XLE Options History — September 2023

In September 2023, XLE traded between $44.64 and $46.66. ATM implied volatility averaged 20.4%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.0% (HV 20d: 16.4%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2023-09-05: Highest Volume — 641,916 contracts
  • 2023-09-21: Largest IV spike — 8.4% change
  • 2023-09-29: Highest IV Rank — 19.2%
  • 2023-09-27: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.63$44.64$46.66$45.34$45.17
Max Pain$44.20$42.50$45.00$42.50$45.00
ATM IV20.4%18.2%23.4%18.2%23.2%
Expected Move5.9%4.7%6.7%4.7%6.5%
HV 20d16.4%14.6%20.6%15.3%20.6%
HV 60d18.2%17.5%19.0%18.6%18.3%
IV Rank7.4%0.0%19.2%0.0%19.2%
IV Percentile9.2%0.0%30.2%0.0%29.4%
Term Structure0.3%0.1%0.5%0.5%0.4%
VWIV20.8%16.9%23.9%16.9%22.8%
Skew 25d2.3%1.5%3.1%2.5%2.8%
Skew 10d4.3%2.8%5.9%3.6%5.4%
Call IV 25d19.4%17.1%22.3%17.1%21.9%
Put IV 25d21.7%19.3%25.1%19.6%24.7%
Bid-Ask Spread %1.631.312.111.311.41
Gamma HHI0.070.050.100.090.08
Net GEX37.0M-114.3M156.4M128.7M-114.3M
Net DEX-1.69B-3.49B153.8M-2.37B-404.0M
Net VEX-23.5M-25.3M-21.7M-22.0M-24.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.482.551.140.69
Total Volume261,056.7104,966641,916249,944299,504
Total OI4,547,3614,071,8305,164,3464,383,6164,613,444

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$45.34$42.5018.2%4.7%15.3%0.0%16.9%2.5%0.5%128.7M-2.37B-22.0M1.141.31116,850133,0941,662,4842,721,132
2023-09-05$45.69$42.5018.9%5.6%15.4%2.4%22.3%2.1%0.3%128.2M-2.55B-21.7M2.241.64198,274443,6421,672,7042,738,974
2023-09-06$45.63$43.0019.3%5.7%15.4%3.7%19.7%2.2%0.3%116.4M-2.36B-22.6M0.971.7776,24074,2441,723,0902,871,878
2023-09-07$45.66$43.0019.2%5.7%14.6%3.3%20.6%2.0%0.3%111.2M-2.36B-22.8M1.442.1150,42072,7701,752,8782,909,900
2023-09-08$46.05$43.0018.8%5.5%14.7%2.0%19.7%1.8%0.4%135.7M-2.83B-22.0M1.721.6584,974146,0301,747,8562,938,638
2023-09-11$45.36$43.5019.4%5.6%15.1%3.8%19.8%1.8%0.1%59.0M-1.86B-22.4M0.731.70107,95078,4881,738,9982,974,154
2023-09-12$46.45$44.0019.3%5.6%17.1%3.5%19.6%1.9%0.4%117.2M-3.11B-22.5M0.481.79268,474127,9681,790,2643,004,942
2023-09-13$46.10$44.0019.6%5.7%15.1%4.4%20.0%1.6%0.3%101.6M-2.73B-23.7M1.381.7088,850122,7801,917,8103,082,964
2023-09-14$46.66$44.0018.3%5.3%15.1%0.2%18.9%1.5%0.4%156.4M-3.49B-22.1M1.151.64124,618143,2141,902,3263,125,588
2023-09-15$46.08$44.5018.9%5.5%15.9%2.2%19.3%1.6%0.4%-26.0M-2.68B-22.9M0.501.53273,536137,0781,945,1983,219,148
2023-09-18$46.02$45.0019.6%5.6%15.8%4.5%19.8%2.4%0.1%19.6M-1.39B-22.9M0.641.50185,564119,5261,491,0462,580,784
2023-09-19$45.64$45.0019.9%5.7%16.0%5.5%20.6%2.5%0.2%-11.6M-1.04B-23.6M1.441.57134,552193,7681,555,9842,631,174
2023-09-20$45.27$45.0020.1%5.8%16.0%6.2%20.5%2.5%0.3%-48.5M-606.7M-24.5M1.371.8944,21860,7481,613,8122,714,130
2023-09-21$44.64$45.0021.8%6.2%16.8%11.9%21.5%2.8%0.1%-101.3M153.8M-24.9M0.971.71114,422110,6021,606,8482,727,854
2023-09-22$44.70$45.0021.6%6.2%16.7%11.3%21.4%2.5%0.2%-60.5M27.1M-25.3M1.371.6087,394119,6581,643,7782,727,100
2023-09-25$45.17$45.0021.9%6.3%16.8%12.3%22.0%3.1%0.4%-12.7M-652.1M-24.5M1.061.5964,15867,8281,628,2002,699,444
2023-09-26$44.85$45.0023.4%6.7%17.0%17.2%23.9%3.1%0.3%-26.9M-327.0M-25.0M2.221.4841,09491,1421,658,3442,711,948
2023-09-27$46.00$45.0023.4%6.7%19.1%17.4%23.7%2.6%0.4%34.6M-1.57B-24.9M1.131.61136,564154,5381,668,5402,740,238
2023-09-28$46.08$45.0022.8%6.4%19.1%16.9%22.8%2.6%0.5%34.1M-1.72B-24.3M2.551.4991,946234,4141,704,0822,789,544
2023-09-29$45.17$45.0023.2%6.5%20.6%19.2%22.8%2.8%0.4%-114.3M-404.0M-24.7M0.691.41177,186122,3181,722,4122,891,032