XLE Options History — August 2024

In August 2024, XLE traded between $43.24 and $45.64. ATM implied volatility averaged 20.4%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.1% (HV 20d: 22.5%). Max pain ranged from $44.75 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2024-08-02: Highest Volume — 225,946 contracts
2024-08-06: Largest IV drop — 22.2% change
2024-08-05: Highest IV Rank — 100.0%
2024-08-05: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.78	$43.24	$45.64	$45.38	$45.47
Max Pain	$45.08	$44.75	$46.00	$46.00	$45.00
ATM IV	20.4%	16.6%	30.8%	22.6%	17.8%
Expected Move	5.7%	4.8%	8.6%	6.6%	4.8%
HV 20d	22.5%	16.7%	23.9%	20.8%	16.7%
HV 60d	18.9%	17.7%	19.4%	17.7%	18.0%
IV Rank	33.5%	6.4%	100.0%	62.6%	14.5%
IV Percentile	47.7%	6.7%	100.0%	85.7%	19.8%
Term Structure	-0.3%	-4.8%	1.4%	-1.5%	0.3%
VWIV	20.3%	16.4%	30.8%	23.6%	17.9%
Skew 25d	3.4%	1.2%	13.1%	1.2%	3.4%
Skew 10d	6.5%	2.7%	15.7%	2.9%	6.4%
Call IV 25d	18.5%	13.5%	26.9%	21.5%	15.9%
Put IV 25d	21.9%	17.7%	34.6%	22.7%	19.3%
Bid-Ask Spread %	28.34	5.43	39.80	18.16	9.17
Gamma HHI	0.05	0.05	0.06	0.05	0.05
Net GEX	-65.2M	-104.6M	-16.1M	-32.8M	-16.1M
Net DEX	868.7M	58.4M	2.21B	466.3M	186.5M
Net VEX	-22.4M	-24.8M	-20.3M	-22.5M	-22.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.29	3.79	0.75	0.93
Total Volume	125,040.909	56,578	225,946	132,232	72,264
Total OI	3,875,849.364	3,561,346	4,034,592	3,787,752	4,034,592

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
2024-08-01	$45.38	$46.00	22.6%	6.6%	20.8%	62.6%	23.6%	1.2%	-1.5%	-32.8M	466.3M	-22.5M	0.75	18.16	75,388	56,844	1,276,472	2,511,280
2024-08-02	$44.11	$46.00	26.5%	7.5%	22.3%	96.8%	26.0%	2.7%	-4.8%	-93.8M	1.65B	-23.8M	1.13	16.16	106,230	119,716	1,300,204	2,535,298
2024-08-05	$43.24	$45.00	30.8%	8.6%	23.3%	100.0%	30.8%	7.6%	0.5%	-99.5M	2.21B	-24.8M	1.88	28.27	65,376	122,942	1,272,208	2,555,568
2024-08-06	$43.77	$45.00	24.0%	6.9%	23.7%	55.1%	23.2%	13.1%	-3.0%	-102.0M	1.74B	-23.1M	0.56	31.50	69,194	38,704	1,291,236	2,546,668
2024-08-07	$43.88	$45.00	25.1%	6.9%	23.7%	62.5%	24.8%	5.5%	-0.1%	-102.4M	1.70B	-23.0M	0.97	30.52	74,884	72,350	1,305,922	2,555,974
2024-08-08	$44.58	$45.00	23.0%	6.4%	23.9%	48.5%	22.7%	3.3%	-0.2%	-75.7M	1.12B	-23.1M	1.05	36.01	40,038	41,842	1,323,038	2,582,720
2024-08-09	$44.76	$45.00	21.0%	5.9%	23.9%	35.5%	20.9%	2.2%	-0.6%	-50.9M	990.0M	-22.6M	2.15	32.49	46,836	100,914	1,341,366	2,596,702
2024-08-12	$44.81	$45.00	21.1%	6.0%	22.9%	36.5%	20.6%	2.5%	-0.0%	-73.7M	895.1M	-22.4M	0.39	39.80	72,756	28,094	1,272,534	2,638,858
2024-08-13	$44.51	$45.00	20.6%	5.8%	23.0%	32.8%	20.1%	2.8%	-0.4%	-95.9M	1.19B	-22.2M	0.83	32.65	57,370	47,450	1,305,322	2,650,132
2024-08-14	$44.86	$45.00	18.7%	5.3%	22.7%	20.5%	19.3%	2.7%	0.1%	-83.9M	920.6M	-21.9M	1.14	36.80	44,422	50,684	1,313,776	2,667,818
2024-08-15	$45.30	$45.00	17.7%	5.1%	23.1%	14.0%	17.2%	1.9%	-0.1%	-33.6M	364.5M	-21.2M	0.67	33.67	69,376	46,818	1,323,318	2,683,028
2024-08-16	$45.27	$45.00	16.6%	4.8%	22.7%	6.4%	17.2%	1.7%	0.6%	-37.6M	404.7M	-20.8M	2.14	34.07	44,546	95,238	1,328,954	2,690,198
2024-08-19	$45.50	$45.00	16.7%	4.8%	22.8%	7.5%	16.4%	2.0%	0.9%	-33.6M	249.1M	-20.3M	0.29	35.00	122,622	35,098	1,073,078	2,488,268
2024-08-20	$44.50	$45.00	18.4%	5.3%	23.4%	18.6%	18.6%	2.4%	0.6%	-89.5M	1.02B	-22.1M	1.88	25.81	64,446	121,122	1,157,078	2,498,644
2024-08-21	$44.42	$45.00	17.9%	5.1%	23.4%	15.5%	18.9%	2.5%	0.8%	-104.6M	1.09B	-22.1M	1.44	11.32	41,920	60,304	1,179,158	2,559,036
2024-08-22	$44.52	$45.00	18.5%	5.3%	22.4%	19.0%	17.9%	2.1%	0.8%	-95.0M	969.3M	-22.0M	0.36	32.93	130,124	47,072	1,199,160	2,590,440
2024-08-23	$45.13	$44.75	17.5%	4.9%	22.9%	12.6%	17.0%	1.9%	1.4%	-47.2M	500.4M	-22.6M	0.97	28.52	45,942	44,602	1,281,494	2,612,686
2024-08-26	$45.64	$45.00	18.1%	4.9%	23.2%	16.3%	17.8%	3.2%	-0.1%	-18.9M	58.4M	-22.4M	1.04	34.30	40,004	41,430	1,264,886	2,614,164
2024-08-27	$45.17	$45.00	18.8%	5.1%	22.6%	21.1%	18.6%	3.2%	-0.4%	-53.1M	453.9M	-22.2M	1.20	35.99	25,688	30,890	1,277,676	2,630,026
2024-08-28	$44.92	$45.00	19.4%	5.3%	22.4%	25.0%	20.7%	3.5%	-0.5%	-74.4M	783.4M	-23.0M	3.79	34.97	33,466	126,782	1,287,340	2,639,984
2024-08-29	$45.48	$45.00	18.1%	4.9%	19.8%	16.5%	16.5%	2.6%	-0.5%	-19.3M	148.6M	-22.1M	1.20	5.43	35,926	43,186	1,299,750	2,712,632
2024-08-30	$45.47	$45.00	17.8%	4.8%	16.7%	14.5%	17.9%	3.4%	0.3%	-16.1M	186.5M	-22.0M	0.93	9.17	37,482	34,782	1,314,382	2,720,210