XLE Options History — October 2024 In October 2024, XLE traded between $43.92 and $46.75. ATM implied volatility averaged 23.7%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.6% (HV 20d: 21.1%). Max pain ranged from $43.50 to $45.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.63.
Notable Days 2024-10-02 : Highest Volume — 608,274 contracts2024-10-03 : Largest IV spike — 10.3% change2024-10-03 : Highest IV Rank — 69.5%2024-10-03 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $45.32 $43.92 $46.75 $44.83 $44.41 Max Pain $44.87 $43.50 $45.00 $43.50 $45.00 ATM IV 23.7% 22.1% 26.2% 22.3% 23.7% Expected Move 7.0% 6.4% 7.7% 6.7% 7.6% HV 20d 21.1% 16.6% 23.6% 21.7% 16.6% HV 60d 20.7% 18.6% 21.8% 20.6% 18.7% IV Rank 53.5% 42.6% 69.5% 44.4% 53.1% IV Percentile 91.1% 86.1% 98.0% 86.9% 94.4% Term Structure -0.1% -1.1% 1.3% 0.9% 0.5% VWIV 24.6% 22.6% 27.2% 23.7% 26.9% Skew 25d 0.9% -0.2% 1.7% 1.7% 0.9% Skew 10d 2.1% 1.2% 3.7% 3.7% 2.0% Call IV 25d 23.4% 21.3% 26.8% 21.7% 23.2% Put IV 25d 24.3% 22.2% 27.2% 23.4% 24.1% Bid-Ask Spread % 12.61 2.40 26.07 12.57 7.55 Gamma HHI 0.06 0.05 0.07 0.06 0.06 Net GEX 46.3M -64.2M 223.2M -16.6M -4.8M Net DEX -372.2M -1.94B 1.22B 92.0M 662.3M Net VEX -26.5M -28.6M -24.9M -24.9M -26.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.14 1.71 0.39 1.23 Total Volume 252,012.261 60,050 608,274 457,080 576,986 Total OI 4,636,232.957 3,847,146 4,926,994 3,847,146 4,749,084
Daily Data (23 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 2024-10-01 $44.83 $43.50 22.3% 6.7% 21.7% 44.4% 23.7% 1.7% 0.9% -16.6M 92.0M -24.9M 0.39 12.57 329,928 127,152 1,219,796 2,627,350 2024-10-02 $45.33 $43.50 23.7% 7.2% 21.4% 53.4% 26.0% 1.2% 0.9% 21.8M -341.4M -25.7M 0.18 4.40 514,552 93,722 1,338,864 2,690,098 2024-10-03 $46.10 $45.00 26.2% 7.7% 21.8% 69.5% 27.2% 0.4% 1.2% 89.6M -1.39B -27.6M 0.59 19.03 366,072 214,510 1,653,258 2,727,338 2024-10-04 $46.51 $45.00 25.2% 7.4% 20.8% 63.2% 25.9% 0.6% 1.3% 130.3M -1.94B -28.0M 1.71 3.14 196,876 337,228 1,807,200 2,774,968 2024-10-07 $46.75 $45.00 25.8% 7.5% 20.7% 67.4% 26.5% 1.0% -0.1% 114.5M -1.92B -28.0M 0.48 3.73 301,048 145,770 1,789,254 2,807,388 2024-10-08 $45.55 $45.00 25.9% 7.4% 21.6% 68.1% 25.8% 1.2% -0.3% 52.2M -696.0M -28.6M 0.99 3.25 126,154 125,202 1,933,560 2,815,780 2024-10-09 $45.83 $45.00 25.2% 7.2% 21.3% 63.5% 25.2% 1.0% 0.1% 93.1M -1.06B -28.1M 0.52 3.55 92,268 47,876 1,965,098 2,848,706 2024-10-10 $46.25 $45.00 25.1% 7.1% 21.3% 62.2% 25.2% 1.2% -0.3% 147.3M -1.61B -27.9M 0.48 2.40 105,568 50,288 2,003,244 2,862,302 2024-10-11 $46.48 $45.00 24.7% 7.1% 21.3% 60.1% 25.9% 1.2% -0.1% 223.2M -1.93B -27.7M 1.48 22.79 71,202 105,078 2,048,984 2,878,010 2024-10-14 $46.23 $45.00 24.1% 6.9% 21.4% 56.3% 24.1% 1.2% -0.7% 152.5M -1.47B -26.9M 0.69 25.47 51,244 35,616 1,966,464 2,859,266 2024-10-15 $45.02 $45.00 23.3% 6.7% 23.6% 51.0% 23.4% 1.2% -1.1% 16.6M 51.4M -26.4M 0.27 26.07 278,976 74,754 1,971,208 2,875,622 2024-10-16 $45.17 $45.00 23.3% 6.7% 23.6% 50.8% 23.2% 1.4% -0.5% 39.8M -116.0M -25.8M 0.50 23.61 64,606 32,324 1,996,796 2,896,562 2024-10-17 $45.31 $45.00 22.9% 6.6% 23.2% 48.4% 23.1% 0.9% -0.6% 56.2M -277.1M -26.0M 0.48 5.61 72,692 35,150 1,910,660 2,909,566 2024-10-18 $45.14 $45.00 22.6% 6.4% 23.2% 45.8% 22.6% 0.6% -0.4% 27.6M -70.1M -25.6M 0.55 22.28 119,350 65,242 1,936,530 2,921,482 2024-10-21 $45.13 $45.00 23.4% 6.5% 23.2% 51.6% 23.1% 0.5% -0.8% 15.6M 60.5M -25.5M 0.32 19.26 126,008 40,230 1,751,874 2,687,200 2024-10-22 $45.14 $45.00 22.9% 6.6% 23.2% 48.4% 23.4% -0.2% -0.8% 21.4M -33.0M -26.3M 0.38 2.63 64,446 24,622 1,828,392 2,704,774 2024-10-23 $44.81 $45.00 22.8% 6.6% 21.9% 47.3% 23.4% 0.7% -0.8% -4.0M 313.4M -26.1M 0.35 23.55 118,376 41,004 1,853,284 2,716,264 2024-10-24 $44.89 $45.00 22.5% 6.7% 20.3% 45.2% 23.6% 0.7% -0.9% 5.8M 188.7M -26.2M 0.40 15.44 42,994 17,056 1,908,810 2,723,112 2024-10-25 $44.97 $45.00 23.1% 7.0% 19.0% 49.2% 24.4% 0.6% -0.7% 462.4K 132.2M -26.2M 0.14 3.22 197,860 28,442 1,914,096 2,728,702 2024-10-28 $44.58 $45.00 22.1% 6.8% 19.3% 42.6% 24.0% 0.9% 0.8% -3.4M 522.1M -25.2M 0.84 3.07 63,386 53,180 1,945,328 2,702,654 2024-10-29 $43.92 $45.00 22.1% 7.0% 18.0% 43.1% 24.2% 1.2% 0.7% -64.2M 1.22B -25.2M 0.42 18.53 90,730 38,538 1,960,886 2,714,046 2024-10-30 $44.06 $45.00 22.4% 7.0% 17.5% 45.1% 24.5% 1.1% -0.3% -50.7M 1.06B -25.3M 1.02 18.88 45,442 46,534 1,986,214 2,723,284 2024-10-31 $44.41 $45.00 23.7% 7.6% 16.6% 53.1% 26.9% 0.9% 0.5% -4.8M 662.3M -26.0M 1.23 7.55 258,486 318,500 2,002,518 2,746,566
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