XLE Options History — November 2016

In November 2016, XLE traded between $33.90 and $37.30. ATM implied volatility averaged 23.1%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.6% (HV 20d: 15.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2016-11-30: Highest Volume — 312,148 contracts
  • 2016-11-30: Largest IV drop — 21.4% change
  • 2016-11-29: Highest IV Rank — 33.8%
  • 2016-11-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.36$33.90$37.30$34.30$37.30
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.1%19.7%26.0%23.2%20.4%
Expected Move7.0%6.0%8.7%7.1%6.6%
HV 20d15.5%11.1%26.5%12.3%26.5%
HV 60d19.7%18.7%22.8%19.0%22.8%
IV Rank23.4%11.1%33.8%23.9%13.9%
IV Percentile46.9%17.9%70.2%45.6%25.4%
Term Structure-0.4%-1.8%1.5%0.3%-0.3%
VWIV25.3%21.9%30.6%26.5%23.8%
Skew 25d4.3%3.5%5.4%4.3%4.2%
Skew 10d8.3%6.7%10.3%8.3%8.4%
Call IV 25d21.2%18.1%23.6%21.8%18.5%
Put IV 25d25.5%22.0%28.6%26.1%22.7%
Bid-Ask Spread %9.066.0213.9312.5311.02
Gamma HHI0.060.050.070.050.07
Net GEX-9.2M-83.2M74.2M-59.8M74.2M
Net DEX-403.5M-1.89B670.2M404.8M-1.89B
Net VEX-9.9M-10.8M-8.3M-10.5M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.932.600.971.42
Total Volume171,496.28693,976312,148193,200312,148
Total OI2,515,218.4762,321,7742,697,6722,321,7742,689,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$34.30$35.0023.2%7.1%12.3%23.9%26.5%4.3%0.3%-59.8M404.8M-10.5M0.9712.5398,14695,054911,7921,409,982
2016-11-02$33.98$35.0023.9%7.3%11.2%26.2%26.1%4.6%-0.1%-65.4M582.5M-10.6M2.3613.9352,626124,332947,6581,421,522
2016-11-03$33.98$35.0025.2%7.3%11.1%31.1%26.1%4.9%-0.7%-71.8M594.3M-10.8M1.578.0452,85482,810956,5361,453,908
2016-11-04$33.90$35.0025.3%7.4%11.1%31.3%26.7%5.4%-0.5%-83.2M670.2M-10.7M2.076.0258,922121,862968,5181,482,402
2016-11-07$34.49$35.0021.4%6.4%11.8%17.2%22.9%4.7%1.1%-45.8M207.6M-10.3M1.707.6939,70667,380957,7341,471,896
2016-11-08$34.79$35.0021.0%6.3%11.7%16.0%23.5%5.1%0.9%-34.2M-1.5M-10.2M1.687.3935,01658,960960,1221,473,354
2016-11-09$35.24$35.0019.7%6.1%12.6%11.1%23.0%3.9%1.5%153.8K-394.1M-9.9M1.8911.8652,10098,624965,1421,476,456
2016-11-10$35.40$35.0019.9%6.0%12.5%12.0%21.9%3.8%1.3%2.9M-514.4M-9.9M0.979.5263,58261,424972,6661,528,490
2016-11-11$34.78$35.0022.3%6.5%14.0%20.5%24.9%3.9%0.7%-37.7M-43.1M-9.9M2.479.0550,878125,898995,5741,518,456
2016-11-14$34.87$35.0023.1%6.7%13.8%23.2%24.2%3.7%-0.7%-33.9M-52.6M-10.0M1.388.1648,62067,014989,7961,520,300
2016-11-15$35.91$35.0023.2%6.7%17.2%23.6%24.3%3.5%-1.1%27.0M-904.6M-9.5M0.937.23113,764105,5341,000,1361,537,532
2016-11-16$35.66$35.0024.9%7.1%16.6%29.8%24.8%4.2%-1.8%23.6M-744.5M-9.9M0.9511.18118,424112,9661,056,4701,537,114
2016-11-17$35.43$35.0023.9%6.9%16.7%26.5%25.7%3.6%-1.2%737.1K-548.2M-9.8M1.899.3161,022115,4761,074,1781,584,028
2016-11-18$35.58$35.0024.3%7.1%16.7%27.9%24.9%3.8%-1.5%15.2M-673.1M-9.9M1.666.7364,398106,7861,086,9021,610,770
2016-11-21$36.33$35.0022.6%6.8%18.0%21.7%24.6%3.8%-0.9%29.4M-1.06B-9.2M2.608.4470,776183,952964,7421,466,660
2016-11-22$36.42$35.0022.8%7.0%17.9%22.4%24.8%4.3%-0.9%26.5M-1.09B-9.4M2.097.7956,868118,644985,3941,525,222
2016-11-23$36.58$35.0022.4%7.0%17.9%21.0%25.0%4.3%-0.9%34.9M-1.20B-9.6M1.799.0445,12080,9001,007,4481,546,996
2016-11-25$36.36$35.0023.9%7.6%18.1%26.5%27.1%4.6%-1.3%24.8M-1.02B-9.8M1.367.8853,80872,9901,024,8601,564,318
2016-11-28$35.84$35.0025.5%8.5%18.9%32.1%29.6%4.5%-1.0%1.1M-593.4M-9.8M1.928.8852,662101,1781,013,9561,545,242
2016-11-29$35.38$35.0026.0%8.7%19.1%33.8%30.6%4.5%-0.9%-21.2M-201.8M-10.0M1.388.6583,162115,0361,030,3221,585,710
2016-11-30$37.30$35.0020.4%6.6%26.5%13.9%23.8%4.2%-0.3%74.2M-1.89B-8.3M1.4211.02128,916183,2321,057,7661,631,518