XLE Options History — January 2024

In January 2024, XLE traded between $39.98 and $43.13. ATM implied volatility averaged 20.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.1% (HV 20d: 18.8%). Max pain ranged from $40.50 to $42.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2024-01-10: Highest Volume — 678,304 contracts
2024-01-16: Largest IV spike — 6.2% change
2024-01-17: Highest IV Rank — 23.2%
2024-01-17: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.32	$39.98	$43.13	$42.28	$41.81
Max Pain	$41.33	$40.50	$42.50	$42.50	$41.00
ATM IV	20.9%	19.5%	22.9%	20.5%	20.5%
Expected Move	6.0%	5.6%	6.6%	5.6%	6.1%
HV 20d	18.8%	17.4%	20.2%	18.1%	20.2%
HV 60d	18.8%	18.3%	19.4%	19.1%	18.3%
IV Rank	13.1%	6.4%	23.2%	11.3%	11.3%
IV Percentile	19.8%	6.0%	46.8%	13.5%	16.7%
Term Structure	0.1%	-0.4%	0.8%	0.4%	-0.4%
VWIV	21.1%	18.6%	23.3%	19.8%	21.1%
Skew 25d	1.7%	1.2%	2.3%	1.5%	1.7%
Skew 10d	4.2%	2.8%	6.2%	3.0%	4.5%
Call IV 25d	20.3%	19.1%	22.0%	20.1%	20.0%
Put IV 25d	22.0%	20.4%	24.2%	21.6%	21.6%
Bid-Ask Spread %	2.68	1.76	4.48	1.76	2.45
Gamma HHI	0.16	0.08	0.60	0.10	0.10
Net GEX	-105.9M	-451.7M	31.2M	-38.0M	-16.0M
Net DEX	1.41B	-234.4M	3.17B	760.2M	493.1M
Net VEX	-21.7M	-22.7M	-21.1M	-21.1M	-22.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.23	4.87	0.90	0.87
Total Volume	262,693.238	115,780	678,304	176,890	115,780
Total OI	4,067,149.048	3,234,622	4,725,666	4,116,500	3,630,982

Daily Data (21 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
2024-01-02	$42.28	$42.50	20.5%	5.6%	18.1%	11.3%	19.8%	1.5%	0.4%	-38.0M	760.2M	-21.1M	0.90	1.76	93,104	83,786	1,576,502	2,539,998
2024-01-03	$43.13	$42.50	20.9%	5.7%	19.3%	13.3%	18.6%	1.2%	0.2%	31.2M	-182.3M	-21.3M	1.42	1.82	87,394	123,662	1,606,064	2,556,094
2024-01-04	$42.34	$42.00	21.0%	6.2%	19.8%	14.0%	21.7%	1.3%	0.2%	-22.8M	704.9M	-21.4M	1.00	2.06	83,954	84,166	1,646,116	2,580,884
2024-01-05	$42.28	$42.00	20.4%	6.1%	18.5%	11.1%	21.2%	1.7%	0.8%	-37.1M	828.0M	-21.1M	0.95	2.21	157,170	148,784	1,657,512	2,613,080
2024-01-08	$41.80	$42.00	21.3%	6.2%	18.8%	15.5%	22.4%	2.0%	0.2%	-88.9M	1.42B	-21.2M	1.34	2.32	134,626	180,364	1,655,152	2,640,476
2024-01-09	$41.19	$42.00	21.1%	6.2%	19.2%	14.2%	22.2%	2.1%	0.4%	-145.0M	2.03B	-21.3M	1.80	2.13	90,812	163,494	1,702,012	2,685,792
2024-01-10	$40.73	$42.00	21.5%	6.3%	19.6%	16.2%	21.5%	2.3%	0.3%	-175.8M	2.56B	-21.4M	4.87	2.61	115,628	562,676	1,729,210	2,729,744
2024-01-11	$40.84	$41.50	21.1%	6.1%	19.1%	14.5%	21.4%	1.8%	0.3%	-161.4M	2.25B	-21.6M	2.00	2.55	95,370	191,152	1,778,324	2,734,046
2024-01-12	$41.31	$41.50	20.8%	6.0%	19.2%	12.9%	21.0%	1.5%	0.3%	-123.2M	1.70B	-22.0M	1.39	2.82	110,766	153,752	1,823,704	2,784,534
2024-01-16	$40.36	$41.50	22.1%	6.3%	18.0%	19.3%	22.3%	2.0%	0.0%	-199.5M	2.80B	-21.4M	2.64	4.48	72,632	191,790	1,790,734	2,802,502
2024-01-17	$39.98	$41.00	22.9%	6.6%	18.0%	23.2%	23.3%	2.1%	-0.2%	-232.4M	3.17B	-21.3M	3.21	3.30	118,744	380,836	1,816,462	2,823,956
2024-01-18	$40.00	$41.00	22.3%	6.4%	17.9%	20.2%	21.8%	2.2%	-0.0%	-245.7M	2.79B	-21.6M	1.38	3.48	126,596	174,946	1,878,276	2,777,640
2024-01-19	$40.01	$41.00	21.6%	6.2%	17.4%	16.7%	21.5%	1.9%	-0.1%	-451.7M	2.64B	-22.1M	0.98	3.02	114,700	112,842	1,934,250	2,791,416
2024-01-22	$40.23	$40.50	21.1%	6.0%	17.7%	14.1%	21.0%	1.9%	0.1%	-127.9M	2.00B	-21.8M	1.12	2.22	80,822	90,670	1,045,076	2,189,546
2024-01-23	$40.35	$40.50	19.9%	5.7%	17.8%	8.3%	19.8%	1.6%	0.2%	-117.1M	1.85B	-21.9M	0.34	2.60	191,344	65,402	1,088,880	2,221,030
2024-01-24	$40.91	$40.50	19.5%	5.7%	18.4%	6.4%	20.1%	1.4%	0.0%	-65.3M	1.23B	-22.1M	1.10	2.71	96,274	105,770	1,178,938	2,252,264
2024-01-25	$41.72	$40.50	19.8%	5.8%	19.5%	7.7%	20.2%	1.2%	-0.1%	-27.8M	365.9M	-21.9M	0.34	3.55	148,396	50,114	1,209,174	2,263,162
2024-01-26	$42.06	$40.50	19.6%	5.8%	19.6%	6.7%	19.9%	1.3%	0.1%	6.4M	54.0M	-21.9M	0.55	3.24	188,934	103,854	1,233,756	2,285,162
2024-01-29	$41.94	$41.00	20.2%	6.0%	19.2%	9.9%	21.0%	1.6%	-0.2%	-9.9M	301.5M	-22.6M	0.59	2.49	101,494	60,324	1,256,556	2,295,244
2024-01-30	$42.47	$41.00	20.1%	6.0%	19.7%	9.2%	21.2%	1.4%	0.1%	23.6M	-234.4M	-22.2M	0.23	2.53	133,108	30,526	1,277,786	2,328,094
2024-01-31	$41.81	$41.00	20.5%	6.1%	20.2%	11.3%	21.1%	1.7%	-0.4%	-16.0M	493.1M	-22.7M	0.87	2.45	61,828	53,952	1,290,262	2,340,720