XLE Options History — November 2013

In November 2013, XLE traded between $42.70 and $44.12. ATM implied volatility averaged 14.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.3% (HV 20d: 12.8%). Max pain ranged from $32.50 to $55.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2013-11-14: Highest Volume — 124,470 contracts
  • 2013-11-11: Largest IV spike — 41.2% change
  • 2013-11-01: Highest IV Rank — 12.9%
  • 2013-11-15: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.42$42.70$44.12$43.02$43.22
Max Pain$47.54$32.50$55.00$43.50$44.00
ATM IV14.2%10.0%17.4%17.4%14.4%
Expected Move5.2%2.9%5.8%5.2%5.7%
HV 20d12.8%11.6%13.8%13.7%12.3%
HV 60d12.3%11.7%12.9%12.1%11.9%
IV Rank8.6%0.0%12.9%12.9%10.4%
IV Percentile19.4%0.0%63.1%63.1%23.4%
Term Structure0.8%-0.7%8.5%-0.7%0.4%
VWIV19.9%8.5%27.1%22.8%19.3%
Skew 25d3.0%-2.7%4.1%4.1%3.5%
Skew 10d5.6%-7.4%8.7%3.2%7.8%
Call IV 25d13.5%12.2%19.5%19.5%12.8%
Put IV 25d16.5%13.8%23.7%23.7%16.2%
Bid-Ask Spread %22.612.73132.25132.252.73
Gamma HHI0.080.070.130.080.09
Net GEX8.1M-28.0M53.3M16.6M-28.0M
Net DEX-252.0M-543.8M120.6M-224.6M80.7M
Net VEX-6.4M-7.3M-5.6M-7.3M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.998.921.153.12
Total Volume53,143.318,690124,47074,39839,608
Total OI1,716,962.91,563,9561,884,4561,762,5321,678,696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$43.02$43.5017.4%5.2%13.7%12.9%22.8%4.1%-0.7%16.6M-224.6M-7.3M1.15132.2534,61039,788624,7421,137,790
2013-11-04$43.59$43.5013.8%4.0%13.8%4.2%14.2%2.9%0.9%31.2M-480.0M-6.7M3.2020.2613,64243,616606,1981,124,164
2013-11-05$43.18$43.5014.0%4.0%13.6%4.6%16.0%3.4%1.4%13.3M-220.2M-6.9M3.7827.706,86825,960612,4121,153,166
2013-11-06$43.23$43.5014.2%4.1%13.4%5.1%15.1%3.3%1.1%12.6M-270.3M-6.8M2.2722.915,72012,970614,7801,164,368
2013-11-07$42.70$42.7515.4%4.4%13.0%8.0%15.3%3.5%1.0%-26.7M120.6M-7.0M0.9925.3641,26640,660617,3341,169,880
2013-11-08$43.26$43.0010.0%2.9%13.3%0.0%8.5%-2.7%8.5%13.2M-238.5M-7.2M1.01119.7121,72621,898619,5281,183,218
2013-11-11$43.35$0.0014.1%5.7%13.1%9.6%26.2%2.9%0.7%27.3M-368.7M-6.5M1.954.1715,67430,632620,9421,185,640
2013-11-12$42.95$32.5014.4%5.8%13.5%10.5%24.8%3.2%0.8%-9.8M-80.3M-6.5M2.033.6319,30439,098628,5601,196,874
2013-11-13$43.34$55.0013.7%5.8%13.0%8.9%20.2%3.1%0.7%30.1M-391.0M-6.1M2.624.507,51219,698633,8821,202,634
2013-11-14$43.58$55.0014.3%5.8%13.1%10.3%21.0%3.5%0.6%32.5M-489.5M-6.2M4.573.2422,342102,128612,1121,196,868
2013-11-15$43.83$50.0015.1%5.8%12.7%12.0%20.5%2.1%1.0%53.3M-543.8M-6.3M1.5236.8019,47429,614614,1441,270,312
2013-11-18$43.51$55.0014.2%5.8%12.8%10.0%21.1%3.3%-0.0%-2.5M-176.2M-6.1M1.243.8715,28018,908527,1421,036,814
2013-11-19$43.55$55.0014.5%5.7%12.7%10.6%27.1%3.4%-0.1%-2.8M-196.0M-6.2M2.9915.129,45028,270532,7621,046,170
2013-11-20$43.50$55.0014.4%5.7%11.6%10.5%19.0%3.4%-0.1%-13.2M-150.9M-6.2M1.575.5018,47429,052537,0381,063,040
2013-11-21$43.88$55.0013.8%5.7%11.9%8.9%0.0%3.5%0.3%5.2M-363.3M-6.0M2.635.036,33616,632546,5301,080,454
2013-11-22$44.12$55.0013.3%5.6%11.9%7.8%19.5%2.9%0.6%24.5M-542.1M-5.6M2.365.3729,65069,974548,6401,090,500
2013-11-25$43.72$44.0014.1%5.7%12.4%9.8%18.7%3.4%-0.0%6.1M-304.6M-5.7M1.024.1014,68414,920534,3061,061,470
2013-11-26$43.59$44.0013.9%5.7%12.3%9.2%25.5%3.0%-0.1%2.7M-218.0M-5.9M8.924.117,09263,250542,1341,064,844
2013-11-27$43.31$44.0014.1%5.7%12.3%9.7%23.9%3.5%-0.6%-23.6M15.8M-5.9M2.735.9317,99049,096546,6641,112,506
2013-11-29$43.22$44.0014.4%5.7%12.3%10.4%19.3%3.5%0.4%-28.0M80.7M-6.0M3.122.739,61029,998552,2501,126,446