XLE Options History — February 2024 In February 2024, XLE traded between $41.58 and $43.20. ATM implied volatility averaged 19.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.2% (HV 20d: 17.7%). Max pain ranged from $41.00 to $41.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.30.
Notable Days 2024-02-15 : Highest Volume — 947,160 contracts2024-02-13 : Largest IV spike — 8.0% change2024-02-20 : Highest IV Rank — 15.0%2024-02-13 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $42.38 $41.58 $43.20 $41.63 $43.08 Max Pain $41.02 $41.00 $41.50 $41.00 $41.00 ATM IV 19.9% 18.9% 21.3% 20.7% 19.1% Expected Move 5.6% 5.3% 6.0% 6.0% 5.3% HV 20d 17.7% 15.7% 19.4% 18.7% 16.7% HV 60d 18.0% 17.5% 18.3% 18.3% 18.1% IV Rank 8.5% 3.2% 15.0% 12.2% 4.3% IV Percentile 13.5% 1.6% 30.6% 19.0% 3.2% Term Structure 0.3% -0.6% 3.5% 0.2% -0.3% VWIV 19.9% 18.1% 22.5% 22.5% 18.1% Skew 25d 1.5% 0.6% 2.3% 1.8% 1.2% Skew 10d 3.5% 2.0% 4.8% 4.6% 2.4% Call IV 25d 19.1% 18.4% 20.4% 20.0% 18.4% Put IV 25d 20.7% 19.4% 22.2% 21.8% 19.6% Bid-Ask Spread % 2.15 1.85 3.40 3.40 2.11 Gamma HHI 0.10 0.06 0.21 0.10 0.06 Net GEX -5.5M -81.2M 140.6M -37.8M 18.2M Net DEX 113.3M -632.1M 874.5M 733.3M -402.2M Net VEX -22.7M -24.0M -21.5M -23.0M -22.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.40 4.47 1.00 1.49 Total Volume 204,109.7 91,548 947,160 205,324 91,548 Total OI 3,865,380.4 3,679,924 4,137,292 3,679,924 4,060,242
Daily Data (20 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 2024-02-01 $41.63 $41.00 20.7% 6.0% 18.7% 12.2% 22.5% 1.8% 0.2% -37.8M 733.3M -23.0M 1.00 3.40 102,562 102,762 1,311,862 2,368,062 2024-02-02 $41.91 $41.00 19.6% 5.7% 17.9% 7.0% 19.8% 1.4% 0.2% -5.2M 381.4M -22.7M 0.40 2.52 115,134 46,160 1,345,006 2,414,832 2024-02-05 $41.81 $41.00 20.1% 5.8% 17.9% 9.3% 19.0% 1.7% 0.0% -35.6M 553.9M -22.6M 0.91 2.09 54,470 49,818 1,312,314 2,389,544 2024-02-06 $41.80 $41.00 19.9% 5.7% 17.4% 8.3% 20.3% 1.5% 0.1% -32.6M 555.8M -22.5M 0.65 1.95 108,350 70,250 1,332,004 2,390,576 2024-02-07 $41.91 $41.50 18.9% 5.5% 16.5% 3.3% 19.2% 1.2% 0.2% -13.7M 364.0M -22.1M 1.17 2.33 67,780 79,424 1,366,600 2,418,138 2024-02-08 $42.38 $41.00 18.9% 5.5% 16.2% 3.2% 19.4% 0.8% 0.2% 34.6M -192.4M -21.9M 0.65 1.97 124,290 81,252 1,385,360 2,455,724 2024-02-09 $41.61 $41.00 18.9% 5.5% 17.7% 3.4% 19.5% 0.9% 0.1% -65.1M 769.2M -22.3M 0.86 2.16 134,940 115,778 1,382,090 2,468,858 2024-02-12 $42.15 $41.00 19.5% 5.6% 17.9% 6.2% 20.4% 1.4% 0.9% -11.1M 169.1M -21.5M 0.83 1.94 113,190 93,950 1,353,612 2,466,774 2024-02-13 $41.66 $41.00 21.0% 6.0% 16.2% 13.9% 20.9% 1.8% 0.7% -64.1M 751.3M -22.2M 0.98 2.55 75,050 73,180 1,385,142 2,477,774 2024-02-14 $41.58 $41.00 20.0% 5.7% 15.7% 8.8% 20.9% 1.8% 3.5% -81.2M 874.5M -22.4M 1.69 2.11 78,646 132,996 1,415,254 2,512,860 2024-02-15 $42.73 $41.00 20.0% 5.7% 18.1% 8.6% 21.2% 1.0% 0.9% 58.8M -487.6M -21.9M 4.47 2.18 173,152 774,008 1,432,988 2,561,494 2024-02-16 $42.91 $41.00 19.9% 5.6% 18.0% 8.4% 19.9% 0.6% 1.0% 140.6M -632.1M -23.7M 0.92 1.90 81,434 75,250 1,471,994 2,665,298 2024-02-20 $42.38 $41.00 21.3% 5.8% 18.9% 15.0% 20.2% 2.3% -0.3% -45.5M 415.2M -24.0M 0.74 2.11 57,880 42,570 1,224,640 2,494,444 2024-02-21 $43.05 $41.00 21.2% 5.7% 19.4% 14.6% 20.3% 2.0% -0.5% -10.6M -184.7M -23.4M 0.79 1.87 93,728 73,874 1,240,628 2,512,842 2024-02-22 $43.20 $41.00 20.6% 5.6% 19.0% 11.9% 19.7% 2.0% -0.0% 2.8M -380.2M -23.0M 0.59 2.02 122,486 72,206 1,282,154 2,558,746 2024-02-23 $43.03 $41.00 20.0% 5.4% 18.0% 8.8% 19.0% 2.0% -0.4% 43.3M -312.7M -23.2M 1.26 1.99 62,604 78,958 1,356,106 2,585,726 2024-02-26 $43.20 $41.00 19.9% 5.5% 17.9% 8.2% 19.1% 1.8% -0.6% 11.3M -479.5M -22.2M 1.31 1.97 43,740 57,492 1,347,270 2,572,324 2024-02-27 $42.91 $41.00 19.4% 5.4% 18.1% 6.1% 18.8% 1.5% -0.2% -1.0M -224.4M -22.5M 1.69 2.00 76,382 129,166 1,366,112 2,583,682 2024-02-28 $42.77 $41.00 20.0% 5.5% 17.6% 8.7% 19.2% 1.6% -0.1% -16.0M -5.8M -23.5M 3.55 1.85 34,252 121,482 1,399,890 2,638,642 2024-02-29 $43.08 $41.00 19.1% 5.3% 16.7% 4.3% 18.1% 1.2% -0.3% 18.2M -402.2M -22.6M 1.49 2.11 36,816 54,732 1,410,630 2,649,612
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