What the grep

base ↓

s="what the s01e02 grep"
echo "$s" | grep -iEo "[0-9]{02}"
01
02

-o, –only-matching

Print only the matched (non-empty) parts of a matching line, with each such part on a separate output line.

-i, –ignore-case

Ignore case distinctions in both the PATTERN and the input files.

-E, –extended-regexp

Interpret PATTERN as an extended regular expression (ERE, see below).

better ↓

echo "$s" | grep -iEo "s[0-9]{02}|e[0-9]{02}" 
s01
e02

all caps ↓

echo "$s" | grep -iEo "s[0-9]{02}|e[0-9]{02}" | tr '[:lower:]' '[:upper:]'
S01
E02

single line ↓

echo "$s" | grep -iEo "s[0-9]{02}|e[0-9]{02}" | tr '[:lower:]' '[:upper:]' | tr -d '\n' && echo
S01E02