XLE Options History — December 2018

In December 2018, XLE traded between $27.00 and $33.74. ATM implied volatility averaged 30.6%, placing in the 86.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.8% (HV 20d: 29.9%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.19.

Notable Days

2018-12-21: Highest Volume — 226,672 contracts
2018-12-04: Largest IV spike — 21.5% change
2018-12-06: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.44	$27.00	$33.74	$33.74	$28.66
Max Pain	$34.40	$33.00	$35.00	$34.00	$33.00
ATM IV	30.6%	22.8%	40.6%	22.8%	31.8%
Expected Move	9.1%	7.3%	12.0%	7.5%	9.4%
HV 20d	29.9%	26.8%	34.8%	28.9%	33.9%
HV 60d	25.7%	23.3%	29.0%	23.3%	29.0%
IV Rank	86.0%	59.6%	100.0%	59.6%	67.5%
IV Percentile	96.6%	86.1%	100.0%	86.1%	97.6%
Term Structure	-0.4%	-1.6%	0.8%	-0.7%	-0.3%
VWIV	31.6%	25.9%	40.8%	26.8%	33.6%
Skew 25d	5.3%	4.2%	6.1%	4.4%	5.5%
Skew 10d	9.7%	7.6%	12.4%	8.1%	11.5%
Call IV 25d	28.3%	20.7%	37.0%	20.7%	29.2%
Put IV 25d	33.6%	25.1%	43.0%	25.1%	34.7%
Bid-Ask Spread %	3.95	2.21	13.85	2.21	2.55
Gamma HHI	0.09	0.07	0.10	0.07	0.10
Net GEX	-40.2M	-60.4M	-9.4M	-9.4M	-35.5M
Net DEX	1.56B	488.3M	2.43B	488.3M	1.56B
Net VEX	-5.7M	-7.0M	-4.4M	-6.9M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.32	3.56	0.84	0.47
Total Volume	112,707.9	55,324	226,672	104,042	59,668
Total OI	2,068,748.7	1,915,206	2,307,128	1,915,206	1,950,602

Daily Data (20 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
2018-12-03	$33.74	$34.00	22.8%	7.5%	28.9%	59.6%	26.8%	4.4%	-0.7%	-9.4M	488.3M	-6.9M	0.84	2.21	56,536	47,506	819,104	1,096,102
2018-12-04	$32.84	$34.00	27.7%	9.3%	29.7%	86.4%	32.0%	5.5%	-1.4%	-29.7M	905.7M	-6.9M	1.25	3.68	38,050	47,710	854,458	1,118,050
2018-12-05	$32.83	$34.00	28.1%	9.7%	29.7%	88.9%	33.1%	5.9%	-1.4%	-29.2M	891.6M	-7.0M	1.25	13.85	38,672	48,210	854,458	1,118,050
2018-12-06	$32.17	$35.00	30.7%	8.1%	29.1%	100.0%	28.4%	5.6%	-1.1%	-47.0M	1.24B	-6.6M	0.98	4.65	62,826	61,598	864,464	1,140,860
2018-12-07	$32.58	$35.00	26.9%	7.7%	28.8%	79.3%	27.0%	5.3%	0.1%	-33.8M	1.01B	-6.8M	0.71	3.19	43,008	30,638	901,940	1,151,232
2018-12-10	$31.54	$35.00	28.9%	8.2%	30.5%	90.4%	28.9%	5.2%	-0.2%	-49.8M	1.43B	-6.1M	0.58	3.18	74,366	43,480	840,656	1,119,454
2018-12-11	$31.57	$35.00	27.8%	8.1%	29.5%	84.5%	30.1%	5.3%	0.6%	-43.1M	1.39B	-6.1M	0.92	3.50	47,668	43,850	893,308	1,131,736
2018-12-12	$31.79	$35.00	26.4%	7.6%	28.3%	76.7%	26.1%	4.8%	0.1%	-37.2M	1.27B	-6.1M	0.40	2.69	67,578	27,010	923,040	1,145,126
2018-12-13	$31.77	$35.00	24.7%	7.3%	28.2%	67.9%	25.9%	4.2%	0.8%	-36.2M	1.30B	-6.1M	3.56	2.41	28,200	100,532	959,218	1,156,632
2018-12-14	$30.93	$35.00	26.7%	7.8%	29.2%	78.1%	26.9%	4.5%	0.6%	-56.2M	1.77B	-6.0M	3.39	2.62	28,724	97,484	967,030	1,223,906
2018-12-17	$30.29	$35.00	30.1%	8.6%	29.0%	96.8%	29.3%	5.1%	-0.6%	-55.2M	1.90B	-5.4M	1.73	3.43	20,278	35,046	933,372	1,187,222
2018-12-18	$29.86	$35.00	31.5%	9.0%	29.2%	100.0%	31.6%	5.1%	-0.4%	-58.4M	2.06B	-5.1M	1.22	3.36	67,674	82,302	939,304	1,203,152
2018-12-19	$29.38	$35.00	31.1%	8.9%	28.2%	97.9%	31.0%	4.8%	-0.0%	-60.4M	2.26B	-5.1M	0.93	4.06	98,410	91,876	983,938	1,251,688
2018-12-20	$28.51	$34.50	34.0%	9.8%	28.3%	100.0%	33.0%	5.6%	-1.6%	-50.3M	2.42B	-4.7M	1.09	3.67	89,262	96,938	1,006,488	1,262,344
2018-12-21	$28.00	$34.50	35.1%	10.2%	26.8%	100.0%	34.7%	5.8%	-1.1%	-44.6M	2.43B	-4.6M	0.32	3.53	172,350	54,322	1,041,778	1,265,350
2018-12-24	$27.00	$34.00	40.6%	12.0%	27.5%	100.0%	40.8%	6.0%	-0.7%	-29.4M	1.99B	-4.4M	1.08	4.99	39,880	42,888	935,656	1,073,202
2018-12-26	$28.41	$33.50	36.9%	10.9%	34.8%	86.2%	38.4%	6.1%	-0.6%	-33.7M	1.69B	-5.3M	1.01	4.23	47,994	48,694	948,094	1,063,330
2018-12-27	$28.55	$33.50	36.3%	11.0%	34.1%	84.1%	38.6%	6.1%	-0.5%	-31.4M	1.55B	-5.5M	0.90	3.59	44,356	40,086	971,970	1,051,350
2018-12-28	$28.43	$33.00	34.3%	10.1%	33.4%	76.7%	35.6%	5.7%	0.0%	-32.4M	1.58B	-5.1M	1.08	3.60	42,612	45,876	977,836	1,049,474
2018-12-31	$28.66	$33.00	31.8%	9.4%	33.9%	67.5%	33.6%	5.5%	-0.3%	-35.5M	1.56B	-5.0M	0.47	2.55	40,576	19,092	901,986	1,048,616