XLE Options History — November 2012

In November 2012, XLE traded between $34.26 and $36.41. ATM implied volatility averaged 20.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.7% (HV 20d: 20.2%). Max pain ranged from $35.50 to $37.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2012-11-06: Highest Volume — 298,362 contracts
  • 2012-11-02: Largest IV spike — 72.2% change
  • 2012-11-02: Highest IV Rank — 51.1%
  • 2012-11-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.24$34.26$36.41$36.14$35.53
Max Pain$35.88$35.50$37.00$36.50$37.00
ATM IV20.9%15.6%34.6%20.1%15.6%
Expected Move5.7%4.5%6.5%5.4%4.5%
HV 20d20.2%18.1%22.4%18.1%20.1%
HV 60d17.4%15.4%18.4%15.4%18.2%
IV Rank16.5%3.0%51.1%14.4%3.0%
IV Percentile37.9%1.6%92.1%35.3%1.6%
Term Structure-0.2%-1.0%1.2%1.0%1.2%
VWIV20.5%15.7%22.9%19.5%15.7%
Skew 25d4.2%3.5%5.4%3.8%4.8%
Skew 10d8.1%3.7%10.6%7.9%3.7%
Call IV 25d18.1%14.2%20.6%17.5%14.2%
Put IV 25d22.3%19.0%25.7%21.4%19.0%
Bid-Ask Spread %23.1512.10110.1718.18110.17
Gamma HHI0.070.060.160.080.16
Net GEX-37.2M-94.1M10.4M-23.5M10.4M
Net DEX717.3M-3.1M1.54B230.4M325.7M
Net VEX-6.9M-8.5M-5.9M-7.0M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.554.012.161.86
Total Volume113,64827,522298,36244,53060,194
Total OI1,943,394.2861,725,6902,236,8501,821,3301,825,630

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$36.14$36.5020.1%5.4%18.1%14.4%19.5%3.8%1.0%-23.5M230.4M-7.0M2.1618.1814,08630,444726,5921,094,738
2012-11-02$35.50$36.5034.6%5.9%18.5%51.1%20.4%3.9%0.2%-41.9M646.1M-6.8M0.9434.3153,51850,472730,9321,105,454
2012-11-05$35.83$35.5027.4%6.0%18.4%32.9%22.1%4.7%-0.5%-30.1M413.8M-6.8M0.6714.9150,15833,772733,3501,100,688
2012-11-06$36.41$35.5028.0%5.8%19.3%34.4%21.1%4.2%-0.5%-3.4M-3.1M-6.8M1.6616.24112,174186,188754,6581,114,374
2012-11-07$35.34$35.5022.3%6.2%21.9%20.0%22.9%5.4%-0.3%-47.0M854.8M-8.5M0.5516.47153,12484,208843,8461,258,576
2012-11-08$34.78$35.5021.2%6.5%22.4%17.2%22.7%5.1%-1.0%-67.5M1.24B-8.2M0.9115.2194,30685,522868,5561,287,978
2012-11-09$34.80$35.5021.1%6.4%21.5%16.9%22.8%5.1%-0.8%-94.1M1.27B-8.2M1.0748.3063,30867,900895,8401,315,494
2012-11-12$34.85$35.5020.2%6.1%21.3%14.6%22.7%4.6%-0.6%-56.2M1.14B-7.9M2.2412.1022,09849,522884,6321,293,750
2012-11-13$34.69$35.5019.8%6.1%21.3%13.7%20.9%4.3%-0.1%-57.4M1.27B-7.7M1.7312.4541,17271,206891,5921,301,468
2012-11-14$34.26$35.5021.6%6.4%21.5%18.2%22.7%4.2%-0.9%-73.4M1.54B-7.5M2.0916.0636,24475,574897,6341,327,366
2012-11-15$34.31$35.5022.3%6.4%19.6%20.1%22.4%4.3%-1.0%-74.9M1.53B-7.6M4.0112.3554,084216,840897,9621,338,888
2012-11-16$34.45$35.5020.8%6.0%18.8%16.2%21.4%4.4%-0.3%-57.8M1.26B-6.3M1.7924.6565,326116,980909,2241,244,690
2012-11-19$35.26$35.5018.1%5.2%21.2%9.5%19.8%3.8%-0.4%-25.1M491.1M-6.3M1.3414.4736,12848,280699,1681,026,522
2012-11-20$35.13$35.5018.6%5.3%20.4%10.6%18.1%3.9%-0.3%-22.0M527.3M-6.3M1.1512.9338,70644,488713,8161,037,454
2012-11-21$35.30$35.5017.8%5.1%20.6%8.6%20.6%3.9%-0.3%-17.0M454.7M-6.3M3.0012.8013,89441,694726,2821,043,196
2012-11-23$35.80$35.5017.2%4.9%19.6%7.0%19.0%3.6%-0.4%-7.7M216.1M-6.2M1.2814.2223,26429,726715,5161,069,748
2012-11-26$35.45$35.5018.1%5.2%19.8%9.3%19.0%3.6%-0.7%-24.9M418.3M-6.0M0.6713.6717,22811,590711,5981,054,722
2012-11-27$35.14$37.0018.6%5.3%19.8%10.6%18.5%3.8%0.6%-31.2M567.1M-6.0M0.7928.1215,36412,158716,7261,058,692
2012-11-28$35.48$37.0017.9%5.1%20.1%8.8%20.5%3.7%0.9%-22.5M383.2M-6.0M1.2017.7437,76245,270721,8381,060,618
2012-11-29$35.61$37.0017.7%5.1%20.2%8.4%17.9%3.5%0.7%-14.7M282.4M-5.9M0.7720.7746,76035,876735,8181,075,654
2012-11-30$35.53$37.0015.6%4.5%20.1%3.0%15.7%4.8%1.2%10.4M325.7M-6.0M1.86110.1721,06039,134741,9021,083,728