XLE Options History — September 2024

In September 2024, XLE traded between $42.20 and $44.56. ATM implied volatility averaged 20.3%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.7% (HV 20d: 18.6%). Max pain ranged from $43.50 to $45.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.23.

Notable Days

2024-09-26: Highest Volume — 389,268 contracts
2024-09-26: Largest IV spike — 9.4% change
2024-09-10: Highest IV Rank — 47.5%
2024-09-10: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.54	$42.20	$44.56	$44.48	$43.77
Max Pain	$43.92	$43.50	$45.00	$45.00	$43.50
ATM IV	20.3%	17.9%	22.8%	20.5%	21.2%
Expected Move	5.8%	5.1%	6.3%	5.8%	6.1%
HV 20d	18.6%	17.1%	21.2%	17.1%	21.2%
HV 60d	19.2%	18.6%	20.3%	18.6%	20.0%
IV Rank	31.3%	15.5%	47.5%	32.3%	37.1%
IV Percentile	60.6%	21.4%	87.3%	67.1%	77.4%
Term Structure	0.0%	-2.3%	2.3%	-2.3%	2.3%
VWIV	20.6%	18.2%	22.3%	21.3%	21.1%
Skew 25d	3.3%	2.0%	5.7%	3.9%	3.7%
Skew 10d	7.3%	3.8%	13.8%	12.0%	7.1%
Call IV 25d	18.9%	17.0%	20.2%	18.3%	19.7%
Put IV 25d	22.2%	19.1%	25.3%	22.2%	23.4%
Bid-Ask Spread %	7.66	3.12	30.35	4.05	3.21
Gamma HHI	0.07	0.05	0.09	0.05	0.07
Net GEX	-139.5M	-246.8M	-38.6M	-110.3M	-81.0M
Net DEX	1.68B	314.1M	3.36B	1.26B	1.15B
Net VEX	-24.0M	-25.1M	-22.7M	-22.9M	-24.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.27	2.23	2.23	0.27
Total Volume	200,077.2	103,968	389,268	211,754	190,604
Total OI	4,213,829.4	3,579,102	4,769,822	4,009,858	3,823,414

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
2024-09-03	$44.48	$45.00	20.5%	5.8%	17.1%	32.3%	21.3%	3.9%	-2.3%	-110.3M	1.26B	-22.9M	2.23	4.05	65,570	146,184	1,300,878	2,708,980
2024-09-04	$43.88	$45.00	21.4%	6.2%	17.3%	38.5%	22.2%	4.1%	-0.3%	-148.3M	1.79B	-23.5M	1.89	3.58	65,080	122,864	1,329,262	2,805,998
2024-09-05	$43.63	$45.00	21.3%	6.1%	17.5%	37.7%	22.0%	4.4%	-0.4%	-160.1M	2.03B	-23.7M	1.07	14.55	88,768	94,656	1,338,434	2,837,712
2024-09-06	$42.97	$45.00	21.6%	6.2%	17.1%	39.6%	21.7%	4.0%	1.0%	-204.3M	2.65B	-24.1M	2.00	9.51	92,286	184,470	1,359,512	2,866,042
2024-09-09	$43.40	$44.50	21.1%	6.0%	17.5%	35.9%	21.8%	4.0%	-0.0%	-188.8M	2.13B	-23.8M	1.05	6.91	60,872	63,806	1,371,474	2,907,268
2024-09-10	$42.51	$44.50	22.8%	6.3%	18.8%	47.5%	21.8%	5.7%	-0.3%	-216.4M	2.98B	-24.2M	2.02	3.12	89,936	182,004	1,391,690	2,918,316
2024-09-11	$42.20	$44.00	21.1%	6.1%	18.8%	36.4%	21.0%	4.5%	-0.0%	-246.8M	3.36B	-24.5M	1.13	3.24	117,078	131,866	1,422,290	3,023,724
2024-09-12	$42.52	$43.50	20.8%	6.0%	18.8%	34.5%	22.3%	3.6%	-0.1%	-209.1M	2.81B	-24.8M	2.07	3.27	73,784	152,554	1,491,690	3,018,652
2024-09-13	$42.78	$43.50	20.1%	5.7%	18.5%	29.9%	20.5%	2.8%	-0.3%	-195.3M	2.51B	-25.1M	0.47	6.43	153,450	72,286	1,521,840	3,078,724
2024-09-16	$43.27	$43.50	20.0%	5.7%	19.1%	29.1%	20.2%	2.0%	0.5%	-167.6M	1.89B	-24.4M	0.81	6.05	57,318	46,650	1,555,574	3,075,560
2024-09-17	$43.80	$43.50	19.8%	5.7%	19.7%	27.8%	20.6%	2.1%	0.1%	-134.2M	1.33B	-24.6M	1.32	3.69	71,376	94,328	1,566,338	3,077,440
2024-09-18	$43.97	$43.50	19.9%	5.7%	18.2%	28.6%	20.4%	2.4%	-0.2%	-132.5M	1.06B	-24.3M	0.71	30.35	120,834	86,116	1,593,620	3,099,612
2024-09-19	$44.56	$43.50	18.6%	5.3%	18.9%	19.8%	18.7%	2.2%	0.1%	-72.3M	314.1M	-23.8M	1.00	3.79	89,154	88,752	1,635,586	3,089,562
2024-09-20	$44.44	$43.50	17.9%	5.1%	18.9%	15.5%	18.5%	2.0%	0.2%	-113.5M	456.1M	-23.9M	0.81	3.24	105,314	85,724	1,672,064	3,097,758
2024-09-23	$44.45	$43.50	18.4%	5.3%	18.2%	18.6%	18.2%	2.7%	-0.7%	-41.0M	665.5M	-23.1M	1.48	6.90	75,896	112,358	1,098,892	2,489,416
2024-09-24	$44.47	$43.50	18.2%	5.2%	17.6%	17.0%	18.5%	2.4%	-0.4%	-38.6M	585.6M	-22.7M	1.12	10.31	59,980	67,114	1,102,688	2,476,414
2024-09-25	$43.53	$43.50	19.3%	5.5%	18.8%	24.6%	19.2%	2.8%	0.7%	-100.8M	1.35B	-23.3M	1.39	3.19	45,458	63,270	1,125,142	2,514,548
2024-09-26	$42.65	$43.50	21.1%	6.1%	19.9%	36.5%	21.4%	3.4%	0.7%	-136.8M	2.00B	-23.6M	1.37	3.19	164,258	225,010	1,148,166	2,515,562
2024-09-27	$43.59	$43.50	21.4%	6.1%	21.1%	37.9%	21.1%	2.5%	0.2%	-91.9M	1.29B	-24.5M	0.44	24.64	135,146	59,370	1,176,624	2,650,122
2024-09-30	$43.77	$43.50	21.2%	6.1%	21.2%	37.1%	21.1%	3.7%	2.3%	-81.0M	1.15B	-24.2M	0.27	3.21	149,968	40,636	1,174,642	2,648,772