 Gamma HHI 0.09 0.05 0.17 0.08 0.05 Net GEX -75.1M -241.3M 53.4M -33.2M -16.2M Net DEX 1.45B -534.8M 4.44B 350.0M 240.1M Net VEX -22.4M -23.4M -21.3M -22.2M -22.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.40 6.54 1.08 0.69 Total Volume 276,499.826 107,984 1,077,638 236,202 107,984 Total OI 4,928,326.957 4,564,386 6,039,348 4,624,344 4,871,160
Daily Data (23 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 2023-03-01 $42.80 $42.50 27.9% 7.9% 30.0% 9.6% 27.7% 5.1% -0.0% -33.2M 350.0M -22.2M 1.08 2.49 113,770 122,432 1,708,062 2,916,282 2023-03-02 $43.13 $42.50 26.9% 7.4% 30.0% 5.5% 26.3% 4.6% -0.5% -5.7M -9.4M -22.3M 0.86 2.75 73,908 63,322 1,778,752 2,951,338 2023-03-03 $43.59 $42.50 25.8% 7.0% 27.8% 0.8% 24.5% 4.5% -0.3% 53.4M -534.8M -21.9M 0.73 2.22 130,378 94,534 1,816,754 2,972,540 2023-03-06 $43.63 $42.50 25.7% 7.4% 27.8% 0.3% 27.5% 4.2% 0.1% 11.4M -397.1M -21.7M 1.63 2.15 54,384 88,522 1,770,070 2,947,230 2023-03-07 $42.90 $42.50 26.3% 7.5% 28.4% 2.9% 26.7% 4.1% -0.1% -32.5M 269.6M -21.8M 1.15 2.61 109,052 124,864 1,800,054 2,987,070 2023-03-08 $42.34 $42.50 26.9% 7.6% 26.4% 5.2% 26.3% 3.9% 0.0% -68.7M 782.2M -21.9M 1.36 2.16 121,124 164,622 1,841,808 3,021,788 2023-03-09 $41.95 $42.50 29.2% 8.3% 26.5% 15.1% 29.4% 4.5% -0.6% -92.6M 1.13B -22.3M 1.42 4.42 46,214 65,626 1,862,456 3,041,042 2023-03-10 $41.09 $42.50 31.5% 8.9% 27.2% 25.2% 30.2% 5.0% -0.6% -138.6M 1.98B -22.1M 1.10 3.60 123,982 136,700 1,876,686 3,057,494 2023-03-13 $40.47 $42.50 32.8% 9.2% 23.0% 30.9% 32.9% 6.1% -0.2% -156.8M 2.50B -21.3M 6.54 4.04 82,316 538,564 1,867,488 3,049,230 2023-03-14 $40.72 $42.00 32.7% 9.3% 23.3% 30.1% 33.9% 5.9% -0.4% -170.5M 2.34B -22.0M 3.92 2.46 73,852 289,186 1,896,460 3,425,828 2023-03-15 $38.56 $42.00 38.4% 10.8% 29.0% 54.6% 38.8% 7.2% -0.7% -200.8M 4.29B -21.6M 5.19 3.19 174,174 903,464 1,919,230 3,635,376 2023-03-16 $39.15 $41.50 34.4% 9.8% 29.8% 37.6% 34.6% 6.5% -0.2% -241.3M 3.94B -22.4M 1.06 2.87 206,346 218,076 1,980,660 3,946,228 2023-03-17 $38.50 $41.00 36.0% 10.3% 30.0% 44.4% 34.1% 7.5% -0.1% -145.7M 4.44B -22.3M 0.72 4.38 224,390 162,230 2,058,622 3,980,726 2023-03-20 $38.91 $40.50 33.7% 9.6% 28.1% 34.6% 33.0% 6.9% -0.1% -80.9M 2.05B -22.5M 0.48 2.32 146,398 70,156 1,488,002 3,076,384 2023-03-21 $40.28 $40.00 30.5% 8.7% 31.3% 20.7% 30.2% 5.4% 0.1% -45.2M 983.5M -22.7M 0.40 2.54 218,206 86,760 1,547,304 3,077,894 2023-03-22 $39.63 $40.00 30.9% 8.9% 31.4% 22.5% 30.2% 5.7% 0.0% -59.7M 1.45B -22.5M 1.82 4.75 78,712 143,650 1,578,120 3,095,128 2023-03-23 $38.84 $40.00 33.4% 9.6% 30.8% 33.2% 33.5% 6.5% -0.0% -89.8M 2.12B -23.3M 1.39 3.33 93,366 129,946 1,580,290 3,157,532 2023-03-24 $38.94 $40.00 33.3% 9.5% 30.9% 32.9% 33.6% 6.5% 0.2% -84.7M 2.04B -23.4M 1.10 3.36 94,264 103,694 1,595,744 3,196,850 2023-03-27 $39.89 $40.00 31.0% 8.8% 32.2% 22.8% 31.2% 6.1% 0.4% -58.6M 1.35B -23.3M 0.73 2.69 76,020 55,274 1,553,456 3,127,112 2023-03-28 $40.31 $40.00 30.4% 8.6% 32.4% 20.4% 29.2% 5.8% 0.6% -41.0M 1.00B -23.3M 0.77 1.74 90,514 69,788 1,580,098 3,142,552 2023-03-29 $40.94 $40.00 28.7% 8.1% 32.0% 13.3% 30.7% 5.3% 0.6% -14.7M 522.1M -23.0M 1.92 2.10 53,796 103,528 1,603,838 3,165,882 2023-03-30 $41.10 $40.00 28.4% 7.9% 31.8% 11.9% 28.6% 5.3% 0.5% -15.7M 419.5M -23.2M 1.48 2.33 53,032 78,376 1,613,024 3,191,876 2023-03-31 $41.33 $40.00 27.2% 7.5% 31.6% 6.7% 27.0% 4.8% 0.7% -16.2M 240.1M -22.9M 0.69 1.82 63,798 44,186 1,635,358 3,235,802
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