XLE Options History — December 2021

In December 2021, XLE traded between $26.39 and $28.66. ATM implied volatility averaged 29.2%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.4% (HV 20d: 29.6%). Max pain ranged from $25.11 to $27.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.12.

Notable Days

2021-12-17: Highest Volume — 2,265,802 contracts
2021-12-06: Largest IV drop — 13.4% change
2021-12-03: Highest IV Rank — 65.1%
2021-12-03: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.78	$26.39	$28.66	$27.25	$27.87
Max Pain	$26.18	$25.11	$27.50	$27.50	$27.11
ATM IV	29.2%	24.7%	38.8%	36.9%	25.6%
Expected Move	8.4%	7.0%	11.2%	11.1%	7.2%
HV 20d	29.6%	24.6%	31.9%	29.6%	24.6%
HV 60d	27.1%	25.3%	29.4%	29.0%	25.3%
IV Rank	18.5%	0.0%	65.1%	55.3%	4.4%
IV Percentile	28.2%	0.0%	86.1%	71.8%	1.6%
Term Structure	0.1%	-1.3%	0.8%	-0.9%	0.3%
VWIV	30.6%	25.0%	42.8%	42.8%	25.7%
Skew 25d	4.6%	3.1%	8.2%	5.7%	3.1%
Skew 10d	8.9%	5.9%	15.5%	9.3%	6.4%
Call IV 25d	27.9%	22.9%	36.9%	35.2%	24.5%
Put IV 25d	32.5%	27.6%	43.5%	40.8%	27.6%
Bid-Ask Spread %	4.40	2.58	8.95	5.37	2.80
Gamma HHI	0.07	0.04	0.10	0.05	0.05
Net GEX	57.4M	-14.2M	123.2M	35.3M	43.3M
Net DEX	-1.49B	-2.97B	395.8M	-1.17B	-1.24B
Net VEX	-14.9M	-18.6M	-13.5M	-18.1M	-13.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.13	1.85	1.05	0.86
Total Volume	365,198.727	142,156	2,265,802	377,116	145,672
Total OI	5,967,852.909	4,977,522	6,772,110	6,446,452	5,349,534

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
2021-12-01	$27.25	$27.50	36.9%	11.1%	29.6%	55.3%	42.8%	5.7%	-0.9%	35.3M	-1.17B	-18.1M	1.05	5.37	183,966	193,150	3,332,888	3,113,564
2021-12-02	$27.79	$27.50	35.8%	10.6%	30.5%	49.9%	38.9%	5.3%	-0.8%	59.1M	-1.80B	-17.9M	1.07	3.96	152,620	163,342	3,354,714	3,165,268
2021-12-03	$27.47	$27.50	38.8%	11.2%	30.7%	65.1%	40.9%	6.6%	-1.3%	39.4M	-1.24B	-18.6M	1.20	4.41	96,010	115,602	3,369,058	3,240,346
2021-12-06	$28.02	$25.11	33.6%	9.5%	31.1%	39.3%	33.1%	5.3%	-0.3%	66.6M	-2.00B	-16.9M	1.78	8.35	166,054	295,974	3,305,206	3,175,102
2021-12-07	$28.59	$25.11	30.4%	8.7%	31.9%	23.3%	31.9%	4.3%	0.4%	115.7M	-2.85B	-15.4M	0.99	6.96	163,262	161,154	3,292,992	3,100,944
2021-12-08	$28.66	$25.11	29.0%	8.5%	31.9%	16.1%	30.0%	3.4%	0.4%	123.2M	-2.97B	-14.6M	1.10	3.46	103,114	113,198	3,294,742	3,105,910
2021-12-09	$28.45	$25.11	28.4%	8.2%	30.4%	13.3%	29.8%	3.8%	0.6%	100.6M	-2.61B	-14.7M	1.31	7.42	103,086	134,694	3,330,478	3,133,136
2021-12-10	$28.59	$25.11	26.2%	7.6%	30.4%	2.2%	27.8%	3.6%	0.4%	115.1M	-2.83B	-13.8M	1.36	3.72	107,818	146,574	3,350,628	3,151,216
2021-12-13	$27.91	$25.11	27.3%	7.9%	31.5%	7.9%	28.4%	3.6%	0.3%	48.8M	-1.89B	-13.5M	1.27	4.77	95,094	120,624	3,303,372	3,102,716
2021-12-14	$27.68	$25.11	28.7%	8.2%	31.2%	14.7%	30.7%	4.2%	-0.2%	26.7M	-1.54B	-13.8M	1.67	4.35	72,648	121,154	3,321,344	3,141,654
2021-12-15	$27.58	$25.11	28.6%	8.1%	31.2%	14.2%	30.0%	4.0%	-0.4%	20.4M	-1.44B	-13.6M	0.74	8.95	227,214	167,134	3,348,454	3,152,180
2021-12-16	$27.77	$25.11	28.8%	8.3%	30.7%	15.2%	31.8%	4.0%	-0.2%	33.5M	-1.74B	-14.0M	1.28	4.39	167,216	214,530	3,479,680	3,199,956
2021-12-17	$27.28	$25.11	30.7%	8.8%	31.3%	24.7%	29.5%	5.3%	0.2%	-2.9M	-926.0M	-14.3M	0.13	2.63	2,012,610	253,192	3,501,384	3,270,726
2021-12-20	$26.39	$27.11	32.3%	9.2%	29.9%	32.5%	35.7%	8.2%	0.3%	-14.2M	395.8M	-14.7M	1.18	3.22	181,044	213,520	2,353,586	2,623,936
2021-12-21	$27.20	$26.61	28.2%	8.1%	30.6%	12.3%	30.1%	6.0%	0.1%	27.2M	-470.1M	-14.8M	0.63	2.97	160,940	101,248	2,396,964	2,699,310
2021-12-22	$27.45	$26.61	25.6%	7.3%	29.6%	0.0%	29.2%	5.3%	0.8%	54.9M	-776.5M	-14.2M	1.85	3.86	134,966	249,656	2,452,098	2,689,212
2021-12-23	$27.55	$26.61	24.7%	7.1%	29.2%	0.0%	25.0%	4.7%	0.7%	68.3M	-825.8M	-14.3M	1.43	3.86	129,908	185,346	2,451,988	2,691,366
2021-12-27	$28.02	$27.11	25.0%	7.0%	26.4%	1.4%	25.3%	4.2%	0.2%	71.9M	-1.30B	-13.9M	1.00	2.58	94,748	94,448	2,449,750	2,704,350
2021-12-28	$28.11	$27.11	25.7%	7.2%	26.3%	4.6%	25.3%	4.1%	0.2%	77.1M	-1.38B	-14.1M	0.96	2.91	86,192	82,628	2,472,634	2,738,878
2021-12-29	$27.92	$27.11	25.6%	7.2%	25.6%	4.2%	25.8%	3.6%	0.3%	71.6M	-1.19B	-14.1M	0.92	2.96	94,434	86,432	2,496,880	2,760,728
2021-12-30	$27.71	$27.11	26.1%	7.3%	25.5%	6.4%	25.8%	3.2%	0.0%	80.1M	-1.03B	-13.9M	0.97	2.80	71,998	70,158	2,540,936	2,782,956
2021-12-31	$27.87	$27.11	25.6%	7.2%	24.6%	4.4%	25.7%	3.1%	0.3%	43.3M	-1.24B	-13.7M	0.86	2.80	78,122	67,550	2,553,822	2,795,712