XLE Options History — May 2023

In May 2023, XLE traded between $38.37 and $42.11. ATM implied volatility averaged 27.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.4% (HV 20d: 26.3%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.51.

Notable Days

2023-05-02: Highest Volume — 358,204 contracts
2023-05-05: Largest IV drop — 12.5% change
2023-05-04: Highest IV Rank — 29.0%
2023-05-04: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.66	$38.37	$42.11	$42.11	$38.37
Max Pain	$40.89	$40.00	$42.50	$42.50	$40.00
ATM IV	27.7%	24.4%	30.8%	24.4%	28.2%
Expected Move	8.0%	6.9%	9.0%	6.9%	8.4%
HV 20d	26.3%	21.4%	28.7%	26.6%	21.4%
HV 60d	28.8%	27.9%	30.0%	28.4%	28.0%
IV Rank	16.6%	3.6%	29.0%	3.6%	18.7%
IV Percentile	15.8%	2.0%	30.2%	2.0%	21.4%
Term Structure	0.3%	-0.8%	1.1%	0.7%	-0.4%
VWIV	28.2%	24.1%	30.9%	24.1%	27.3%
Skew 25d	5.7%	4.8%	6.4%	4.8%	5.7%
Skew 10d	11.0%	9.3%	13.0%	9.4%	10.3%
Call IV 25d	25.0%	22.0%	27.8%	22.0%	25.9%
Put IV 25d	30.7%	26.9%	34.2%	26.9%	31.7%
Bid-Ask Spread %	3.22	2.52	4.60	3.24	2.99
Gamma HHI	0.06	0.04	0.09	0.04	0.09
Net GEX	-84.6M	-135.7M	-34.4M	-43.3M	-135.7M
Net DEX	1.80B	705.2M	2.68B	705.2M	2.52B
Net VEX	-23.0M	-24.4M	-21.7M	-23.6M	-21.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.30	4.66	0.62	1.89
Total Volume	181,587.091	33,826	358,204	115,488	172,462
Total OI	4,925,775.273	4,497,290	5,303,312	4,497,290	5,021,900

Daily Data (22 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
2023-05-01	$42.11	$42.50	24.4%	6.9%	26.6%	3.6%	24.1%	4.8%	0.7%	-43.3M	705.2M	-23.6M	0.62	3.24	71,366	44,122	1,485,794	3,011,496
2023-05-02	$40.26	$42.50	27.2%	8.0%	25.6%	14.8%	28.6%	5.7%	0.5%	-100.6M	2.02B	-23.2M	1.00	3.35	178,932	179,272	1,524,010	3,028,356
2023-05-03	$39.53	$42.25	28.8%	8.6%	25.2%	21.1%	29.6%	6.1%	0.2%	-111.5M	2.42B	-23.3M	1.34	3.40	148,410	198,996	1,621,156	3,069,100
2023-05-04	$39.06	$41.50	30.8%	9.0%	24.1%	29.0%	30.9%	6.4%	0.4%	-118.0M	2.53B	-23.8M	0.62	3.54	174,204	107,544	1,725,262	3,099,870
2023-05-05	$40.20	$41.00	27.0%	8.1%	26.5%	14.0%	28.6%	5.8%	0.2%	-77.2M	1.54B	-24.4M	0.91	4.26	84,328	76,668	1,827,712	3,124,988
2023-05-08	$40.20	$41.00	27.3%	8.2%	26.2%	15.3%	28.7%	6.0%	1.0%	-65.4M	1.47B	-23.9M	0.69	2.77	75,980	52,556	1,796,374	3,072,204
2023-05-09	$40.30	$41.00	27.6%	8.1%	25.8%	16.1%	29.2%	5.8%	0.6%	-61.6M	1.36B	-24.2M	0.86	3.55	67,470	58,234	1,841,434	3,104,012
2023-05-10	$39.77	$41.00	27.7%	8.1%	25.9%	16.7%	30.5%	6.0%	0.3%	-84.5M	1.84B	-23.9M	2.14	4.60	63,820	136,524	1,882,116	3,126,418
2023-05-11	$39.09	$41.00	28.4%	8.3%	26.0%	19.4%	28.6%	5.9%	0.5%	-103.4M	2.33B	-23.2M	1.38	3.12	88,226	121,656	1,907,642	3,129,034
2023-05-12	$39.15	$40.50	27.6%	8.2%	26.0%	16.5%	28.9%	5.5%	1.1%	-100.8M	2.19B	-22.8M	1.39	2.93	84,622	117,496	1,925,588	3,107,762
2023-05-15	$39.39	$40.50	27.4%	7.9%	26.2%	15.4%	27.3%	5.4%	0.5%	-88.5M	1.92B	-22.4M	2.19	2.76	72,084	157,854	1,922,760	3,086,412
2023-05-16	$38.48	$40.50	28.5%	8.2%	26.9%	19.7%	28.5%	5.8%	0.6%	-115.6M	2.68B	-21.9M	2.72	2.64	89,230	243,076	1,949,980	3,166,896
2023-05-17	$39.23	$40.50	27.3%	7.8%	28.3%	15.2%	28.0%	5.3%	0.1%	-101.7M	2.05B	-22.9M	4.66	2.84	55,534	258,844	1,984,096	3,241,848
2023-05-18	$39.53	$40.50	26.0%	7.4%	28.5%	9.9%	27.2%	5.2%	0.8%	-81.6M	1.73B	-22.8M	1.88	2.95	57,650	108,314	2,011,278	3,263,852
2023-05-19	$39.77	$40.50	26.4%	7.5%	28.7%	11.6%	26.0%	5.1%	0.8%	-34.4M	1.49B	-22.8M	0.80	3.46	119,180	95,622	2,013,320	3,289,992
2023-05-22	$39.72	$40.50	26.7%	7.5%	27.4%	12.6%	27.6%	5.5%	-0.3%	-71.8M	1.40B	-22.4M	1.53	3.25	30,098	46,092	1,692,324	3,021,424
2023-05-23	$40.16	$40.50	27.3%	7.8%	27.1%	15.1%	26.1%	5.8%	0.1%	-46.2M	1.05B	-22.8M	0.85	2.94	27,780	23,682	1,715,336	3,032,432
2023-05-24	$40.20	$40.50	28.6%	8.1%	26.7%	20.1%	27.8%	6.3%	0.1%	-43.2M	1.01B	-22.9M	0.59	3.70	21,270	12,556	1,729,514	3,055,942
2023-05-25	$39.58	$40.50	29.4%	8.4%	26.9%	23.3%	30.7%	6.1%	-0.6%	-74.1M	1.55B	-22.5M	4.09	3.19	27,510	112,546	1,752,060	3,072,982
2023-05-26	$39.42	$40.50	28.3%	8.1%	25.9%	19.0%	28.0%	5.6%	-0.7%	-86.2M	1.71B	-22.7M	0.30	2.52	37,902	11,192	1,817,140	3,178,608
2023-05-30	$38.92	$40.25	28.3%	8.3%	26.0%	19.1%	28.6%	5.9%	-0.8%	-115.0M	2.10B	-21.8M	0.84	2.81	45,652	38,360	1,803,234	3,133,398
2023-05-31	$38.37	$40.00	28.2%	8.4%	21.4%	18.7%	27.3%	5.7%	-0.4%	-135.7M	2.52B	-21.7M	1.89	2.99	59,644	112,818	1,856,554	3,165,346