XLE Options History — December 2022

In December 2022, XLE traded between $41.41 and $45.45. ATM implied volatility averaged 32.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.8% (HV 20d: 30.4%). Max pain ranged from $40.50 to $44.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2022-12-06: Highest Volume — 839,496 contracts
  • 2022-12-22: Largest IV spike — 10.1% change
  • 2022-12-12: Highest IV Rank — 41.5%
  • 2022-12-07: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.04$41.41$45.45$45.45$43.72
Max Pain$41.88$40.50$44.00$44.00$42.50
ATM IV32.2%29.6%34.8%30.6%31.9%
Expected Move9.3%8.5%10.1%9.2%8.8%
HV 20d30.4%26.3%35.2%34.0%29.9%
HV 60d35.3%30.7%38.1%37.6%30.7%
IV Rank30.7%20.2%41.5%24.2%28.3%
IV Percentile21.1%6.7%40.5%11.1%16.3%
Term Structure0.6%-0.6%1.8%0.2%1.8%
VWIV33.2%29.2%37.1%33.7%31.5%
Skew 25d4.3%3.4%5.1%5.1%4.7%
Skew 10d8.1%6.4%9.5%8.9%9.2%
Call IV 25d30.3%28.1%33.2%28.3%29.1%
Put IV 25d34.6%31.6%38.0%33.5%33.8%
Bid-Ask Spread %2.471.625.592.181.81
Gamma HHI0.070.060.090.060.07
Net GEX-92.8M-205.4M16.4M-14.6M-2.3M
Net DEX284.8M-2.48B2.89B-2.48B-500.1M
Net VEX-26.7M-29.0M-24.9M-28.6M-25.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.372.842.121.65
Total Volume342,494125,192839,496222,756144,078
Total OI7,313,454.3815,709,5548,680,2648,136,9186,201,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$45.45$44.0030.6%9.2%34.0%24.2%33.7%5.1%0.2%-14.6M-2.48B-28.6M2.122.1871,366151,3902,362,8885,774,030
2022-12-02$45.10$44.0030.6%9.1%33.4%24.2%32.8%4.6%-0.0%-69.5M-2.03B-28.3M1.431.62123,904176,8602,379,1645,833,254
2022-12-05$43.67$40.5031.8%9.4%35.0%29.4%33.5%5.0%1.1%-116.4M-144.9M-28.3M2.001.88159,850319,6122,290,4985,800,068
2022-12-06$42.62$40.5033.6%9.9%35.2%36.5%35.6%4.8%1.1%-152.5M1.14B-28.3M2.001.75279,710559,7862,317,3325,837,044
2022-12-07$42.49$41.0034.4%10.1%35.1%40.0%36.0%5.0%0.9%-145.1M1.30B-29.0M2.111.95145,112305,6822,475,5385,915,912
2022-12-08$42.19$41.0034.4%10.1%30.5%40.2%35.4%4.7%1.3%-166.1M1.69B-28.9M1.561.90166,100259,1182,525,9585,978,660
2022-12-09$41.41$41.0034.4%10.1%29.9%40.0%36.3%4.6%1.6%-205.4M2.89B-28.6M2.741.97123,954339,8322,593,0786,087,186
2022-12-12$42.44$41.0034.8%10.0%28.2%41.5%37.1%4.8%-0.3%-157.9M1.11B-28.0M2.841.9290,284256,6522,461,3585,965,180
2022-12-13$43.28$41.0032.2%9.2%29.5%31.1%33.5%3.9%-0.6%-95.9M-179.1M-27.1M1.462.4299,994145,9502,501,6845,962,462
2022-12-14$43.02$41.0031.7%9.1%29.3%28.9%33.3%4.0%0.2%-116.7M222.6M-26.3M1.555.59107,430166,0342,515,1725,974,204
2022-12-15$42.72$41.0031.8%9.2%28.8%29.3%32.7%3.9%0.3%-142.5M478.3M-26.3M2.212.1489,276196,9302,561,2905,953,508
2022-12-16$42.28$41.0031.4%9.0%28.9%27.7%29.2%3.4%0.2%-186.6M1.04B-25.7M0.372.43525,552193,8642,566,7825,929,888
2022-12-19$41.77$42.5032.1%9.2%29.0%30.4%32.5%4.1%0.2%-116.8M1.57B-25.6M1.812.2380,748146,4261,741,3083,968,246
2022-12-20$42.55$42.5030.8%8.8%29.5%25.1%30.8%3.8%0.6%-78.5M621.6M-25.8M0.981.9563,12462,0681,757,8203,966,382
2022-12-21$43.20$42.5029.6%8.5%26.3%20.2%30.5%3.5%0.6%-34.2M-99.4M-25.2M1.962.08102,184200,1401,789,1923,982,800
2022-12-22$42.09$42.5032.6%9.3%27.3%32.5%32.7%3.9%0.1%-103.3M1.01B-25.8M0.732.39148,806107,9841,830,6484,008,180
2022-12-23$43.49$42.5030.4%8.7%30.3%23.7%32.0%3.6%0.5%1.6M-561.0M-25.4M1.322.13115,210151,5361,890,4644,010,550
2022-12-27$44.05$42.5031.5%8.9%28.6%27.1%32.7%4.2%0.8%16.4M-981.3M-24.9M1.254.9184,980105,8841,845,8643,995,458
2022-12-28$42.92$42.5033.8%9.6%29.4%35.9%33.9%4.8%0.5%-55.1M226.1M-25.3M2.793.55126,456352,1741,850,6924,035,308
2022-12-29$43.47$42.5032.1%9.0%29.7%28.9%32.0%4.3%1.2%-8.3M-347.0M-25.3M1.553.0957,48288,8521,926,2764,219,402
2022-12-30$43.72$42.5031.9%8.8%29.9%28.3%31.5%4.7%1.8%-2.3M-500.1M-25.0M1.651.8154,43689,6421,937,4444,264,370