XLE Options History — November 2015

In November 2015, XLE traded between $33.00 and $35.34. ATM implied volatility averaged 26.5%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.4% (HV 20d: 25.1%). Max pain ranged from $33.50 to $34.50. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.78.

Notable Days

  • 2015-11-30: Highest Volume — 449,640 contracts
  • 2015-11-12: Largest IV spike — 20.4% change
  • 2015-11-13: Highest IV Rank — 57.0%
  • 2015-11-13: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.18$33.00$35.34$34.86$34.01
Max Pain$34.18$33.50$34.50$33.50$33.75
ATM IV26.5%22.1%31.6%22.1%26.1%
Expected Move7.8%6.5%9.1%6.5%8.3%
HV 20d25.1%21.0%27.9%23.7%25.8%
HV 60d31.2%27.3%33.0%32.8%27.3%
IV Rank41.0%27.2%57.0%27.2%39.8%
IV Percentile69.3%41.3%88.5%41.3%68.7%
Term Structure-0.0%-1.3%1.6%0.4%-0.1%
VWIV28.8%23.1%33.4%23.1%32.0%
Skew 25d4.9%3.6%6.1%4.1%4.9%
Skew 10d9.3%7.8%11.1%9.2%8.6%
Call IV 25d24.3%20.4%28.9%20.4%23.7%
Put IV 25d29.3%24.5%35.0%24.5%28.6%
Bid-Ask Spread %12.758.6517.4312.3210.49
Gamma HHI0.090.080.110.090.10
Net GEX-14.5M-31.8M5.7M-1.2M-30.6M
Net DEX619.1M169.0M1.14B335.5M698.6M
Net VEX-6.8M-7.5M-6.1M-6.1M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.668.640.688.64
Total Volume158,764.84228,196449,64091,630449,640
Total OI1,927,312.6321,623,6782,197,3041,623,6782,007,454

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$34.86$33.5022.1%6.5%23.7%27.2%23.1%4.1%0.4%-1.2M335.5M-6.1M0.6812.3254,41837,212674,166949,512
2015-11-04$35.34$33.5022.9%6.7%22.7%29.9%24.5%4.1%0.3%-265.3K169.0M-6.4M0.6911.2770,39648,270729,9921,003,728
2015-11-05$35.09$34.5023.6%7.1%22.8%32.0%26.1%4.0%0.3%-1.7M275.4M-6.7M0.6912.2361,48042,472744,5181,011,730
2015-11-06$34.85$34.5023.2%7.1%21.8%30.8%26.0%3.6%0.1%-237.3K368.1M-6.5M3.0417.4329,25688,958747,6221,018,828
2015-11-09$34.52$34.5024.9%7.5%22.0%36.1%26.9%4.7%1.2%-10.6M510.5M-6.5M1.2414.8112,59415,602735,4521,014,234
2015-11-10$34.60$34.5025.0%7.5%21.3%36.4%26.1%4.7%0.8%-10.9M478.6M-6.4M0.6613.6452,81035,018737,7121,018,086
2015-11-11$34.57$34.5024.5%7.4%21.0%34.8%26.0%4.5%1.4%-11.3M486.5M-6.3M0.6814.1949,23233,530747,8001,030,800
2015-11-12$33.12$34.5029.5%8.8%26.1%50.5%32.8%5.7%1.6%-27.8M1.02B-6.5M2.5012.34123,866309,564802,0821,033,242
2015-11-13$33.00$34.5031.6%9.1%25.0%57.0%32.8%6.1%0.5%-31.8M1.14B-7.1M1.6812.1695,592160,808872,5921,130,420
2015-11-16$34.03$34.5030.1%8.7%27.6%52.3%33.4%5.8%-1.2%-4.7M585.4M-7.5M2.5313.7935,07888,878883,8281,161,228
2015-11-17$33.77$34.2530.4%8.7%27.0%53.0%32.0%5.5%-0.7%-15.2M742.4M-7.5M0.8211.6574,01860,474892,7001,204,000
2015-11-18$34.31$34.2529.1%8.3%27.6%49.1%31.9%5.1%-1.0%5.7M448.2M-7.3M1.3811.6077,040106,166896,0321,213,102
2015-11-19$33.80$34.2528.8%8.3%27.9%48.1%31.5%5.4%-0.8%-14.8M761.4M-7.3M1.2513.2063,09079,156906,2921,254,066
2015-11-20$33.45$34.2528.1%8.2%27.3%46.1%29.1%5.3%-1.3%-30.8M975.4M-7.1M1.1712.6287,728102,928914,2761,283,028
2015-11-23$33.70$34.0027.1%8.0%27.5%43.0%30.8%5.1%-0.7%-30.7M846.1M-7.1M1.6011.5938,08460,794795,9861,156,440
2015-11-24$34.41$34.0025.7%7.6%27.0%38.4%28.1%5.4%-0.2%-15.2M510.0M-7.0M1.5516.8634,10252,900799,4161,187,136
2015-11-25$34.15$34.0025.1%7.5%26.7%36.7%27.2%4.9%-0.4%-19.9M629.7M-7.0M1.0911.3172,62879,204807,8921,202,196
2015-11-27$33.88$33.7525.4%7.7%25.9%37.5%27.4%4.4%-0.6%-23.0M775.8M-6.6M1.978.6544,97488,572824,1221,227,230
2015-11-30$34.01$33.7526.1%8.3%25.8%39.8%32.0%4.9%-0.1%-30.6M698.6M-6.6M8.6410.4946,658402,982798,0681,209,386