XLE Options History — December 2023

In December 2023, XLE traded between $40.63 and $42.95. ATM implied volatility averaged 20.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.4% (HV 20d: 17.7%). Max pain ranged from $42.50 to $43.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2023-12-06: Highest Volume — 614,606 contracts
  • 2023-12-08: Largest IV drop — 5.5% change
  • 2023-12-07: Highest IV Rank — 17.7%
  • 2023-12-07: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.89$40.63$42.95$42.52$41.91
Max Pain$42.52$42.50$43.00$43.00$42.50
ATM IV20.1%19.3%21.8%19.9%19.4%
Expected Move5.8%5.3%6.3%5.9%5.3%
HV 20d17.7%16.9%20.4%17.6%17.9%
HV 60d20.7%19.0%21.5%21.0%19.0%
IV Rank9.4%5.4%17.7%8.1%5.7%
IV Percentile8.4%3.6%23.0%5.6%5.2%
Term Structure0.4%-0.3%0.8%-0.3%0.8%
VWIV20.2%17.5%22.2%21.5%18.6%
Skew 25d1.4%0.2%3.2%2.6%1.2%
Skew 10d3.1%1.2%5.9%4.4%2.8%
Call IV 25d19.7%18.6%21.2%18.6%18.9%
Put IV 25d21.1%20.0%23.6%21.2%20.1%
Bid-Ask Spread %2.171.663.391.661.87
Gamma HHI0.130.080.190.160.11
Net GEX-106.9M-320.1M28.6M-4.2M-75.3M
Net DEX1.47B-16.0M3.44B1.12B1.18B
Net VEX-22.3M-23.2M-21.5M-23.2M-21.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.504.060.972.07
Total Volume245,774.5115,086614,606357,990115,086
Total OI4,684,045.34,047,3585,342,6084,952,4144,284,086

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$42.52$43.0019.9%5.9%17.6%8.1%21.5%2.6%-0.3%-4.2M1.12B-23.2M0.971.66181,258176,7321,850,6983,101,716
2023-12-04$42.28$42.5020.1%5.8%17.5%9.4%20.9%2.5%0.7%-129.3M1.41B-23.1M1.212.9159,73471,9901,817,3883,047,102
2023-12-05$41.67$42.5020.4%6.0%17.8%10.9%21.2%2.7%0.7%-201.5M2.24B-22.7M4.063.3960,834246,7541,800,2643,055,388
2023-12-06$40.94$42.5021.2%6.1%17.1%14.8%22.0%3.2%0.4%-271.8M3.17B-22.5M2.652.15168,268446,3381,805,9483,123,076
2023-12-07$40.63$42.5021.8%6.3%16.9%17.7%22.2%2.8%0.2%-294.3M3.44B-22.8M1.922.5976,578147,0901,867,7523,204,818
2023-12-08$41.11$42.5020.6%6.0%17.4%11.8%20.7%2.1%0.5%-276.2M2.77B-22.7M2.142.7066,894143,2841,907,5663,236,132
2023-12-11$41.23$42.5020.5%5.9%17.2%11.4%21.3%1.9%0.2%-259.8M2.52B-22.1M4.002.7435,918143,6821,890,1663,229,236
2023-12-12$40.70$42.5020.2%5.9%17.4%9.8%20.4%2.2%0.2%-320.1M3.43B-21.7M1.562.26126,220197,4381,907,3903,245,888
2023-12-13$41.14$42.5019.8%5.7%17.5%8.0%19.9%1.6%0.1%-310.8M2.58B-21.7M2.052.24109,816225,3581,942,4463,280,758
2023-12-14$42.30$42.5019.4%5.6%20.4%6.1%19.9%0.8%0.0%-18.4M607.2M-21.8M0.641.74194,456124,0662,007,4423,301,088
2023-12-15$41.98$42.5019.3%5.6%18.9%5.4%19.6%0.6%0.2%-4.9M964.0M-21.8M0.662.05181,594118,9642,024,3003,318,308
2023-12-18$42.13$42.5019.7%5.7%17.1%7.3%19.8%0.5%0.8%-15.1M869.8M-22.0M0.501.76182,30891,4281,537,4722,509,886
2023-12-19$42.53$42.5019.6%5.6%17.4%6.7%19.4%0.2%0.5%24.1M240.4M-22.4M0.951.84121,334115,3881,587,0562,506,188
2023-12-20$42.33$42.5020.3%5.8%17.4%10.4%19.9%0.2%0.4%12.5M418.2M-22.6M1.101.94136,604150,1981,632,0362,542,158
2023-12-21$42.23$42.5020.9%6.0%17.4%13.3%21.3%0.2%0.4%-12.5M673.1M-23.0M2.182.0339,59886,2021,636,8922,566,512
2023-12-22$42.48$42.5020.1%5.7%17.5%9.3%20.0%0.3%0.4%28.6M401.2M-22.6M0.861.8668,63859,2941,650,4242,614,344
2023-12-26$42.95$42.5019.9%5.6%17.8%8.2%19.8%0.7%0.6%25.0M-16.0M-21.9M0.951.8264,34460,9381,604,4542,589,638
2023-12-27$42.58$42.5019.4%5.4%18.1%5.7%17.5%1.0%0.7%8.7M429.7M-21.9M1.902.0155,058104,5001,616,1022,596,372
2023-12-28$42.11$42.5019.7%5.4%18.1%7.5%19.1%1.1%0.1%-42.1M990.7M-21.7M1.141.7375,28086,0261,630,1582,612,258
2023-12-29$41.91$42.5019.4%5.3%17.9%5.7%18.6%1.2%0.8%-75.3M1.18B-21.5M2.071.8737,48677,6001,657,5162,626,570