XLE Options History — December 2019

In December 2019, XLE traded between $28.98 and $31.00. ATM implied volatility averaged 17.7%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.7% (HV 20d: 16.9%). Max pain ranged from $29.50 to $30.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2019-12-19: Highest Volume — 528,204 contracts
  • 2019-12-30: Largest IV spike — 8.5% change
  • 2019-12-03: Highest IV Rank — 23.9%
  • 2019-12-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.21$28.98$31.00$29.50$30.01
Max Pain$30.03$29.50$30.50$29.50$29.61
ATM IV17.7%16.1%21.0%19.6%17.9%
Expected Move5.2%4.6%7.1%6.5%5.1%
HV 20d16.9%14.9%20.3%19.0%20.3%
HV 60d19.9%18.2%21.0%20.5%19.5%
IV Rank11.5%4.7%23.9%18.4%18.2%
IV Percentile22.2%3.2%65.9%50.4%26.6%
Term Structure0.2%-0.3%0.7%-0.1%0.5%
VWIV18.2%16.0%23.8%21.8%18.6%
Skew 25d2.4%1.4%3.4%3.1%2.7%
Skew 10d3.9%2.1%5.4%5.1%4.7%
Call IV 25d16.6%15.2%19.1%17.9%16.9%
Put IV 25d18.9%17.0%22.5%21.0%19.7%
Bid-Ask Spread %3.961.5418.501.982.11
Gamma HHI0.140.100.240.210.12
Net GEX35.5M-64.1M112.0M-43.2M83.2M
Net DEX-156.1M-786.7M1.01B559.8M-526.7M
Net VEX-7.0M-8.0M0-7.9M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.064.021.504.02
Total Volume131,975.14353,718528,20457,148112,408
Total OI2,770,55003,400,0002,705,0042,745,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$29.50$29.5019.6%6.5%19.0%18.4%21.8%3.1%-0.1%-43.2M559.8M-7.9M1.501.9822,90434,2441,163,4761,541,528
2019-12-03$28.98$29.5021.0%7.1%15.8%23.9%23.1%3.3%-0.1%-64.1M1.01B-7.9M0.581.6695,76855,2361,169,8941,558,266
2019-12-04$29.48$29.5020.4%6.9%17.0%21.4%23.8%3.4%-0.2%-34.0M517.8M-8.0M0.951.5452,88050,0561,226,9561,583,216
2019-12-05$29.34$30.0019.3%5.5%14.9%17.0%19.8%2.8%0.1%-42.6M675.6M-7.9M0.932.3932,62830,4121,250,1001,609,364
2019-12-06$29.92$30.0017.8%5.1%15.8%11.3%17.8%2.6%0.1%1.0M24.1M-7.7M0.821.8786,32870,5061,270,0161,625,952
2019-12-09$29.83$30.0018.7%5.3%15.8%14.9%18.2%2.8%-0.3%-9.5M181.0M-7.6M0.661.7048,13031,7541,260,0381,623,534
2019-12-10$29.90$30.0018.1%5.2%15.7%12.6%19.0%2.8%0.2%-4.5M124.7M-7.7M1.511.9822,13233,4981,284,5221,645,422
2019-12-11$29.86$30.0018.4%5.2%15.6%13.6%18.0%2.8%-0.1%-9.5M170.7M-7.5M1.551.9823,56636,6001,291,0081,665,930
2019-12-12$30.47$30.0017.5%5.1%17.1%10.4%18.1%2.7%0.3%47.5M-527.4M-7.2M0.692.1792,87264,1361,299,4721,697,234
2019-12-13$30.16$30.0016.5%4.8%17.5%6.3%16.6%2.1%0.7%44.4M-224.0M-7.1M0.672.1956,86838,2001,336,3141,711,894
2019-12-16$30.61$30.0016.1%4.6%18.2%4.7%16.1%1.7%0.1%76.8M-753.9M-6.3M0.881.8153,52047,3081,306,2361,707,046
2019-12-17$30.58$30.0016.2%4.7%17.7%5.1%16.3%1.6%0.1%83.2M-655.0M-6.3M1.061.7390,56895,5941,313,6221,734,628
2019-12-18$30.75$30.0016.7%4.8%17.0%7.1%16.8%1.4%0.1%64.3M-786.7M-6.5M0.241.87256,56261,5121,340,3901,800,146
2019-12-19$30.66$30.0016.8%4.8%16.9%7.5%16.3%1.4%-0.0%112.0M-755.6M-7.1M0.066.83497,99230,2121,565,1641,834,836
2019-12-20$30.67$30.5016.5%4.8%16.2%6.3%16.7%1.8%-0.3%61.0M-151.5M-7.8M1.297.0841,58053,5161,336,6201,845,532
2019-12-23$31.00$30.5016.4%4.7%16.5%6.0%16.5%2.2%0.7%88.1M-544.4M-7.5M0.616.3776,10846,1021,133,0701,530,352
2019-12-24$30.95$30.5016.1%4.6%16.6%4.8%16.0%1.9%0.6%95.4M-578.3M-7.6M0.584.6536,79421,5061,171,1421,538,100
2019-12-26$30.97$30.5016.2%4.7%15.9%6.1%16.1%2.0%0.5%101.4M-582.2M-7.3M0.894.7728,35825,3601,171,8541,552,088
2019-12-27$30.88$30.5016.8%4.9%16.0%8.8%17.2%1.9%0.3%94.2M-454.9M-7.5M0.4718.5065,87231,2741,184,5761,556,528
2019-12-30$29.83$0.0018.2%5.3%20.2%17.0%19.5%2.6%0.4%0000.938.0662,55058,06400
2019-12-31$30.01$29.6117.9%5.1%20.3%18.2%18.6%2.7%0.5%83.2M-526.7M-6.9M4.022.1122,38090,0281,189,9761,555,508