XLE Options History — August 2023

In August 2023, XLE traded between $42.92 and $44.89. ATM implied volatility averaged 22.0%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.8% (HV 20d: 17.2%). Max pain ranged from $41.00 to $42.50. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.09.

Notable Days

2023-08-09: Highest Volume — 727,704 contracts
2023-08-02: Largest IV spike — 8.1% change
2023-08-22: Highest IV Rank — 11.6%
2023-08-17: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.94	$42.92	$44.89	$43.50	$44.45
Max Pain	$41.98	$41.00	$42.50	$41.50	$42.50
ATM IV	22.0%	19.1%	23.6%	20.8%	19.1%
Expected Move	6.1%	5.0%	6.6%	5.8%	5.0%
HV 20d	17.2%	13.8%	21.6%	21.2%	13.8%
HV 60d	20.2%	19.0%	21.4%	21.4%	19.0%
IV Rank	6.3%	0.0%	11.6%	1.5%	0.0%
IV Percentile	10.1%	0.0%	21.4%	1.2%	0.0%
Term Structure	0.3%	-0.4%	1.2%	-0.1%	0.2%
VWIV	21.9%	18.1%	25.1%	20.7%	18.6%
Skew 25d	3.0%	2.1%	4.1%	2.1%	2.9%
Skew 10d	6.1%	4.1%	8.5%	4.7%	5.3%
Call IV 25d	20.7%	17.8%	22.0%	20.2%	17.8%
Put IV 25d	23.7%	20.7%	25.6%	22.3%	20.7%
Bid-Ask Spread %	2.32	1.28	3.76	3.58	1.42
Gamma HHI	0.08	0.06	0.12	0.08	0.08
Net GEX	72.8M	-20.8M	180.4M	85.2M	40.9M
Net DEX	-1.40B	-2.69B	-422.6M	-1.65B	-1.22B
Net VEX	-23.1M	-24.4M	-21.0M	-21.0M	-23.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.46	2.97	1.09	0.89
Total Volume	195,459.565	88,538	727,704	88,538	175,120
Total OI	4,135,589.043	3,727,844	4,589,314	3,727,844	4,309,132

