XLE Options History — October 2023

In October 2023, XLE traded between $42.28 and $45.86. ATM implied volatility averaged 25.3%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.4% (HV 20d: 23.9%). Max pain ranged from $43.50 to $45.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.08.

Notable Days

2023-10-04: Highest Volume — 531,700 contracts
2023-10-13: Largest IV spike — 8.2% change
2023-10-27: Highest IV Rank — 39.9%
2023-10-04: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.99	$42.28	$45.86	$44.26	$42.51
Max Pain	$43.98	$43.50	$45.00	$45.00	$44.00
ATM IV	25.3%	23.8%	26.8%	24.8%	23.8%
Expected Move	7.3%	6.8%	7.8%	7.1%	6.8%
HV 20d	23.9%	20.3%	25.6%	20.6%	23.5%
HV 60d	19.4%	18.4%	19.9%	18.4%	19.9%
IV Rank	29.9%	22.4%	39.9%	25.1%	27.7%
IV Percentile	38.3%	32.5%	45.2%	35.7%	32.5%
Term Structure	-0.0%	-0.6%	0.7%	-0.1%	0.2%
VWIV	25.6%	23.6%	27.2%	24.8%	24.2%
Skew 25d	2.2%	1.5%	3.7%	2.8%	2.4%
Skew 10d	4.3%	2.6%	6.8%	5.3%	4.4%
Call IV 25d	24.4%	23.0%	25.6%	23.7%	23.0%
Put IV 25d	26.7%	25.2%	28.6%	26.4%	25.3%
Bid-Ask Spread %	1.96	1.50	2.51	1.60	2.13
Gamma HHI	0.06	0.05	0.09	0.08	0.07
Net GEX	-30.0M	-209.9M	170.4M	-115.7M	-114.1M
Net DEX	56.4M	-2.38B	2.20B	499.9M	1.37B
Net VEX	-25.4M	-26.6M	-24.4M	-25.0M	-24.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.37	2.36	2.00	0.87
Total Volume	261,316.273	132,582	531,700	350,168	169,492
Total OI	4,733,754	4,402,598	5,382,500	4,465,004	4,559,480

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
2023-10-02	$44.26	$45.00	24.8%	7.1%	20.6%	25.1%	24.8%	2.8%	-0.1%	-115.7M	499.9M	-25.0M	2.00	1.60	116,836	233,332	1,706,518	2,758,486
2023-10-03	$44.23	$45.00	25.8%	7.4%	20.3%	29.1%	25.7%	3.2%	-0.2%	-101.4M	414.6M	-25.3M	2.36	1.50	86,462	204,444	1,741,108	2,772,010
2023-10-04	$42.73	$45.00	26.8%	7.8%	23.4%	33.0%	27.0%	3.5%	-0.1%	-199.2M	2.17B	-25.3M	1.56	1.54	207,890	323,810	1,769,262	2,847,274
2023-10-05	$42.63	$44.00	26.4%	7.6%	23.3%	31.4%	26.3%	3.7%	0.1%	-209.9M	2.20B	-25.2M	1.98	1.66	123,280	244,604	1,836,882	2,882,742
2023-10-06	$42.97	$44.00	25.2%	7.2%	23.3%	26.6%	24.7%	3.3%	-0.2%	-115.1M	1.56B	-25.2M	1.22	1.87	115,000	140,382	1,880,088	2,890,216
2023-10-09	$44.24	$43.50	26.1%	7.4%	25.6%	30.3%	26.1%	2.0%	-0.2%	-20.5M	-244.4M	-25.0M	0.71	1.71	182,088	129,236	1,794,238	2,736,980
2023-10-10	$44.39	$43.50	24.8%	7.1%	23.9%	25.0%	24.4%	2.1%	-0.0%	-12.8M	-389.0M	-24.7M	0.46	1.70	260,874	119,428	1,833,926	2,778,832
2023-10-11	$43.80	$43.50	24.5%	7.0%	24.1%	24.1%	24.9%	2.1%	-0.2%	-55.0M	236.1M	-25.5M	1.72	1.67	93,430	160,618	1,994,704	2,855,102
2023-10-12	$43.86	$43.50	24.1%	6.9%	23.6%	22.4%	23.6%	2.3%	-0.2%	-61.9M	201.0M	-25.4M	0.75	1.72	114,308	85,396	2,033,688	2,907,490
2023-10-13	$44.73	$43.50	26.0%	7.5%	24.6%	29.9%	26.0%	1.5%	-0.1%	48.7M	-969.5M	-26.4M	0.53	1.94	217,208	114,388	2,071,948	2,929,048
2023-10-16	$45.11	$43.50	24.3%	7.0%	24.9%	23.5%	24.3%	1.8%	-0.5%	81.3M	-1.43B	-24.9M	0.78	1.88	80,562	63,168	2,100,208	2,884,918
2023-10-17	$45.52	$43.50	24.2%	6.9%	25.0%	22.9%	24.0%	1.6%	-0.4%	124.9M	-1.91B	-24.6M	0.42	1.96	155,624	64,836	2,124,212	2,901,580
2023-10-18	$45.80	$44.00	25.4%	7.3%	24.9%	29.0%	26.6%	1.5%	-0.6%	170.4M	-2.35B	-25.0M	0.76	2.33	155,426	117,560	2,176,130	2,912,244
2023-10-19	$45.86	$44.00	25.9%	7.4%	24.3%	32.8%	26.2%	1.7%	-0.4%	169.1M	-2.38B	-25.1M	0.76	2.26	177,980	135,580	2,213,484	2,955,474
2023-10-20	$45.11	$44.00	25.9%	7.5%	25.1%	34.1%	26.4%	1.8%	-0.6%	134.1M	-1.32B	-26.6M	1.21	2.51	110,718	133,500	2,271,840	3,110,660
2023-10-23	$44.36	$44.00	25.4%	7.4%	25.5%	32.6%	26.0%	1.9%	0.5%	3.0M	-376.4M	-26.0M	0.70	2.12	101,684	71,078	1,832,256	2,570,342
2023-10-24	$43.92	$44.00	24.9%	7.3%	25.6%	32.2%	25.8%	2.1%	0.7%	-25.3M	55.5M	-26.0M	0.90	2.09	81,572	73,494	1,842,074	2,593,796
2023-10-25	$43.72	$44.00	25.6%	7.6%	23.7%	35.7%	26.6%	2.0%	0.7%	-36.7M	240.6M	-26.1M	0.37	2.11	152,398	56,192	1,880,112	2,626,126
2023-10-26	$43.33	$44.00	25.7%	7.6%	23.7%	36.9%	26.6%	1.9%	0.7%	-57.8M	624.9M	-25.8M	1.42	2.34	65,638	93,108	1,865,672	2,635,920
2023-10-27	$42.28	$44.00	26.3%	7.7%	24.2%	39.9%	27.2%	2.0%	0.6%	-161.4M	1.64B	-25.5M	0.83	2.34	155,082	128,670	1,878,566	2,669,338
2023-10-30	$42.45	$44.00	25.2%	7.3%	23.5%	34.5%	26.1%	2.4%	-0.1%	-104.8M	1.40B	-25.0M	1.48	2.18	53,392	79,190	1,848,966	2,668,648
2023-10-31	$42.51	$44.00	23.8%	6.8%	23.5%	27.7%	24.2%	2.4%	0.2%	-114.1M	1.37B	-24.4M	0.87	2.13	90,590	78,902	1,866,574	2,692,906