XLE Options History — December 2020

In December 2020, XLE traded between $18.46 and $20.79. ATM implied volatility averaged 39.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 11.8% (HV 20d: 51.0%). Max pain ranged from $18.00 to $19.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.43.

Notable Days

2020-12-04: Highest Volume — 1,036,300 contracts
2020-12-15: Largest IV drop — 6.4% change
2020-12-11: Highest IV Rank — 22.1%
2020-12-01: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.55	$18.46	$20.79	$18.46	$18.98
Max Pain	$18.91	$18.00	$19.50	$18.00	$19.50
ATM IV	39.3%	36.9%	41.7%	40.6%	38.4%
Expected Move	11.3%	10.2%	12.7%	12.7%	10.9%
HV 20d	51.0%	34.9%	69.6%	67.5%	34.9%
HV 60d	50.6%	49.2%	51.9%	50.8%	49.2%
IV Rank	20.0%	18.0%	22.1%	21.1%	19.3%
IV Percentile	39.7%	25.4%	55.6%	48.8%	30.6%
Term Structure	0.2%	-0.9%	0.9%	-0.1%	0.3%
VWIV	40.0%	33.3%	44.7%	44.7%	39.2%
Skew 25d	0.7%	-0.6%	2.2%	2.1%	-0.1%
Skew 10d	1.1%	-2.5%	3.0%	2.5%	0.3%
Call IV 25d	39.7%	37.2%	43.2%	39.7%	38.9%
Put IV 25d	40.4%	38.1%	43.3%	41.8%	38.8%
Bid-Ask Spread %	2.02	1.52	3.18	2.38	1.76
Gamma HHI	0.09	0.07	0.10	0.08	0.09
Net GEX	76.9M	36.1M	135.4M	36.1M	60.3M
Net DEX	-1.25B	-2.97B	-5.8M	-450.6M	-242.5M
Net VEX	-10.9M	-11.8M	-9.7M	-9.7M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.10	1.29	1.29	0.59
Total Volume	377,266.545	66,174	1,036,300	279,264	160,862
Total OI	5,470,084.364	4,730,978	6,065,070	5,043,316	5,315,038

Daily Data (22 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
2020-12-01	$18.46	$18.00	40.6%	12.7%	67.5%	21.1%	44.7%	2.1%	-0.1%	36.1M	-450.6M	-9.7M	1.29	2.38	121,738	157,526	3,055,740	1,987,576
2020-12-02	$19.11	$18.00	40.5%	12.4%	67.8%	21.0%	43.8%	2.2%	0.6%	55.3M	-1.04B	-10.0M	1.03	3.00	236,938	244,896	3,101,586	2,057,746
2020-12-03	$19.17	$18.50	39.6%	11.4%	67.8%	20.3%	40.9%	1.3%	-0.8%	59.6M	-1.11B	-10.1M	0.33	1.97	264,148	86,512	3,218,486	2,168,958
2020-12-04	$20.30	$18.50	39.6%	10.9%	69.3%	20.3%	38.5%	0.5%	0.9%	97.3M	-2.38B	-10.3M	0.30	1.83	800,102	236,198	3,308,000	2,199,650
2020-12-07	$19.79	$18.50	40.4%	11.6%	69.6%	20.9%	40.8%	-0.6%	0.1%	91.5M	-1.81B	-10.9M	0.28	2.03	381,910	105,222	3,561,852	2,042,354
2020-12-08	$20.13	$18.50	39.9%	11.5%	52.6%	20.6%	40.7%	0.1%	0.2%	100.3M	-2.17B	-11.3M	0.23	2.05	372,434	84,810	3,652,992	2,104,142
2020-12-09	$20.16	$18.50	38.8%	11.2%	52.6%	19.6%	39.5%	0.8%	0.0%	111.3M	-2.26B	-11.5M	0.38	1.96	257,190	97,958	3,819,504	2,132,760
2020-12-10	$20.79	$18.50	40.6%	11.7%	52.7%	21.1%	41.5%	-0.1%	0.4%	135.4M	-2.97B	-11.6M	0.31	1.81	392,356	123,272	3,765,184	2,135,162
2020-12-11	$20.49	$18.50	41.7%	12.0%	51.0%	22.1%	42.4%	-0.1%	0.7%	123.2M	-2.59B	-11.8M	0.25	1.92	253,044	64,372	3,823,416	2,177,506
2020-12-14	$19.85	$19.00	41.4%	11.9%	51.6%	21.8%	43.1%	0.5%	-0.9%	91.4M	-1.78B	-11.2M	0.29	2.13	387,482	112,552	3,772,676	2,127,942
2020-12-15	$20.16	$19.00	38.8%	11.1%	48.0%	19.6%	39.5%	0.6%	0.3%	100.7M	-2.09B	-11.1M	0.21	2.12	242,804	51,748	3,763,786	2,105,966
2020-12-16	$20.11	$19.00	40.0%	11.5%	48.1%	20.6%	40.8%	1.1%	0.1%	98.3M	-2.05B	-11.6M	0.35	1.89	155,682	54,448	3,877,420	2,144,952
2020-12-17	$19.98	$19.00	38.6%	11.1%	47.7%	19.5%	39.2%	0.4%	0.0%	88.3M	-1.88B	-11.1M	0.50	2.20	166,372	82,678	3,854,134	2,166,302
2020-12-18	$19.59	$18.50	38.6%	11.1%	48.5%	19.4%	33.3%	-0.0%	0.1%	75.1M	-1.46B	-10.7M	0.16	2.31	765,292	126,202	3,879,580	2,185,490
2020-12-21	$19.07	$19.50	40.7%	11.8%	49.8%	21.2%	42.5%	0.9%	0.1%	52.5M	-303.1M	-10.9M	0.27	1.81	260,094	70,104	3,088,748	1,642,230
2020-12-22	$18.75	$19.50	40.0%	11.6%	45.0%	20.6%	40.6%	0.9%	-0.3%	40.6M	-53.3M	-10.7M	0.57	1.56	160,306	91,160	3,243,180	1,691,700
2020-12-23	$19.24	$19.50	37.5%	10.8%	42.0%	18.5%	38.0%	1.4%	0.6%	59.8M	-377.8M	-11.1M	0.83	3.18	124,792	103,516	3,270,830	1,746,988
2020-12-24	$19.00	$19.50	37.5%	10.8%	41.7%	18.5%	38.9%	1.2%	0.5%	44.9M	-138.5M	-11.1M	0.41	1.85	46,822	19,352	3,313,648	1,813,090
2020-12-28	$18.93	$19.50	36.9%	10.4%	41.4%	18.0%	38.2%	0.8%	0.7%	46.2M	-73.3M	-10.7M	0.43	1.52	135,180	57,868	3,116,742	1,784,718
2020-12-29	$18.84	$19.50	37.2%	10.2%	36.6%	18.3%	36.4%	1.0%	0.5%	45.8M	-5.8M	-10.5M	0.10	1.57	345,290	35,340	3,146,950	1,802,728
2020-12-30	$19.13	$19.50	37.3%	10.3%	36.9%	18.3%	37.3%	1.1%	0.7%	78.3M	-348.5M	-11.0M	0.30	1.52	201,848	61,444	3,370,116	1,804,288
2020-12-31	$18.98	$19.50	38.4%	10.9%	34.9%	19.3%	39.2%	-0.1%	0.3%	60.3M	-242.5M	-11.0M	0.59	1.76	101,058	59,804	3,475,946	1,839,092