XLE Options History — July 2023

In July 2023, XLE traded between $39.56 and $43.69. ATM implied volatility averaged 21.9%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.2% (HV 20d: 21.7%). Max pain ranged from $40.00 to $41.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2023-07-24: Highest Volume — 294,930 contracts
  • 2023-07-06: Largest IV spike — 6.9% change
  • 2023-07-17: Highest IV Rank — 9.8%
  • 2023-07-17: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.65$39.56$43.69$40.73$43.69
Max Pain$40.83$40.00$41.50$40.00$41.50
ATM IV21.9%20.4%23.2%20.9%20.7%
Expected Move6.2%5.5%6.7%5.5%5.9%
HV 20d21.7%19.9%24.5%20.7%21.1%
HV 60d23.4%21.5%24.3%22.7%21.5%
IV Rank5.0%0.0%9.8%1.2%1.2%
IV Percentile4.0%0.0%10.3%0.4%0.8%
Term Structure0.1%-0.2%0.5%0.5%-0.1%
VWIV22.0%19.7%25.1%19.7%20.7%
Skew 25d2.2%1.4%3.3%2.5%2.0%
Skew 10d4.7%3.1%7.0%4.7%4.8%
Call IV 25d21.1%19.5%22.1%20.2%20.1%
Put IV 25d23.3%21.5%25.1%22.6%22.0%
Bid-Ask Spread %3.292.594.772.793.13
Gamma HHI0.060.050.080.050.07
Net GEX47.0M-48.1M87.3M16.4M83.1M
Net DEX-752.7M-1.73B814.0M-151.4M-1.73B
Net VEX-21.2M-22.2M-20.5M-20.8M-21.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.402.130.830.59
Total Volume156,47153,624294,93053,624157,628
Total OI3,841,270.73,377,6444,249,5143,667,2403,672,936

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$40.73$40.0020.9%5.5%20.7%1.2%19.7%2.5%0.5%16.4M-151.4M-20.8M0.832.7929,32424,3001,467,0922,200,148
2023-07-05$40.36$40.0021.5%5.7%20.9%3.4%20.1%2.9%0.3%-2.5M189.6M-20.5M2.132.9628,98461,8701,477,5022,210,906
2023-07-06$39.56$40.5023.0%6.6%22.0%8.7%25.1%3.3%0.0%-48.1M814.0M-20.7M1.103.8270,94678,0761,488,3042,256,418
2023-07-07$40.47$40.5022.3%6.5%21.4%6.3%23.9%2.3%0.2%-3.5M59.2M-21.1M0.504.25130,56264,7041,517,9722,273,896
2023-07-10$40.67$40.5022.6%6.6%21.4%7.7%22.7%2.9%0.4%23.0M-139.7M-21.1M0.744.7757,00242,3321,526,9762,233,170
2023-07-11$41.61$40.5022.4%6.5%22.9%6.9%22.5%2.2%0.3%62.1M-902.1M-20.9M0.472.65145,77067,9261,556,7042,252,220
2023-07-12$41.97$40.5021.7%6.3%22.6%4.3%21.7%2.0%0.2%84.8M-1.23B-21.0M0.553.44125,24268,4481,607,9602,279,880
2023-07-13$41.88$41.0022.0%6.4%22.6%5.5%22.2%2.3%0.1%77.3M-1.13B-21.6M0.733.3891,26267,0141,637,8462,306,774
2023-07-14$40.70$41.0022.9%6.6%24.5%8.6%23.2%2.6%0.2%31.1M-125.7M-21.6M1.273.2789,730113,5521,686,9162,331,996
2023-07-17$40.69$41.0023.2%6.7%24.1%9.8%23.6%2.9%-0.2%28.2M-114.3M-21.2M1.333.9640,11453,4561,691,2602,348,194
2023-07-18$41.17$41.0022.7%6.5%24.4%7.8%22.4%2.3%-0.2%63.7M-623.2M-21.0M2.093.5172,234150,9501,702,5202,370,240
2023-07-19$41.24$41.0022.9%6.6%21.5%8.5%22.8%2.3%0.0%60.0M-601.6M-21.6M0.522.6838,53620,0461,718,6682,484,804
2023-07-20$41.70$41.0022.0%6.3%21.5%5.4%22.2%1.4%-0.0%87.3M-1.09B-21.5M0.812.5966,38653,4761,729,3942,489,776
2023-07-21$42.09$41.0021.0%6.0%20.6%1.7%21.6%1.6%0.1%71.4M-1.41B-21.2M1.382.7549,51268,2881,746,3602,503,154
2023-07-24$42.87$41.0021.1%6.0%20.6%2.1%21.4%2.0%0.1%60.1M-1.35B-20.8M1.112.82140,012154,9181,359,4522,018,192
2023-07-25$43.14$41.0021.6%6.2%19.9%3.8%21.8%1.6%0.1%60.4M-1.61B-20.9M0.402.96167,21467,1961,407,3502,118,978
2023-07-26$43.02$41.0021.3%6.0%20.1%2.8%21.6%1.9%0.2%68.9M-1.54B-21.2M1.993.6157,166113,4741,463,1902,161,788
2023-07-27$42.69$41.0021.6%6.1%20.5%4.0%21.7%1.9%0.2%53.1M-1.12B-22.2M1.333.4869,97492,7821,487,9462,244,600
2023-07-28$42.84$41.5020.4%5.7%20.4%0.0%20.0%2.0%0.3%63.4M-1.26B-21.8M0.803.0777,40261,6121,517,0662,276,866
2023-07-31$43.69$41.5020.7%5.9%21.1%1.2%20.7%2.0%-0.1%83.1M-1.73B-21.2M0.593.1399,40658,2221,466,9222,206,014