XLE Options History — March 2024

In March 2024, XLE traded between $43.08 and $47.23. ATM implied volatility averaged 17.6%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.9% (HV 20d: 13.8%). Max pain ranged from $41.00 to $44.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.03.

Notable Days

2024-03-13: Highest Volume — 384,292 contracts
2024-03-20: Largest IV drop — 7.6% change
2024-03-06: Highest IV Rank — 7.9%
2024-03-06: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.19	$43.08	$47.23	$43.56	$47.23
Max Pain	$42.96	$41.00	$44.25	$41.00	$44.25
ATM IV	17.6%	15.6%	19.8%	19.3%	16.0%
Expected Move	5.0%	4.3%	5.8%	5.3%	4.3%
HV 20d	13.8%	10.4%	17.7%	16.9%	11.1%
HV 60d	17.0%	16.3%	18.2%	18.2%	16.5%
IV Rank	2.7%	0.0%	7.9%	5.4%	2.4%
IV Percentile	3.2%	0.0%	13.5%	5.2%	1.2%
Term Structure	0.3%	-0.0%	0.7%	-0.0%	0.6%
VWIV	17.7%	15.1%	20.0%	18.8%	15.1%
Skew 25d	0.4%	-0.2%	1.0%	1.0%	0.7%
Skew 10d	1.1%	-0.3%	2.9%	1.7%	1.7%
Call IV 25d	17.5%	15.5%	19.7%	18.8%	15.5%
Put IV 25d	17.9%	15.7%	20.2%	19.8%	16.2%
Bid-Ask Spread %	3.75	2.31	6.09	2.31	3.16
Gamma HHI	0.07	0.05	0.10	0.08	0.10
Net GEX	77.6M	1.8M	112.9M	66.9M	112.9M
Net DEX	-1.90B	-3.22B	-344.4M	-914.9M	-3.22B
Net VEX	-20.9M	-22.8M	-18.7M	-22.4M	-19.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.19	2.16	0.47	1.05
Total Volume	188,947.3	60,496	384,292	232,956	197,802
Total OI	3,997,827.7	3,443,362	4,481,648	4,077,164	3,936,430

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
2024-03-01	$43.56	$41.00	19.3%	5.3%	16.9%	5.4%	18.8%	1.0%	-0.0%	66.9M	-914.9M	-22.4M	0.47	2.31	158,418	74,538	1,416,906	2,660,258
2024-03-04	$43.08	$42.00	19.5%	5.6%	17.4%	6.4%	19.9%	0.9%	0.2%	1.8M	-344.4M	-22.7M	1.57	3.37	59,410	93,026	1,428,902	2,662,276
2024-03-05	$43.27	$42.00	19.8%	5.7%	17.4%	7.7%	20.0%	0.6%	0.1%	22.2M	-601.3M	-22.6M	1.02	3.81	95,350	97,282	1,454,706	2,661,790
2024-03-06	$43.58	$42.00	19.8%	5.8%	17.5%	7.9%	20.0%	0.4%	0.2%	35.4M	-901.2M	-22.3M	1.75	4.12	91,746	160,798	1,448,142	2,688,698
2024-03-07	$43.97	$42.00	19.7%	5.7%	17.7%	7.2%	20.0%	0.2%	0.1%	64.2M	-1.24B	-22.8M	0.96	3.37	88,722	85,554	1,494,098	2,735,626
2024-03-08	$43.98	$42.50	19.2%	5.6%	17.4%	4.7%	19.8%	0.4%	0.2%	82.7M	-1.38B	-22.4M	2.16	3.85	49,320	106,700	1,519,616	2,754,582
2024-03-11	$44.45	$42.50	19.1%	5.5%	15.9%	4.3%	19.5%	0.3%	0.1%	87.3M	-1.81B	-21.4M	1.33	3.22	67,226	89,424	1,500,588	2,780,864
2024-03-12	$44.56	$42.50	17.9%	5.2%	15.5%	0.0%	18.6%	0.4%	0.3%	97.9M	-1.88B	-21.5M	1.90	3.01	48,966	93,154	1,516,508	2,818,226
2024-03-13	$45.19	$42.50	17.7%	5.1%	15.0%	0.0%	18.0%	-0.2%	0.2%	108.2M	-2.57B	-20.2M	1.10	5.91	183,118	201,174	1,525,520	2,848,502
2024-03-14	$45.50	$43.00	17.3%	5.0%	14.8%	0.0%	17.7%	-0.0%	0.2%	103.0M	-2.77B	-20.9M	0.98	4.99	114,114	112,400	1,576,268	2,888,448
2024-03-15	$45.77	$43.00	17.2%	5.0%	12.1%	0.0%	17.5%	0.2%	0.2%	89.3M	-3.02B	-19.7M	0.38	5.74	220,528	84,222	1,567,528	2,914,120
2024-03-18	$45.58	$43.50	17.4%	5.0%	12.4%	1.2%	17.8%	0.9%	0.4%	50.3M	-1.55B	-20.1M	0.77	2.62	97,460	75,196	1,157,852	2,285,510
2024-03-19	$46.00	$43.50	17.3%	5.0%	11.2%	0.4%	17.5%	0.4%	0.4%	64.9M	-1.86B	-20.5M	0.63	2.64	70,498	44,582	1,205,058	2,322,478
2024-03-20	$46.09	$43.50	16.0%	4.6%	10.4%	0.0%	16.3%	0.4%	0.5%	79.0M	-1.99B	-20.1M	0.93	3.88	76,574	71,014	1,232,344	2,341,312
2024-03-21	$46.37	$44.00	15.8%	4.5%	10.4%	0.0%	16.0%	0.1%	0.4%	99.2M	-2.38B	-19.0M	0.68	2.67	65,072	44,372	1,271,322	2,379,476
2024-03-22	$46.20	$44.00	15.7%	4.4%	10.4%	0.0%	15.6%	0.2%	0.6%	78.0M	-2.16B	-20.1M	0.48	2.69	40,934	19,562	1,289,184	2,399,030
2024-03-25	$46.64	$43.50	16.3%	4.6%	10.6%	3.7%	16.1%	0.0%	0.4%	103.3M	-2.61B	-18.7M	0.82	6.09	74,978	61,662	1,296,762	2,385,418
2024-03-26	$46.27	$44.00	16.0%	4.4%	10.7%	1.8%	15.6%	0.2%	0.5%	92.9M	-2.28B	-20.0M	1.38	3.89	112,482	155,216	1,334,872	2,427,922
2024-03-27	$46.53	$44.00	15.6%	4.3%	10.4%	0.0%	15.2%	0.3%	0.7%	112.4M	-2.55B	-19.9M	0.19	3.62	164,842	31,510	1,395,222	2,434,190
2024-03-28	$47.23	$44.25	16.0%	4.3%	11.1%	2.4%	15.1%	0.7%	0.6%	112.9M	-3.22B	-19.9M	1.05	3.16	96,262	101,540	1,474,868	2,461,562