XLE Options History — December 2014

In December 2014, XLE traded between $36.72 and $40.98. ATM implied volatility averaged 28.9%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.8% (HV 20d: 33.8%). Max pain ranged from $39.50 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.50.

Notable Days

2014-12-17: Highest Volume — 624,226 contracts
2014-12-19: Largest IV drop — 21.4% change
2014-12-11: Highest IV Rank — 100.0%
2014-12-16: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.27	$36.72	$40.98	$40.09	$39.60
Max Pain	$41.81	$39.50	$45.00	$45.00	$40.00
ATM IV	28.9%	24.2%	37.6%	27.2%	27.4%
Expected Move	8.0%	6.8%	9.8%	7.2%	7.9%
HV 20d	33.8%	29.3%	39.2%	30.7%	29.8%
HV 60d	28.1%	25.6%	29.9%	25.6%	29.7%
IV Rank	72.1%	50.9%	100.0%	71.0%	62.4%
IV Percentile	95.3%	88.9%	100.0%	97.6%	93.7%
Term Structure	0.2%	-0.6%	1.8%	-0.6%	0.8%
VWIV	28.3%	24.1%	32.5%	25.7%	30.6%
Skew 25d	5.2%	2.8%	7.4%	5.4%	4.8%
Skew 10d	10.9%	6.9%	15.8%	8.9%	10.9%
Call IV 25d	27.1%	22.5%	34.9%	24.8%	25.0%
Put IV 25d	32.3%	27.0%	41.1%	30.2%	29.8%
Bid-Ask Spread %	26.72	15.19	81.43	20.40	26.62
Gamma HHI	0.12	0.09	0.17	0.17	0.12
Net GEX	-132.3M	-265.0M	-52.0M	-265.0M	-103.0M
Net DEX	3.02B	768.6M	4.80B	4.80B	1.73B
Net VEX	-11.3M	-13.2M	-9.6M	-10.0M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.52	3.81	2.06	1.09
Total Volume	249,199.727	75,324	624,226	426,966	160,232
Total OI	3,258,523.818	2,939,666	3,829,496	3,065,556	3,107,448

Daily Data (22 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
2014-12-01	$40.09	$45.00	27.2%	7.2%	30.7%	71.0%	25.7%	5.4%	-0.6%	-265.0M	4.80B	-10.0M	2.06	20.40	139,618	287,348	947,586	2,117,970
2014-12-02	$40.47	$45.00	25.6%	7.0%	30.6%	63.9%	26.0%	4.7%	0.0%	-204.5M	3.63B	-10.6M	1.19	21.39	145,424	172,874	1,032,122	1,980,902
2014-12-03	$40.98	$45.00	24.2%	6.8%	30.4%	58.3%	24.1%	4.5%	0.7%	-227.1M	3.15B	-11.7M	1.21	21.48	75,770	91,840	1,157,510	2,078,388
2014-12-04	$40.63	$44.50	25.1%	7.0%	29.6%	61.8%	26.0%	4.1%	0.4%	-196.8M	3.69B	-11.3M	3.81	32.30	31,560	120,118	1,174,422	2,113,948
2014-12-05	$40.10	$44.00	25.5%	7.2%	29.3%	63.8%	25.2%	3.6%	-0.1%	-163.7M	4.17B	-10.9M	1.98	20.21	68,558	135,526	1,162,614	2,144,266
2014-12-08	$38.48	$42.50	29.7%	7.9%	31.6%	81.2%	27.6%	4.5%	-0.6%	-171.4M	4.00B	-9.9M	2.35	17.03	80,808	189,906	1,110,226	1,829,440
2014-12-09	$38.94	$42.50	29.0%	7.9%	32.2%	78.2%	26.5%	7.3%	-0.1%	-173.4M	3.79B	-10.2M	2.36	21.16	56,046	132,408	1,152,020	1,850,762
2014-12-10	$37.65	$42.50	33.9%	8.6%	33.5%	99.1%	30.1%	7.3%	-0.1%	-158.6M	4.45B	-9.6M	1.91	15.19	157,442	301,406	1,175,232	1,896,522
2014-12-11	$37.65	$42.00	34.2%	8.8%	33.6%	100.0%	32.5%	5.4%	-0.0%	-146.8M	4.35B	-10.4M	1.63	19.05	150,690	245,472	1,278,384	1,960,992
2014-12-12	$36.97	$41.00	37.2%	9.5%	33.8%	100.0%	31.5%	4.9%	-0.4%	-131.6M	4.65B	-10.8M	1.18	19.68	136,830	161,706	1,394,404	2,056,772
2014-12-15	$36.72	$41.00	37.6%	9.7%	33.2%	100.0%	32.3%	6.7%	-0.6%	-123.6M	4.66B	-10.6M	0.56	19.01	214,178	120,432	1,441,344	2,045,748
2014-12-16	$37.08	$41.00	37.4%	9.8%	33.8%	98.9%	32.3%	7.1%	-0.4%	-122.0M	4.42B	-11.7M	1.10	18.68	106,270	116,662	1,595,634	2,120,658
2014-12-17	$38.63	$41.00	34.7%	9.2%	37.8%	89.1%	30.5%	7.4%	-0.4%	-115.6M	3.21B	-13.2M	1.28	23.11	274,212	350,014	1,636,646	2,114,450
2014-12-18	$39.24	$40.50	31.0%	8.8%	38.4%	75.5%	30.0%	6.3%	0.1%	-129.7M	2.85B	-13.0M	0.73	20.26	156,810	114,704	1,577,296	2,232,282
2014-12-19	$40.13	$41.00	24.3%	7.9%	39.2%	51.2%	29.5%	4.5%	1.8%	-88.2M	1.79B	-12.9M	1.11	81.43	118,750	131,284	1,558,520	2,270,976
2014-12-22	$39.84	$0.00	28.1%	7.9%	38.7%	65.0%	29.6%	5.2%	0.8%	-67.3M	1.40B	-12.4M	1.20	32.35	66,730	80,348	1,199,368	1,829,262
2014-12-23	$40.39	$39.50	24.3%	7.3%	39.2%	50.9%	26.3%	4.3%	0.5%	-53.3M	768.6M	-12.2M	0.52	27.34	105,708	55,140	1,215,618	1,797,676
2014-12-24	$40.06	$40.00	24.7%	7.4%	39.0%	52.5%	27.1%	4.1%	0.9%	-65.2M	1.26B	-12.1M	2.51	40.18	36,818	92,460	1,219,418	1,855,764
2014-12-26	$40.10	$40.00	24.9%	7.2%	39.0%	53.2%	26.0%	2.8%	0.0%	-52.0M	1.15B	-11.4M	1.29	33.05	32,890	42,434	1,229,974	1,918,306
2014-12-29	$40.23	$40.00	25.4%	7.4%	29.8%	55.3%	25.1%	5.2%	0.2%	-68.1M	1.16B	-11.1M	0.95	30.70	65,510	62,298	1,197,966	1,842,370
2014-12-30	$39.88	$40.00	25.5%	7.5%	29.9%	55.6%	29.0%	4.6%	0.9%	-84.2M	1.44B	-11.0M	1.03	27.26	47,884	49,276	1,204,110	1,862,208
2014-12-31	$39.60	$40.00	27.4%	7.9%	29.8%	62.4%	30.6%	4.8%	0.8%	-103.0M	1.73B	-11.1M	1.09	26.62	76,710	83,522	1,227,002	1,880,446