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
2023-08-01	$43.50	$41.50	20.8%	5.8%	21.2%	1.5%	20.7%	2.1%	-0.1%	85.2M	-1.65B	-21.0M	1.09	3.58	42,388	46,150	1,496,330	2,231,514
2023-08-02	$42.92	$41.50	22.5%	6.2%	21.6%	7.6%	22.1%	2.6%	-0.3%	59.7M	-1.05B	-22.2M	0.56	2.93	76,454	42,764	1,516,028	2,248,572
2023-08-03	$43.48	$41.00	22.2%	6.4%	20.1%	6.7%	22.7%	2.5%	-0.3%	87.1M	-1.57B	-22.0M	0.46	3.76	88,552	41,100	1,536,802	2,262,814
2023-08-04	$43.53	$41.00	22.4%	6.5%	19.0%	7.3%	22.6%	2.5%	-0.1%	112.5M	-1.61B	-22.1M	1.82	3.01	114,802	209,500	1,563,864	2,280,644
2023-08-07	$43.47	$41.00	21.9%	6.4%	19.1%	5.5%	22.2%	2.6%	0.3%	86.0M	-1.44B	-21.9M	0.82	2.46	50,388	41,340	1,562,310	2,336,616
2023-08-08	$43.70	$41.50	21.7%	6.4%	17.7%	4.7%	22.7%	3.2%	0.8%	96.6M	-1.61B	-21.8M	0.64	3.07	112,114	71,622	1,567,778	2,357,118
2023-08-09	$44.36	$41.50	22.4%	6.5%	18.1%	7.3%	23.3%	2.6%	0.1%	125.7M	-2.19B	-21.9M	2.27	2.58	222,230	505,474	1,591,798	2,388,598
2023-08-10	$44.22	$42.00	22.2%	6.4%	18.1%	6.6%	22.1%	2.7%	0.3%	114.8M	-1.89B	-23.4M	0.61	2.25	158,862	97,546	1,673,828	2,563,654
2023-08-11	$44.89	$42.00	21.1%	6.1%	14.4%	2.4%	22.2%	2.3%	0.3%	180.4M	-2.69B	-22.7M	0.61	3.36	133,388	80,846	1,727,658	2,606,916
2023-08-14	$44.75	$42.00	21.6%	6.2%	14.6%	4.4%	22.0%	2.8%	1.1%	159.8M	-2.41B	-22.8M	0.61	1.98	105,562	64,716	1,720,286	2,613,480
2023-08-15	$43.78	$42.00	22.9%	6.6%	17.1%	9.0%	23.1%	2.8%	1.2%	92.7M	-1.39B	-23.9M	0.71	2.47	140,476	100,222	1,757,648	2,630,410
2023-08-16	$43.53	$42.00	22.9%	6.6%	17.4%	9.2%	23.4%	3.2%	0.9%	67.9M	-1.14B	-23.8M	0.85	2.25	92,474	78,676	1,782,040	2,671,764
2023-08-17	$44.00	$42.00	23.3%	6.6%	17.4%	10.5%	22.9%	3.2%	0.9%	118.9M	-1.63B	-24.0M	1.01	1.43	106,898	108,014	1,813,358	2,700,044
2023-08-18	$44.36	$42.00	23.0%	6.5%	17.3%	9.5%	23.2%	2.9%	1.2%	137.2M	-1.95B	-24.1M	0.80	1.84	106,688	84,976	1,843,780	2,745,534
2023-08-21	$44.17	$42.50	23.3%	6.5%	16.4%	10.7%	22.3%	3.8%	0.1%	35.5M	-1.10B	-23.5M	1.69	1.59	51,878	87,802	1,517,858	2,438,732
2023-08-22	$43.81	$42.50	23.6%	6.4%	16.7%	11.6%	25.1%	4.1%	-0.4%	13.7M	-744.6M	-24.2M	0.98	1.60	65,350	64,270	1,548,916	2,490,714
2023-08-23	$43.61	$42.50	23.2%	6.2%	16.8%	10.2%	22.7%	4.0%	-0.0%	-1.3M	-544.9M	-24.4M	1.35	1.78	87,634	118,078	1,572,878	2,524,826
2023-08-24	$43.45	$42.50	22.9%	6.2%	16.5%	9.1%	23.0%	3.6%	0.1%	-14.4M	-422.6M	-24.3M	2.97	1.68	29,476	87,576	1,582,540	2,573,004
2023-08-25	$43.84	$42.50	21.8%	5.8%	16.7%	5.2%	20.3%	3.0%	-0.1%	-20.8M	-747.3M	-24.1M	0.99	2.16	63,854	63,034	1,590,214	2,639,736
2023-08-28	$44.06	$42.50	21.4%	5.7%	15.4%	3.8%	20.2%	3.8%	0.2%	18.7M	-865.4M	-23.4M	0.74	1.80	69,798	51,990	1,544,454	2,596,402
2023-08-29	$44.22	$42.50	20.7%	5.4%	15.3%	1.3%	18.9%	3.2%	0.1%	31.0M	-1.06B	-23.2M	1.34	1.28	69,574	93,484	1,563,072	2,608,104
2023-08-30	$44.44	$42.50	19.2%	5.0%	14.4%	0.0%	18.1%	2.9%	0.5%	46.4M	-1.31B	-22.6M	1.13	2.98	90,408	102,022	1,581,716	2,645,064
2023-08-31	$44.45	$42.50	19.1%	5.0%	13.8%	0.0%	18.6%	2.9%	0.2%	40.9M	-1.22B	-23.2M	0.89	1.42	92,808	82,312	1,607,334	2,701,798