XLE Options History — December 2010

In December 2010, XLE traded between $32.28 and $34.13. ATM implied volatility averaged 19.4%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.9% (HV 20d: 17.5%). Max pain ranged from $28.50 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.99.

Notable Days

  • 2010-12-16: Highest Volume — 1,121,066 contracts
  • 2010-12-31: Largest IV spike — 19.8% change
  • 2010-12-13: Highest IV Rank — 20.2%
  • 2010-12-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.23$32.28$34.13$32.28$34.13
Max Pain$30.45$28.50$32.00$29.50$32.00
ATM IV19.4%16.2%23.8%22.2%19.4%
Expected Move5.5%4.7%6.6%6.6%5.6%
HV 20d17.5%7.9%23.3%22.9%7.9%
HV 60d16.9%15.6%17.5%17.4%15.6%
IV Rank7.8%0.0%20.2%15.2%9.4%
IV Percentile17.2%0.0%58.3%39.7%13.9%
Term Structure1.9%-0.0%3.2%0.2%2.3%
VWIV20.1%16.6%25.0%25.0%20.3%
Skew 25d2.8%2.0%4.3%4.3%3.0%
Skew 10d6.7%3.5%9.8%9.1%6.9%
Call IV 25d18.2%15.1%21.2%21.2%18.2%
Put IV 25d21.1%17.7%25.4%25.4%21.2%
Bid-Ask Spread %30.904.9755.1540.304.97
Gamma HHI0.140.090.200.110.20
Net GEX44.7M19.8M63.9M39.0M19.8M
Net DEX-2.06B-3.08B-764.2M-2.44B-1.23B
Net VEX-6.2M-7.5M-5.5M-7.5M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.058.401.211.93
Total Volume131,097.63614,1541,121,066113,99448,566
Total OI2,591,512.0911,976,3663,072,5042,780,7502,159,744

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$32.28$29.5022.2%6.6%22.9%15.2%25.0%4.3%0.2%39.0M-2.44B-7.5M1.2140.3051,67862,3161,298,7841,481,966
2010-12-02$32.77$30.0021.1%6.3%23.3%11.9%24.4%3.8%-0.0%43.5M-2.81B-6.7M0.5554.2599,52454,5601,308,8421,505,194
2010-12-03$32.91$30.0020.7%6.1%21.0%10.6%21.1%3.4%0.2%49.3M-2.92B-6.7M1.2931.3036,39646,8581,349,5401,535,614
2010-12-06$33.02$28.5020.3%5.8%21.0%9.5%21.8%3.3%0.5%56.4M-3.08B-5.8M1.1630.9226,63030,7981,345,6241,538,720
2010-12-07$32.90$28.5020.9%5.9%21.1%11.3%21.8%2.2%0.1%53.1M-2.96B-6.2M0.4030.12158,45462,6941,354,7461,538,540
2010-12-08$32.74$29.0020.9%6.1%21.2%11.2%21.7%2.3%0.3%63.9M-2.88B-6.7M2.8131.0534,05895,8061,402,6741,566,410
2010-12-09$32.81$29.0021.1%5.9%20.9%12.1%23.1%2.6%0.8%51.1M-2.82B-6.4M2.4633.9716,46240,5461,371,9481,632,772
2010-12-10$32.95$29.5020.6%5.9%20.6%10.5%21.7%2.3%1.3%56.3M-2.89B-6.3M3.1742.957,91425,0561,374,2281,645,148
2010-12-13$33.23$29.5023.8%5.9%19.8%20.2%21.1%3.0%2.3%56.0M-3.07B-6.0M1.5732.1522,36835,1461,366,9201,655,966
2010-12-14$33.08$29.5023.0%5.6%19.8%17.8%19.8%3.2%2.9%55.7M-2.91B-6.4M1.3029.4641,84454,3721,369,6981,666,408
2010-12-15$32.90$29.5019.3%5.5%18.3%6.6%19.8%2.8%3.0%61.8M-2.77B-6.5M0.7629.4921,94816,7001,380,0261,692,478
2010-12-16$33.08$30.0019.1%5.5%18.4%5.8%19.3%2.2%3.0%56.1M-2.85B-5.8M0.0529.711,063,19857,8681,336,9181,694,296
2010-12-17$32.95$31.5018.4%5.3%17.2%3.7%17.5%2.8%3.1%33.8M-764.2M-5.9M0.4324.3663,84427,370739,6241,713,462
2010-12-20$33.16$31.5016.9%4.8%17.1%0.0%17.3%2.5%2.6%38.1M-956.4M-5.9M1.1033.4616,55618,192729,5521,257,110
2010-12-21$33.49$31.5017.1%4.9%17.2%0.7%18.2%2.9%1.9%42.8M-1.08B-5.5M8.4055.1512,844107,950713,5681,262,798
2010-12-22$33.61$31.5016.3%4.7%15.0%0.0%16.6%2.7%2.8%30.9M-1.03B-5.9M2.5034.6910,90827,254721,7821,352,522
2010-12-23$33.70$31.5016.4%4.7%14.1%0.5%16.8%2.0%3.2%31.1M-1.11B-5.7M3.1843.3110,50633,364723,7681,371,010
2010-12-27$33.59$32.0017.9%5.1%13.2%4.8%17.7%2.3%2.6%27.5M-987.1M-5.9M0.3019.82141,72842,196725,3781,390,206
2010-12-28$33.71$32.0018.2%5.2%13.1%5.6%18.2%2.5%2.7%43.7M-1.15B-6.1M0.8819.777,5366,618800,8021,420,128
2010-12-29$34.05$32.0017.7%5.1%13.0%4.0%18.7%2.7%3.0%45.8M-1.35B-5.8M5.2321.0215,59081,516802,6001,418,368
2010-12-30$34.08$32.0016.2%5.5%9.1%0.0%21.3%3.4%1.8%26.7M-1.28B-6.3M3.147.4911,69036,726809,4681,487,916
2010-12-31$34.13$32.0019.4%5.6%7.9%9.4%20.3%3.0%2.3%19.8M-1.23B-5.5M1.934.9716,60031,966750,1881,409,556