XLE Options History — November 2014

In November 2014, XLE traded between $39.91 and $44.22. ATM implied volatility averaged 23.1%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.8% (HV 20d: 24.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 3.02.

Notable Days

2014-11-28: Highest Volume — 890,948 contracts
2014-11-04: Largest IV spike — 11.0% change
2014-11-04: Highest IV Rank — 66.8%
2014-11-28: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.05	$39.91	$44.22	$42.95	$39.91
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	23.1%	21.2%	26.1%	23.5%	25.8%
Expected Move	6.4%	6.1%	6.9%	6.4%	6.9%
HV 20d	24.9%	19.4%	31.8%	30.0%	31.8%
HV 60d	21.3%	20.1%	25.6%	20.1%	25.6%
IV Rank	53.8%	45.7%	66.8%	56.2%	64.7%
IV Percentile	92.3%	86.9%	97.2%	95.6%	96.4%
Term Structure	-0.2%	-1.1%	1.3%	-0.1%	0.8%
VWIV	22.3%	19.7%	24.8%	21.7%	24.8%
Skew 25d	4.2%	2.8%	5.4%	2.8%	4.5%
Skew 10d	8.3%	5.3%	11.5%	5.3%	6.0%
Call IV 25d	21.5%	19.9%	24.3%	22.6%	24.3%
Put IV 25d	25.7%	23.3%	28.8%	25.5%	28.8%
Bid-Ask Spread %	23.73	20.57	46.54	21.03	46.54
Gamma HHI	0.10	0.07	0.15	0.09	0.15
Net GEX	-143.9M	-278.7M	-9.7M	-174.3M	-278.7M
Net DEX	1.47B	102.2M	5.04B	1.69B	5.04B
Net VEX	-11.8M	-13.8M	-9.1M	-12.6M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.02	0.47	10.15	1.82	8.93
Total Volume	250,080.842	86,056	890,948	115,798	890,948
Total OI	3,118,608.211	2,441,200	3,546,802	2,842,522	2,997,972

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$42.95	$45.00	23.5%	6.4%	30.0%	56.2%	21.7%	2.8%	-0.1%	-174.3M	1.69B	-12.6M	1.82	21.03	40,992	74,806	821,752	2,020,770
2014-11-04	$42.12	$45.00	26.1%	6.8%	30.5%	66.8%	22.7%	4.6%	-0.0%	-219.3M	2.61B	-12.8M	1.70	20.79	74,130	126,108	830,814	2,054,502
2014-11-05	$42.88	$45.00	24.1%	6.6%	31.1%	58.7%	21.0%	5.4%	-0.3%	-186.7M	1.84B	-12.9M	0.57	21.53	199,854	114,700	863,568	2,101,988
2014-11-06	$43.39	$45.00	23.2%	6.4%	28.0%	54.7%	19.7%	5.0%	-0.7%	-128.3M	1.17B	-13.8M	0.66	20.89	97,190	63,858	1,103,720	2,139,678
2014-11-07	$43.87	$45.00	21.7%	6.2%	27.4%	48.8%	22.8%	3.2%	0.1%	-99.5M	530.0M	-13.3M	1.12	23.28	63,388	70,686	1,115,126	2,174,318
2014-11-10	$43.46	$45.00	22.6%	6.3%	25.3%	52.2%	22.4%	3.1%	0.7%	-117.6M	991.7M	-12.5M	1.57	20.57	51,674	81,184	1,090,726	2,097,168
2014-11-11	$43.59	$45.00	21.6%	6.1%	25.1%	47.4%	21.8%	4.8%	0.1%	-114.2M	924.7M	-12.3M	1.32	22.39	44,182	58,226	1,083,182	2,090,574
2014-11-12	$43.27	$45.00	22.1%	6.2%	24.3%	49.5%	21.0%	3.1%	-0.3%	-153.5M	1.27B	-12.3M	1.24	20.61	38,366	47,690	1,109,584	2,145,786
2014-11-13	$42.70	$45.00	23.1%	6.4%	24.5%	53.6%	22.7%	5.2%	1.3%	-191.8M	1.95B	-12.2M	1.85	23.98	67,078	124,300	1,129,280	2,156,774
2014-11-14	$43.10	$45.00	22.9%	6.4%	24.5%	52.7%	22.4%	5.3%	0.1%	-157.4M	1.50B	-12.1M	0.47	22.81	88,426	41,370	1,144,772	2,180,348
2014-11-17	$42.88	$45.00	23.1%	6.4%	24.5%	53.3%	22.8%	4.1%	-0.3%	-172.3M	1.58B	-11.5M	3.85	22.67	30,732	118,446	1,121,418	2,149,510
2014-11-18	$42.95	$45.00	23.2%	6.5%	22.6%	53.9%	22.9%	4.7%	-0.4%	-137.3M	1.45B	-11.1M	10.15	21.51	38,990	395,742	1,123,708	2,145,134
2014-11-19	$43.14	$45.00	23.8%	6.4%	21.6%	56.3%	22.0%	4.5%	-0.8%	-171.0M	1.49B	-11.7M	2.51	23.46	49,504	124,446	1,133,662	2,413,140
2014-11-20	$43.68	$45.00	22.6%	6.2%	21.1%	51.6%	22.7%	4.3%	-0.7%	-99.6M	896.1M	-11.1M	0.84	24.97	76,022	63,926	1,128,910	2,307,960
2014-11-21	$44.22	$45.00	21.8%	6.2%	21.4%	48.1%	22.1%	4.0%	-1.1%	-9.7M	102.2M	-10.7M	0.73	22.15	128,940	94,474	1,157,108	2,335,246
2014-11-24	$43.88	$45.00	21.2%	6.2%	20.0%	45.7%	21.7%	3.4%	-0.4%	-30.0M	204.2M	-10.2M	2.99	21.99	45,866	137,242	904,296	1,536,904
2014-11-25	$43.22	$45.00	22.9%	6.4%	19.4%	52.9%	22.8%	3.7%	-0.3%	-92.2M	851.1M	-10.8M	9.68	21.12	44,244	428,394	928,858	1,588,326
2014-11-26	$42.83	$45.00	23.5%	6.4%	19.6%	55.1%	22.8%	3.5%	-0.8%	-200.1M	1.84B	-11.5M	5.34	28.61	81,238	434,174	948,810	1,878,164
2014-11-28	$39.91	$45.00	25.8%	6.9%	31.8%	64.7%	24.8%	4.5%	0.8%	-278.7M	5.04B	-9.1M	8.93	46.54	89,706	801,242	1,003,768	1,994,204