XLE Options History — December 2013

In December 2013, XLE traded between $42.52 and $44.20. ATM implied volatility averaged 14.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 9.9%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2013-12-19: Highest Volume — 416,682 contracts
  • 2013-12-18: Largest IV drop — 17.0% change
  • 2013-12-31: Highest IV Rank — 29.4%
  • 2013-12-12: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.29$42.52$44.20$43.28$44.20
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV14.2%12.4%15.8%14.3%14.3%
Expected Move5.6%5.5%5.8%5.7%5.7%
HV 20d9.9%8.7%12.1%12.1%10.3%
HV 60d11.9%11.7%12.1%11.9%11.9%
IV Rank10.8%5.7%29.4%10.2%29.4%
IV Percentile23.6%1.6%51.2%22.2%27.0%
Term Structure0.7%0.1%2.4%0.4%0.2%
VWIV20.7%17.6%25.4%19.8%21.4%
Skew 25d3.2%2.5%3.8%3.3%3.4%
Skew 10d6.8%5.4%9.4%6.2%6.9%
Call IV 25d13.1%11.2%14.6%13.1%13.0%
Put IV 25d16.3%14.1%18.2%16.4%16.4%
Bid-Ask Spread %6.443.118.873.116.20
Gamma HHI0.160.090.270.100.27
Net GEX-49.0M-107.1M40.9M-20.1M-102.6M
Net DEX202.7M-123.6M662.9M33.5M1.8M
Net VEX-5.3M-6.0M-4.4M-5.7M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.5812.801.453.64
Total Volume87,818.1927,044416,68238,18864,612
Total OI1,730,976.9521,485,3581,912,7581,667,6441,835,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$43.28$44.0014.3%5.7%12.1%10.2%19.8%3.3%0.4%-20.1M33.5M-5.7M1.453.1115,60822,580545,9901,121,654
2013-12-03$43.37$44.0015.0%5.7%11.2%11.8%19.8%3.8%0.2%-15.0M652.3K-5.9M3.976.1514,85258,924553,8541,113,564
2013-12-04$43.22$44.0015.0%5.8%10.7%11.7%25.0%3.5%0.7%-34.4M112.5M-5.8M0.848.8727,03622,746557,3241,158,222
2013-12-05$43.07$44.0015.7%5.7%10.8%13.4%19.6%3.6%0.1%-42.0M244.8M-6.0M1.385.5311,37415,670568,6801,161,108
2013-12-06$43.20$44.0014.4%5.7%9.8%10.4%0.0%3.5%0.8%-27.1M132.7M-5.7M2.805.9721,04658,988572,0461,166,828
2013-12-09$43.26$44.0014.2%5.6%8.7%10.0%25.4%3.3%0.2%-18.2M42.6M-5.3M1.416.6011,33616,000570,9361,152,902
2013-12-10$43.13$44.0013.9%5.6%8.7%9.3%0.0%3.4%1.0%-26.5M131.9M-5.2M2.596.178,95823,206578,3481,158,284
2013-12-11$42.52$44.0015.6%5.6%9.5%13.2%18.9%3.5%0.4%-86.6M662.9M-5.3M2.397.3130,62873,306585,1721,170,618
2013-12-12$42.73$44.0015.6%5.8%9.1%13.2%19.1%3.5%0.4%-74.5M504.6M-5.5M0.587.3335,33220,332601,1641,199,756
2013-12-13$42.56$44.0015.7%5.6%8.9%13.5%18.5%3.7%0.2%-79.8M659.1M-5.4M2.167.4814,76231,888616,7981,200,312
2013-12-16$42.94$44.0015.4%5.7%9.2%12.8%17.6%3.4%1.6%-52.5M344.9M-5.2M1.166.8423,35027,166599,2641,200,042
2013-12-17$42.70$44.0015.8%5.7%9.1%13.8%0.0%3.6%1.4%-81.4M533.1M-5.0M1.457.1913,60619,668610,2101,207,532
2013-12-18$43.27$44.0013.1%5.5%10.4%7.4%19.7%3.0%2.4%-4.6M22.0M-4.7M2.148.5726,03255,832616,5241,215,954
2013-12-19$43.44$44.0013.1%5.5%10.5%7.2%22.5%3.1%0.1%40.9M-116.2M-4.4M2.436.14121,522295,160622,7221,232,958
2013-12-20$43.34$44.0012.4%5.5%10.0%5.7%21.0%2.9%0.9%-75.4M485.7M-4.9M0.846.1439,13033,064498,3941,414,364
2013-12-23$43.38$44.0012.4%5.5%9.8%5.7%21.0%2.7%1.1%-78.3M288.0M-4.8M1.685.5719,52232,874421,7981,063,560
2013-12-24$43.62$44.0012.5%5.5%9.5%6.0%20.4%2.8%0.8%-62.1M133.4M-4.8M1.245.8418,88023,330430,5381,070,598
2013-12-26$43.94$44.0013.2%5.5%9.8%7.5%20.2%2.6%0.2%-17.0M-123.6M-4.6M12.805.9319,364247,786443,7241,087,900
2013-12-27$44.15$44.0012.8%5.5%9.5%6.6%21.3%2.5%0.6%-65.1M-79.0M-5.2M3.625.4125,70893,016457,3041,241,262
2013-12-30$43.83$44.0013.7%5.5%9.9%8.8%21.3%2.8%0.1%-107.1M241.2M-5.3M6.576.8014,53295,456465,5021,261,478
2013-12-31$44.20$44.0014.3%5.7%10.3%29.4%21.4%3.4%0.2%-102.6M1.8M-5.7M3.646.2013,91650,696473,2861,362,042