XLE Options History — November 2017

In November 2017, XLE traded between $33.53 and $35.15. ATM implied volatility averaged 15.4%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 12.1%). Max pain ranged from $32.50 to $34.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2017-11-06: Highest Volume — 216,896 contracts
2017-11-21: Largest IV drop — 5.5% change
2017-11-15: Highest IV Rank — 38.8%
2017-11-29: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.22	$33.53	$35.15	$34.37	$34.58
Max Pain	$32.76	$32.50	$34.00	$34.00	$32.75
ATM IV	15.4%	14.1%	17.4%	14.1%	14.4%
Expected Move	4.7%	4.0%	5.2%	4.0%	4.7%
HV 20d	12.1%	7.3%	14.6%	8.1%	14.6%
HV 60d	10.9%	10.1%	11.3%	10.3%	11.3%
IV Rank	25.1%	14.8%	38.8%	14.8%	27.2%
IV Percentile	31.7%	14.7%	71.4%	14.7%	17.1%
Term Structure	-0.1%	-1.3%	1.2%	-0.4%	-0.3%
VWIV	16.5%	13.9%	19.0%	13.9%	16.2%
Skew 25d	2.3%	1.3%	3.1%	1.3%	2.0%
Skew 10d	4.4%	2.4%	5.7%	2.4%	3.7%
Call IV 25d	14.4%	13.1%	15.9%	14.0%	13.4%
Put IV 25d	16.7%	15.2%	19.0%	15.2%	15.4%
Bid-Ask Spread %	3.72	2.57	10.10	10.10	3.42
Gamma HHI	0.08	0.07	0.10	0.09	0.10
Net GEX	52.3M	-11.2M	97.3M	83.5M	97.2M
Net DEX	-349.3M	-1.13B	343.4M	-571.4M	-748.8M
Net VEX	-12.2M	-13.2M	-11.0M	-12.2M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.24	1.79	1.31	0.49
Total Volume	118,180.762	66,970	216,896	126,442	151,450
Total OI	2,898,904.571	2,730,826	3,011,860	2,734,088	3,003,476

Daily Data (21 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
2017-11-01	$34.37	$34.00	14.1%	4.0%	8.1%	14.8%	13.9%	1.3%	-0.4%	83.5M	-571.4M	-12.2M	1.31	10.10	54,650	71,792	1,164,732	1,569,356
2017-11-02	$34.22	$32.50	14.3%	4.3%	8.1%	16.6%	15.2%	2.1%	-0.5%	78.9M	-427.3M	-12.4M	1.64	2.98	43,670	71,632	1,181,822	1,593,094
2017-11-03	$34.34	$32.50	14.2%	4.4%	7.3%	16.1%	16.6%	2.1%	0.3%	96.9M	-553.7M	-12.5M	1.36	4.65	55,888	76,204	1,195,492	1,594,068
2017-11-06	$35.15	$32.50	14.9%	4.5%	10.9%	20.7%	15.7%	1.9%	1.1%	80.8M	-1.13B	-12.1M	0.45	2.76	149,870	67,026	1,147,528	1,583,298
2017-11-07	$35.05	$32.50	15.5%	4.7%	11.0%	24.9%	16.4%	2.2%	0.8%	87.6M	-1.07B	-12.6M	0.50	3.04	84,256	42,214	1,230,272	1,606,032
2017-11-08	$34.90	$32.75	15.0%	4.6%	11.2%	21.7%	16.8%	2.1%	0.9%	97.3M	-968.3M	-12.7M	0.91	2.97	61,340	55,984	1,290,210	1,613,986
2017-11-09	$35.03	$32.75	15.8%	4.8%	11.0%	27.3%	15.2%	1.8%	0.9%	94.2M	-1.05B	-12.8M	0.24	3.69	156,308	37,032	1,274,076	1,641,930
2017-11-10	$34.81	$32.75	16.2%	4.9%	11.4%	29.7%	17.3%	2.2%	1.2%	91.3M	-881.6M	-13.2M	1.05	3.06	68,660	72,204	1,319,866	1,637,786
2017-11-13	$34.62	$32.75	16.5%	4.8%	11.6%	32.4%	17.0%	2.2%	-0.4%	84.9M	-675.0M	-13.0M	0.86	2.91	46,978	40,296	1,297,032	1,635,562
2017-11-14	$34.03	$32.75	17.1%	4.9%	13.2%	36.3%	17.5%	2.8%	-0.1%	35.6M	-131.8M	-12.7M	0.85	3.15	53,210	45,418	1,308,352	1,636,264
2017-11-15	$33.66	$32.75	17.4%	5.0%	13.5%	38.8%	17.4%	3.1%	-0.6%	2.9M	211.3M	-12.6M	1.02	3.78	58,176	59,580	1,317,356	1,637,834
2017-11-16	$33.53	$32.75	17.0%	4.9%	13.5%	35.6%	16.8%	2.9%	-0.7%	-11.2M	343.4M	-12.5M	1.01	3.38	39,786	40,216	1,336,890	1,656,972
2017-11-17	$33.70	$32.75	16.6%	4.8%	13.6%	32.8%	16.6%	2.6%	-0.9%	12.9M	171.8M	-12.4M	0.71	4.67	41,434	29,414	1,348,078	1,663,782
2017-11-20	$33.64	$32.75	16.2%	4.9%	13.5%	30.3%	17.2%	2.7%	-0.3%	9.0M	146.3M	-12.0M	1.19	2.74	37,130	44,312	1,284,086	1,602,106
2017-11-21	$33.72	$32.75	15.3%	4.6%	13.5%	23.9%	16.4%	2.5%	-0.3%	17.3M	90.9M	-11.8M	1.25	3.46	43,356	54,390	1,288,526	1,611,566
2017-11-22	$33.88	$32.75	15.1%	4.6%	13.4%	22.0%	15.3%	2.2%	-1.3%	35.9M	-52.4M	-11.9M	0.47	4.04	85,278	40,198	1,300,720	1,623,388
2017-11-24	$33.94	$32.75	14.8%	4.6%	13.4%	20.1%	16.7%	2.5%	-0.8%	48.1M	-90.3M	-11.6M	1.18	4.07	30,746	36,224	1,282,840	1,634,844
2017-11-27	$33.59	$32.75	14.6%	4.6%	14.0%	18.5%	16.3%	2.6%	-0.2%	4.9M	214.6M	-11.0M	1.63	2.57	37,940	61,814	1,277,466	1,621,220
2017-11-28	$33.84	$32.75	14.2%	4.7%	14.0%	16.1%	16.2%	2.5%	0.3%	18.6M	6.2M	-11.1M	1.79	3.42	34,036	60,896	1,283,320	1,639,488
2017-11-29	$34.04	$32.75	14.9%	5.2%	14.1%	21.0%	19.0%	2.7%	-0.3%	31.6M	-169.0M	-11.4M	0.88	3.30	75,058	65,730	1,290,536	1,651,744
2017-11-30	$34.58	$32.75	14.4%	4.7%	14.6%	27.2%	16.2%	2.0%	-0.3%	97.2M	-748.8M	-11.2M	0.49	3.42	101,380	50,070	1,337,598	1,665,878