XLE Options History — December 2016

In December 2016, XLE traded between $37.41 and $39.01. ATM implied volatility averaged 17.8%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 5.1% (HV 20d: 23.0%). Max pain ranged from $34.50 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2016-12-15: Highest Volume — 322,138 contracts
  • 2016-12-02: Largest IV drop — 11.4% change
  • 2016-12-01: Highest IV Rank — 15.0%
  • 2016-12-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.04$37.41$39.01$37.41$37.56
Max Pain$35.73$34.50$37.00$35.00$37.00
ATM IV17.8%16.5%20.8%20.8%19.2%
Expected Move5.2%4.6%6.7%6.7%5.3%
HV 20d23.0%11.3%26.0%26.0%11.4%
HV 60d20.0%17.9%22.8%22.8%17.9%
IV Rank4.5%0.0%15.0%15.0%9.7%
IV Percentile6.4%0.0%28.6%28.6%21.4%
Term Structure0.5%-0.3%1.1%-0.3%0.4%
VWIV18.6%15.7%24.7%24.7%18.9%
Skew 25d2.9%2.1%4.3%4.3%3.6%
Skew 10d5.5%2.6%8.0%6.1%5.7%
Call IV 25d16.8%15.3%19.1%19.1%17.6%
Put IV 25d19.7%18.0%23.5%23.5%21.2%
Bid-Ask Spread %7.122.9618.108.734.61
Gamma HHI0.080.060.130.070.06
Net GEX45.5M5.4M71.1M71.1M5.4M
Net DEX-1.45B-2.71B-321.1M-1.92B-321.1M
Net VEX-7.6M-8.5M-6.8M-8.5M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.372.211.151.38
Total Volume141,603.90568,632322,138247,54468,632
Total OI2,347,057.5241,826,5602,806,8182,732,7941,972,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$37.41$35.0020.8%6.7%26.0%15.0%24.7%4.3%-0.3%71.1M-1.92B-8.5M1.158.73114,984132,5601,081,4741,651,320
2016-12-02$37.47$35.2518.4%5.7%25.9%6.5%20.1%3.7%0.0%47.5M-2.04B-8.4M1.657.3367,668111,5521,102,2121,704,606
2016-12-05$37.84$34.5018.1%5.2%25.9%5.4%19.1%3.2%0.4%65.9M-2.06B-7.5M1.986.5951,858102,6581,014,5521,581,496
2016-12-06$37.76$34.5018.0%5.2%25.6%5.1%20.2%3.3%0.4%63.6M-1.96B-7.8M1.938.1134,19465,9381,019,8681,591,588
2016-12-07$37.85$34.5018.1%5.3%25.5%5.6%18.7%2.9%0.5%62.7M-2.04B-7.8M1.235.6488,058107,9721,026,2681,596,554
2016-12-08$38.16$34.5018.2%5.5%25.4%5.7%19.9%2.8%0.5%70.3M-2.25B-7.8M1.154.0672,25283,4281,055,7421,641,284
2016-12-09$38.26$34.5017.7%5.2%25.4%4.2%18.4%2.6%0.5%69.1M-2.35B-7.5M1.225.4375,93092,5741,065,6301,662,604
2016-12-12$38.45$34.5017.3%5.1%24.1%2.6%18.4%3.0%0.4%63.5M-2.42B-7.1M1.056.8271,24674,7701,055,7341,635,442
2016-12-13$39.01$35.0017.5%5.1%24.3%3.2%18.7%2.3%0.3%63.8M-2.71B-6.8M1.246.8381,798101,3441,057,4241,650,994
2016-12-14$38.25$35.0018.5%5.4%24.2%6.9%18.9%2.9%0.4%56.5M-2.20B-7.4M1.688.6251,41086,1141,058,1321,670,970
2016-12-15$38.22$35.0017.6%5.1%23.9%3.6%17.7%2.1%0.4%66.3M-2.17B-7.5M0.376.69234,47487,6641,076,8101,694,752
2016-12-16$38.22$36.5016.8%4.9%23.7%0.9%17.6%2.3%0.6%67.2M-761.0M-7.4M1.112.9665,42272,692698,5321,709,894
2016-12-19$38.07$36.5016.6%4.8%23.8%0.0%17.9%2.5%0.6%33.9M-722.8M-7.4M1.865.3344,74883,134631,2401,195,320
2016-12-20$37.92$36.5016.8%4.8%23.0%0.7%17.0%2.6%0.4%19.6M-602.1M-7.6M1.566.9839,41661,626637,7981,229,758
2016-12-21$38.10$36.5017.1%4.9%23.0%1.8%17.5%2.5%0.7%20.1M-659.5M-7.6M1.9018.1036,02668,280642,8801,254,922
2016-12-22$38.23$37.0017.0%4.8%23.0%1.4%17.0%2.4%0.7%31.0M-741.9M-7.5M1.606.2431,20850,034647,4361,277,468
2016-12-23$38.14$37.0016.5%4.6%22.9%0.0%15.7%2.7%1.1%24.6M-692.8M-7.4M1.166.7838,48844,568648,6141,284,364
2016-12-27$38.23$37.0017.3%4.7%22.0%2.7%17.2%2.9%0.7%29.0M-732.8M-7.2M1.546.4033,39451,462632,9521,263,494
2016-12-28$37.89$37.0018.1%4.9%21.7%5.6%17.6%3.3%0.6%15.2M-530.0M-7.4M1.578.0138,25660,160639,4501,277,962
2016-12-29$37.76$37.0018.7%5.1%11.3%7.8%18.5%3.5%0.5%8.5M-453.2M-7.5M2.219.3429,76665,924652,5021,295,810
2016-12-30$37.56$37.0019.2%5.3%11.4%9.7%18.9%3.6%0.4%5.4M-321.1M-7.7M1.384.6128,85039,782656,6941,315,662