XLE Options History — July 2024 In July 2024, XLE traded between $44.48 and $46.88. ATM implied volatility averaged 18.7%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.2% (HV 20d: 15.5%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.22.
Notable Days 2024-07-18 : Highest Volume — 713,808 contracts2024-07-31 : Largest IV drop — 11.0% change2024-07-30 : Highest IV Rank — 46.5%2024-07-31 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $45.68 $44.48 $46.88 $45.63 $46.88 Max Pain $45.75 $45.00 $46.00 $45.00 $46.00 ATM IV 18.7% 17.2% 20.8% 17.6% 18.5% Expected Move 5.4% 4.7% 6.0% 5.0% 6.0% HV 20d 15.5% 13.4% 17.2% 16.3% 17.2% HV 60d 16.4% 15.8% 17.3% 16.1% 16.6% IV Rank 27.5% 13.9% 46.5% 18.1% 26.1% IV Percentile 29.5% 9.9% 67.1% 14.7% 26.2% Term Structure -0.3% -2.2% 0.3% 0.0% -0.4% VWIV 18.7% 16.1% 21.0% 17.5% 21.0% Skew 25d 1.4% 0.1% 5.1% 1.3% 0.6% Skew 10d 2.3% 0.6% 4.0% 2.5% 2.4% Call IV 25d 18.2% 16.6% 20.1% 17.1% 20.1% Put IV 25d 19.6% 18.0% 22.0% 18.4% 20.8% Bid-Ask Spread % 18.01 6.12 31.93 25.08 27.97 Gamma HHI 0.06 0.06 0.08 0.07 0.06 Net GEX 18.3M -58.9M 141.2M 27.7M 85.2M Net DEX -226.0M -1.48B 720.2M -356.3M -908.9M Net VEX -20.3M -21.7M -18.3M -18.8M -21.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.22 7.24 0.69 0.30 Total Volume 169,084.091 72,482 713,808 118,244 260,728 Total OI 3,711,094.273 3,457,956 3,996,094 3,516,130 3,751,136
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 2024-07-01 $45.63 $45.00 17.6% 5.0% 16.3% 18.1% 17.5% 1.3% 0.0% 27.7M -356.3M -18.8M 0.69 25.08 70,048 48,196 1,282,586 2,233,544 2024-07-02 $45.44 $45.00 17.2% 4.8% 13.6% 13.9% 16.8% 0.9% 0.3% 18.0M -188.1M -19.6M 0.37 18.17 168,680 61,688 1,329,434 2,265,604 2024-07-03 $45.77 $45.00 18.8% 4.7% 13.4% 28.3% 16.1% 3.3% 0.1% 43.9M -468.1M -19.9M 1.03 31.93 40,700 41,958 1,367,246 2,299,616 2024-07-05 $44.97 $46.00 17.3% 5.0% 15.0% 15.0% 17.5% 1.5% -0.4% -30.5M 339.4M -20.0M 0.41 9.55 118,994 48,630 1,374,768 2,299,012 2024-07-08 $44.80 $46.00 18.1% 5.2% 14.9% 22.0% 17.9% 1.9% 0.3% -30.4M 414.2M -19.8M 2.31 6.12 35,154 81,118 1,423,496 2,307,988 2024-07-09 $44.48 $46.00 17.9% 5.2% 15.1% 20.3% 17.8% 1.7% 0.2% -58.9M 718.7M -20.1M 0.49 8.43 78,188 38,076 1,432,770 2,358,574 2024-07-10 $44.53 $46.00 18.1% 5.3% 14.9% 22.7% 18.8% 1.4% 0.3% -58.2M 720.2M -20.2M 2.18 15.72 38,492 84,026 1,425,154 2,379,074 2024-07-11 $45.16 $45.50 18.2% 5.1% 15.8% 23.5% 16.6% 2.3% 0.1% -4.0M 64.2M -20.5M 1.08 22.70 63,698 68,744 1,441,524 2,403,796 2024-07-12 $45.27 $45.50 17.3% 5.0% 15.1% 15.7% 17.3% 5.1% 0.3% 3.3M -81.4M -19.9M 0.70 13.13 79,886 55,876 1,449,826 2,416,182 2024-07-15 $46.11 $45.50 18.3% 5.3% 16.2% 24.1% 18.4% 0.4% -0.3% 82.1M -1.03B -18.3M 0.48 12.84 182,140 87,486 1,388,770 2,387,046 2024-07-16 $46.09 $45.50 17.9% 5.1% 15.6% 20.7% 18.2% 0.6% -0.1% 80.5M -1.00B -18.6M 0.94 21.90 56,906 53,322 1,422,158 2,405,772 2024-07-17 $46.64 $45.50 18.9% 5.4% 15.9% 29.1% 19.0% 0.1% -0.3% 133.3M -1.45B -19.3M 0.50 23.80 140,434 70,156 1,435,114 2,433,968 2024-07-18 $46.66 $46.00 19.0% 5.4% 16.0% 30.3% 19.2% 0.1% 0.1% 141.2M -1.48B -19.1M 7.24 26.86 86,644 627,164 1,459,128 2,460,452 2024-07-19 $46.11 $46.00 19.2% 5.5% 15.4% 32.5% 20.2% 0.5% 0.0% 35.1M -751.0M -21.2M 1.52 21.48 72,392 110,382 1,459,344 2,536,750 2024-07-22 $45.94 $46.00 19.2% 5.3% 15.3% 32.1% 18.5% 2.2% -0.7% 1.1M -50.6M -20.8M 0.84 9.33 56,224 47,512 1,118,016 2,339,940 2024-07-23 $45.17 $46.00 19.1% 5.5% 14.8% 31.6% 19.5% 1.1% -1.9% -44.4M 493.9M -21.4M 1.24 19.95 53,698 66,682 1,152,314 2,371,326 2024-07-24 $45.13 $46.00 20.3% 5.8% 14.8% 42.1% 20.0% 0.8% -1.4% -47.3M 562.9M -21.5M 0.80 19.30 40,168 32,314 1,160,622 2,404,728 2024-07-25 $45.94 $46.00 19.6% 5.8% 15.9% 35.4% 20.4% 1.0% -0.2% 1.8M -143.9M -21.3M 1.77 11.86 40,764 72,344 1,175,244 2,411,620 2024-07-26 $46.08 $46.00 19.3% 5.6% 15.9% 33.3% 19.6% 1.8% -0.1% 6.5M -158.1M -21.5M 0.74 11.38 49,878 36,930 1,179,804 2,459,224 2024-07-29 $45.72 $46.00 20.2% 5.9% 16.1% 40.6% 20.5% 1.8% -0.4% -13.5M 193.4M -21.7M 1.02 14.66 39,570 40,198 1,157,386 2,442,560 2024-07-30 $46.47 $46.00 20.8% 5.9% 17.0% 46.5% 20.8% 1.3% -2.2% 31.2M -409.2M -21.4M 0.22 23.95 142,374 31,288 1,181,388 2,460,070 2024-07-31 $46.88 $46.00 18.5% 6.0% 17.2% 26.1% 21.0% 0.6% -0.4% 85.2M -908.9M -21.1M 0.30 27.97 201,224 59,504 1,280,836 2,470,300
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