XLE Options History — June 2024

In June 2024, XLE traded between $44.00 and $45.78. ATM implied volatility averaged 17.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.1% (HV 20d: 18.8%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2024-06-13: Highest Volume — 238,574 contracts
2024-06-18: Largest IV drop — 5.3% change
2024-06-04: Highest IV Rank — 30.3%
2024-06-04: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.00	$44.00	$45.78	$45.19	$45.58
Max Pain	$45.37	$45.00	$46.00	$45.00	$45.00
ATM IV	17.6%	16.8%	19.0%	18.9%	16.9%
Expected Move	5.1%	4.8%	5.5%	5.4%	4.8%
HV 20d	18.8%	18.0%	19.8%	19.2%	18.1%
HV 60d	16.0%	15.6%	16.7%	15.9%	16.1%
IV Rank	18.3%	11.0%	30.3%	29.3%	11.5%
IV Percentile	11.5%	7.5%	19.8%	18.7%	7.9%
Term Structure	0.2%	-0.7%	1.2%	0.1%	0.5%
VWIV	17.9%	16.9%	19.2%	18.8%	16.9%
Skew 25d	1.2%	-0.3%	2.4%	2.3%	1.5%
Skew 10d	4.1%	0.4%	19.0%	4.2%	2.9%
Call IV 25d	17.1%	16.2%	18.1%	17.2%	16.2%
Put IV 25d	18.3%	17.2%	19.9%	19.5%	17.7%
Bid-Ask Spread %	21.15	10.40	31.39	31.39	19.61
Gamma HHI	0.07	0.05	0.08	0.06	0.08
Net GEX	-39.6M	-138.9M	63.1M	-58.8M	63.1M
Net DEX	352.9M	-359.5M	1.54B	346.5M	-359.5M
Net VEX	-20.0M	-21.4M	-18.8M	-20.9M	-19.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.21	2.91	0.89	0.64
Total Volume	154,706.947	71,610	238,574	148,322	121,638
Total OI	4,502,656.526	3,295,746	5,033,738	4,647,788	3,587,364

Daily Data (19 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
2024-06-03	$45.19	$45.00	18.9%	5.4%	19.2%	29.3%	18.8%	2.3%	0.1%	-58.8M	346.5M	-20.9M	0.89	31.39	78,464	69,858	1,750,342	2,897,446
2024-06-04	$44.84	$45.00	19.0%	5.5%	18.7%	30.3%	19.2%	2.4%	-0.0%	-77.1M	764.2M	-21.1M	0.63	28.14	140,812	89,140	1,764,990	2,922,294
2024-06-05	$44.88	$45.00	18.5%	5.2%	18.8%	25.8%	18.4%	1.9%	-0.1%	-74.5M	603.8M	-21.1M	0.53	30.61	111,598	59,524	1,818,872	2,959,448
2024-06-06	$45.12	$46.00	18.2%	5.2%	18.9%	23.6%	18.5%	1.4%	-0.1%	-61.7M	315.9M	-21.4M	0.54	21.97	77,438	41,598	1,864,252	2,980,628
2024-06-07	$45.06	$46.00	17.5%	5.0%	18.3%	17.4%	17.7%	1.4%	-0.1%	-43.5M	253.7M	-20.7M	0.78	22.45	70,288	55,002	1,897,582	2,992,316
2024-06-10	$45.34	$46.00	17.7%	5.1%	18.5%	18.6%	17.9%	0.7%	0.2%	-21.8M	-148.2M	-19.8M	0.56	18.17	76,506	42,822	1,870,040	2,961,566
2024-06-11	$45.19	$46.00	17.7%	5.2%	18.5%	18.9%	18.2%	2.0%	1.2%	-38.3M	113.0M	-20.1M	0.83	23.69	39,164	32,446	1,907,116	2,985,712
2024-06-12	$44.63	$46.00	16.8%	5.0%	18.8%	11.0%	17.6%	1.1%	0.7%	-90.7M	807.6M	-19.6M	0.55	25.56	119,356	65,770	1,916,456	3,000,938
2024-06-13	$44.45	$46.00	17.4%	5.1%	18.8%	16.6%	17.9%	0.5%	0.6%	-110.6M	977.4M	-20.2M	2.91	20.33	60,946	177,628	1,906,292	2,998,002
2024-06-14	$44.00	$45.50	17.8%	5.2%	19.0%	19.4%	18.2%	1.1%	0.7%	-138.9M	1.54B	-19.9M	0.87	20.59	78,494	67,986	1,935,674	3,011,574
2024-06-17	$44.19	$45.50	18.3%	5.3%	18.0%	24.5%	18.6%	0.9%	-0.7%	-115.1M	1.21B	-19.4M	0.47	21.28	93,636	44,128	1,903,282	2,991,186
2024-06-18	$44.30	$45.00	17.4%	5.0%	18.1%	15.9%	17.6%	0.5%	-0.6%	-94.8M	1.00B	-19.7M	0.21	20.84	97,438	20,944	1,964,896	3,003,922
2024-06-20	$45.17	$45.00	17.4%	5.0%	19.8%	16.1%	17.6%	0.3%	-0.4%	-17.0M	-320.3M	-19.6M	0.59	19.10	125,210	73,456	2,015,888	3,003,302
2024-06-21	$44.87	$45.00	16.9%	4.9%	18.4%	11.5%	17.4%	-0.3%	-0.1%	6.7M	173.2M	-19.0M	0.59	24.81	148,092	87,970	2,031,460	3,002,278
2024-06-24	$45.78	$45.00	17.5%	4.8%	19.7%	17.4%	17.2%	1.2%	-0.0%	35.4M	-242.2M	-18.8M	0.66	10.40	134,196	89,102	1,164,642	2,131,104
2024-06-25	$45.69	$45.00	17.0%	4.8%	19.7%	12.4%	17.7%	1.2%	0.4%	40.7M	-323.6M	-19.7M	1.25	10.79	58,872	73,872	1,243,094	2,164,364
2024-06-26	$45.30	$45.00	17.2%	4.8%	19.3%	14.8%	17.3%	1.4%	0.2%	19.3M	26.0M	-19.6M	0.93	14.39	54,426	50,630	1,264,394	2,210,058
2024-06-27	$45.34	$45.00	16.9%	4.8%	18.0%	12.0%	17.3%	1.4%	0.4%	25.0M	-37.1M	-19.5M	0.85	17.69	59,852	51,130	1,292,086	2,235,614
2024-06-28	$45.58	$45.00	16.9%	4.8%	18.1%	11.5%	16.9%	1.5%	0.5%	63.1M	-359.5M	-19.6M	0.64	19.61	74,094	47,544	1,335,500	2,251,864