XLE Options History — December 2017

In December 2017, XLE traded between $34.20 and $36.30. ATM implied volatility averaged 13.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.5% (HV 20d: 13.1%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-12-21: Highest Volume — 335,990 contracts
  • 2017-12-13: Largest IV drop — 8.8% change
  • 2017-12-04: Highest IV Rank — 41.7%
  • 2017-12-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.11$34.20$36.30$34.83$36.14
Max Pain$34.90$33.00$35.00$33.00$35.00
ATM IV13.6%11.9%15.3%14.8%14.6%
Expected Move3.9%3.5%4.8%4.8%4.1%
HV 20d13.1%11.0%14.7%14.7%13.0%
HV 60d11.4%10.8%12.1%11.3%12.1%
IV Rank20.2%0.0%41.7%31.8%33.3%
IV Percentile13.8%0.0%28.6%20.6%25.4%
Term Structure0.3%-0.8%0.8%0.4%0.5%
VWIV14.1%12.4%16.9%16.9%14.7%
Skew 25d1.4%-0.0%2.3%1.9%1.1%
Skew 10d2.3%-0.6%3.9%3.7%1.5%
Call IV 25d13.2%11.6%14.9%14.2%14.3%
Put IV 25d14.6%13.2%16.3%16.1%15.3%
Bid-Ask Spread %2.891.964.752.812.88
Gamma HHI0.110.090.140.110.09
Net GEX103.1M-16.9M150.1M117.3M122.5M
Net DEX-913.2M-1.77B80.5M-1.04B-1.49B
Net VEX-10.5M-11.4M-10.0M-11.4M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.211.840.680.38
Total Volume152,942.570,398335,990143,502165,756
Total OI2,817,625.42,366,7243,139,2503,061,3702,645,244

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$34.83$33.0014.8%4.8%14.7%31.8%16.9%1.9%0.4%117.3M-1.04B-11.4M0.682.8185,31458,1881,391,6201,669,750
2017-12-04$34.85$35.0015.3%4.3%14.7%41.7%15.1%2.3%-0.8%114.7M-973.3M-11.4M0.653.1364,83641,9401,356,4741,648,884
2017-12-05$34.67$35.0014.2%4.2%12.1%27.6%14.8%2.1%0.2%108.1M-803.3M-11.0M1.342.7830,12040,2781,357,7221,654,490
2017-12-06$34.20$35.0014.1%4.1%13.0%26.6%14.2%2.2%0.3%61.3M-320.7M-10.9M1.842.6845,45483,7301,361,2461,662,060
2017-12-07$34.34$35.0013.4%3.9%13.0%17.7%13.4%2.0%0.5%79.6M-402.5M-10.8M1.332.6831,82442,4841,364,9561,688,100
2017-12-08$34.61$35.0013.0%3.8%13.3%12.4%13.2%2.1%0.4%115.6M-686.9M-10.7M0.632.0876,31447,8741,365,8161,690,468
2017-12-11$34.91$35.0012.6%3.8%13.5%7.2%14.3%1.8%0.8%146.7M-1.04B-10.5M1.272.6952,55466,9841,397,7941,690,154
2017-12-12$34.79$35.0013.1%3.8%13.4%13.7%14.1%1.8%0.2%150.1M-904.9M-10.6M1.111.9657,26663,3581,406,2601,714,682
2017-12-13$34.75$35.0011.9%3.6%11.8%0.0%12.4%1.9%0.5%133.3M-800.1M-10.4M1.214.7556,01267,5881,400,3461,730,896
2017-12-14$34.64$35.0012.1%3.6%11.0%2.7%16.1%1.7%0.4%99.8M-699.2M-10.4M0.213.26270,12456,2981,404,0821,735,168
2017-12-15$34.31$35.0012.3%3.5%11.5%4.4%12.5%1.7%0.1%-16.9M80.5M-10.2M0.802.8982,76866,5401,222,2181,747,742
2017-12-18$34.66$35.0012.7%3.7%11.9%10.1%13.0%1.4%0.4%46.3M-263.2M-10.1M0.892.8453,11047,072962,1381,404,586
2017-12-19$34.67$35.0012.7%3.7%11.8%9.8%12.9%1.1%0.3%50.8M-292.1M-10.0M1.062.5644,98447,844972,6541,403,386
2017-12-20$35.20$35.0013.3%3.8%12.7%17.2%13.6%0.9%-0.1%74.6M-707.4M-10.0M0.393.37141,11854,870977,2561,404,240
2017-12-21$35.93$35.0013.8%3.9%14.3%23.5%13.8%-0.0%0.8%107.9M-1.40B-10.2M0.312.97256,14079,8501,075,6541,413,760
2017-12-22$35.99$35.0014.0%4.0%14.3%26.3%14.0%0.1%0.3%144.9M-1.55B-10.5M0.362.68184,20867,2361,154,5381,425,790
2017-12-26$36.30$35.0014.7%4.2%13.5%35.4%14.8%0.5%0.2%143.5M-1.77B-10.4M0.683.4290,79062,1721,186,3201,433,862
2017-12-27$36.17$35.0014.3%4.1%13.7%30.1%14.4%0.7%0.5%136.7M-1.62B-10.3M1.062.9175,48280,2441,169,8801,436,022
2017-12-28$36.22$35.0014.6%4.1%13.7%33.2%14.3%0.9%0.4%124.8M-1.57B-10.4M0.892.3963,43056,6961,159,7441,466,506
2017-12-29$36.14$35.0014.6%4.1%13.0%33.3%14.7%1.1%0.5%122.5M-1.49B-10.6M0.382.88119,96845,7881,166,1001,479,144