XLE Options History — December 2015

In December 2015, XLE traded between $29.38 and $34.30. ATM implied volatility averaged 29.9%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.0% (HV 20d: 29.9%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.86.

Notable Days

  • 2015-12-07: Highest Volume — 532,134 contracts
  • 2015-12-02: Largest IV spike — 14.9% change
  • 2015-12-11: Highest IV Rank — 68.4%
  • 2015-12-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.96$29.38$34.30$34.30$30.20
Max Pain$34.77$33.75$35.00$33.75$34.50
ATM IV29.9%25.2%35.3%25.2%27.3%
Expected Move8.7%7.7%10.3%8.0%7.8%
HV 20d29.9%25.8%33.6%25.8%31.9%
HV 60d29.1%27.3%29.9%27.3%27.8%
IV Rank51.4%37.0%68.4%37.0%43.4%
IV Percentile80.8%64.7%96.8%64.7%71.0%
Term Structure-0.1%-1.2%0.7%0.1%0.0%
VWIV31.1%27.0%38.0%28.3%27.5%
Skew 25d5.0%4.1%6.2%5.0%4.7%
Skew 10d9.5%7.3%12.6%9.1%9.4%
Call IV 25d27.8%22.9%32.9%22.9%25.4%
Put IV 25d32.8%27.9%38.7%27.9%30.0%
Bid-Ask Spread %9.214.7514.1212.268.09
Gamma HHI0.120.080.160.090.10
Net GEX-90.2M-146.8M-24.5M-37.0M-47.7M
Net DEX2.03B635.2M3.14B635.2M1.54B
Net VEX-5.6M-7.0M-4.4M-6.6M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.717.502.000.83
Total Volume199,70753,960532,13453,960107,538
Total OI2,366,559.8181,999,5582,764,1462,101,6962,156,732

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$34.30$33.7525.2%8.0%25.8%37.0%28.3%5.0%0.1%-37.0M635.2M-6.6M2.0012.2617,98035,980827,0921,274,604
2015-12-02$33.18$33.7529.0%9.5%27.0%48.7%33.8%5.2%-0.6%-68.8M1.25B-6.8M1.809.83117,244210,992836,9781,275,536
2015-12-03$32.55$35.0031.2%8.7%26.9%55.5%30.9%6.2%-1.2%-98.9M1.81B-7.0M1.9812.6662,378123,440897,8921,427,318
2015-12-04$32.33$35.0027.7%7.8%26.9%44.6%27.7%5.3%-0.2%-146.6M2.08B-6.6M2.1510.5568,930147,866922,6141,481,754
2015-12-07$31.16$35.0030.0%8.6%29.3%51.9%30.7%4.8%0.1%-130.2M2.67B-5.8M7.5014.1262,604469,530856,0081,461,162
2015-12-08$30.81$35.0032.3%9.1%29.4%59.0%34.0%5.1%-0.4%-138.5M2.85B-5.9M2.2810.5086,458196,766900,0641,587,416
2015-12-09$31.15$35.0031.9%9.3%29.8%57.9%30.4%5.3%0.4%-137.1M2.51B-6.3M0.7110.69179,368128,250944,7801,630,488
2015-12-10$31.39$35.0031.1%9.0%30.2%55.3%33.6%5.4%0.3%-144.6M2.35B-6.6M2.1212.5876,644162,5521,011,4901,684,954
2015-12-11$30.23$35.0035.3%10.3%29.3%68.4%38.0%5.8%0.7%-135.6M3.11B-6.0M3.1813.4167,224213,9101,040,1321,724,014
2015-12-14$30.36$35.0034.9%10.0%29.5%67.1%36.0%5.6%-0.3%-144.6M2.93B-6.0M2.708.7259,042159,1221,030,6601,704,112
2015-12-15$31.18$35.0032.1%9.2%28.9%58.5%31.9%5.4%-0.8%-146.8M2.26B-6.0M1.625.6087,384141,4461,055,9281,628,648
2015-12-16$30.99$35.0030.3%8.7%28.9%52.9%32.1%5.0%0.0%-144.3M2.35B-5.7M1.3211.6759,52878,3701,092,0021,567,452
2015-12-17$30.28$35.0030.3%8.7%28.6%52.8%31.3%4.5%-0.4%-136.6M2.86B-5.1M1.178.3962,58872,9661,109,2461,591,594
2015-12-18$29.48$35.0032.0%9.2%29.3%58.0%32.6%4.4%-0.6%-59.5M3.14B-4.9M1.394.7568,14094,3981,128,5841,593,874
2015-12-21$29.38$35.0031.1%9.0%29.3%55.2%32.4%4.5%-0.0%-55.3M1.83B-4.7M0.776.6168,55252,884866,3081,133,250
2015-12-22$29.75$35.0028.3%8.2%29.7%46.7%28.9%4.2%0.3%-55.7M1.68B-4.7M0.756.4278,06058,684892,9501,138,396
2015-12-23$31.05$35.0026.8%7.8%33.2%42.0%28.3%4.1%0.2%-24.5M1.13B-5.2M0.818.44134,902108,752933,6221,138,088
2015-12-24$30.79$34.5026.7%7.7%33.2%41.5%27.0%4.6%0.4%-24.5M1.18B-5.3M1.135.8352,64259,692987,4821,165,316
2015-12-28$30.22$34.5028.5%8.3%33.5%47.2%31.3%4.8%0.2%-33.2M1.49B-4.7M2.645.9248,752128,592960,0901,141,766
2015-12-29$30.39$34.5027.3%7.9%33.6%43.5%29.0%4.7%0.2%-28.2M1.42B-4.7M0.967.7156,84454,450959,5261,149,920
2015-12-30$30.04$34.5027.6%7.9%33.2%44.4%28.3%4.9%0.2%-45.4M1.60B-4.5M1.217.8032,60039,510985,7161,168,758
2015-12-31$30.20$34.5027.3%7.8%31.9%43.4%27.5%4.7%0.0%-47.7M1.54B-4.4M0.838.0958,81448,724987,8781,168,854