XLE Options History — November 2011

In November 2011, XLE traded between $31.91 and $36.41. ATM implied volatility averaged 37.4%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.7% (HV 20d: 39.2%). Max pain ranged from $32.50 to $36.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2011-11-08: Highest Volume — 314,252 contracts
  • 2011-11-09: Largest IV spike — 25.8% change
  • 2011-11-01: Highest IV Rank — 52.9%
  • 2011-11-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.57$31.91$36.41$33.73$35.44
Max Pain$35.21$32.50$36.50$32.50$36.50
ATM IV37.4%31.5%51.5%51.5%31.7%
Expected Move10.5%9.1%12.0%12.0%9.1%
HV 20d39.2%35.5%42.3%39.7%38.3%
HV 60d40.3%38.7%43.2%43.2%40.9%
IV Rank32.8%24.3%52.9%52.9%24.6%
IV Percentile81.9%67.5%97.2%97.2%67.5%
Term Structure-0.6%-1.9%1.0%-1.9%0.3%
VWIV38.0%30.5%44.6%42.1%30.5%
Skew 25d10.4%7.9%13.1%11.3%7.9%
Skew 10d20.2%14.6%24.6%23.4%15.7%
Call IV 25d31.8%28.1%35.8%35.1%28.3%
Put IV 25d42.2%36.2%46.4%46.4%36.2%
Bid-Ask Spread %22.5014.4238.6221.9329.64
Gamma HHI0.070.050.100.060.06
Net GEX-16.0M-57.5M12.2M-13.1M1.9M
Net DEX212.5M-1.01B1.85B398.1M-113.2M
Net VEX-11.7M-12.6M-10.4M-12.0M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.604.392.041.96
Total Volume145,105.52445,264314,252217,930167,080
Total OI3,061,294.0952,794,3583,362,2522,861,1543,057,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$33.73$32.5051.5%12.0%39.7%52.9%42.1%11.3%-1.9%-13.1M398.1M-12.0M2.0421.9371,724146,2061,218,6461,642,508
2011-11-02$34.74$32.5043.6%10.7%39.1%41.6%40.8%9.9%0.1%-8.9M87.6M-12.6M1.2422.5150,41062,7481,246,4761,728,886
2011-11-03$35.66$32.5035.5%9.8%39.6%30.0%37.1%8.4%1.0%6.7M-505.3M-12.4M0.9928.4863,10462,7201,275,2841,714,444
2011-11-04$35.63$35.5033.8%9.9%39.4%27.6%34.6%10.5%-0.7%1.5M-548.5M-12.3M0.6038.6270,92042,4741,282,0481,740,806
2011-11-07$35.83$35.5035.5%9.8%37.5%30.0%37.4%10.7%-0.3%6.9M-680.9M-12.2M1.7117.8828,78449,2801,304,3101,726,566
2011-11-08$36.41$35.5031.5%9.2%37.6%24.3%36.2%9.9%-0.3%12.2M-1.01B-12.0M3.7818.4865,746248,5061,309,1661,759,830
2011-11-09$34.78$35.5039.6%11.0%42.0%35.9%41.0%13.1%-0.8%-11.0M66.7M-12.6M1.8414.4272,516133,6081,326,2001,788,888
2011-11-10$35.48$35.5036.5%10.5%42.3%31.4%38.1%12.4%-0.6%-8.8M-308.7M-12.5M1.9314.6532,29662,3441,335,7341,827,452
2011-11-11$36.13$35.5034.4%9.9%40.7%28.5%34.0%11.4%-0.6%8.9M-791.5M-12.3M1.3420.1320,58827,6741,342,8421,843,392
2011-11-14$35.66$35.5036.3%10.4%40.2%31.2%39.2%11.5%-1.2%3.0M-533.1M-12.0M1.4123.5344,10662,0061,336,1101,817,378
2011-11-15$35.59$35.5036.5%10.5%38.8%31.4%39.2%11.7%-1.5%-956.3K-482.5M-11.9M2.8518.2633,77096,2621,354,3921,849,432
2011-11-16$35.07$35.5037.4%10.7%39.0%32.7%39.3%11.8%-1.3%-20.5M-102.5M-11.9M2.6718.7926,39270,4901,363,7681,898,408
2011-11-17$34.28$35.5038.3%11.0%39.9%34.1%39.4%11.6%-1.6%-57.5M410.8M-11.5M1.2622.36127,572160,6001,368,3301,911,600
2011-11-18$34.08$35.5037.2%10.7%39.5%32.4%36.9%11.0%-0.9%-43.8M460.7M-11.4M1.2321.97124,136152,5781,441,1881,921,064
2011-11-21$33.47$35.5038.0%10.9%39.7%33.6%37.3%10.0%-0.7%-31.2M1.10B-11.0M0.8319.8872,99060,4941,163,6561,630,702
2011-11-22$33.15$35.0037.4%10.7%39.3%32.8%36.9%9.2%-1.1%-36.9M1.34B-10.6M0.7516.9171,16653,5481,190,4481,655,528
2011-11-23$32.15$35.0039.8%11.7%39.7%36.1%39.3%9.0%-1.5%-38.5M1.63B-10.6M4.3919.1631,088136,5321,242,3001,660,140
2011-11-25$31.91$36.5040.0%11.5%35.5%36.5%44.6%9.3%-0.6%-44.3M1.85B-10.4M0.9334.1523,39621,8681,248,7281,736,118
2011-11-28$33.11$36.5037.0%10.6%38.5%32.2%37.0%9.0%0.3%-33.3M1.24B-10.8M1.6324.0147,71477,9361,252,0621,731,574
2011-11-29$33.72$36.5035.0%10.0%35.9%29.3%36.3%8.3%0.6%-28.4M946.1M-11.0M0.9726.8537,48436,3601,282,3221,761,298
2011-11-30$35.44$36.5031.7%9.1%38.3%24.6%30.5%7.9%0.3%1.9M-113.2M-11.4M1.9629.6456,394110,6861,288,8161,768,336