XLE Options History — November 2018

In November 2018, XLE traded between $31.95 and $35.03. ATM implied volatility averaged 25.8%, placing in the 77.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.6% (HV 20d: 27.4%). Max pain ranged from $34.00 to $35.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2018-11-14: Highest Volume — 291,446 contracts
  • 2018-11-07: Largest IV drop — 13.6% change
  • 2018-11-20: Highest IV Rank — 100.0%
  • 2018-11-23: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$31.95$35.03$33.76$33.03
Max Pain$34.60$34.00$35.50$35.00$34.00
ATM IV25.8%21.1%30.2%23.9%25.8%
Expected Move7.7%6.3%8.8%7.7%8.4%
HV 20d27.4%24.8%30.7%25.3%27.8%
HV 60d20.8%19.2%23.1%19.2%22.9%
IV Rank77.5%52.1%100.0%68.4%76.0%
IV Percentile94.5%82.1%100.0%94.4%93.3%
Term Structure-0.5%-2.7%1.4%0.0%-0.2%
VWIV26.9%21.8%31.4%26.0%29.3%
Skew 25d4.7%4.0%5.5%4.2%4.9%
Skew 10d8.6%6.7%10.2%8.1%8.8%
Call IV 25d23.6%19.5%28.4%22.4%23.0%
Put IV 25d28.3%23.5%33.3%26.6%28.0%
Bid-Ask Spread %5.641.6438.8833.441.64
Gamma HHI0.080.060.120.070.07
Net GEX-26.0M-53.6M399.8K-31.9M-19.3M
Net DEX877.3M201.4M1.41B906.1M787.4M
Net VEX-7.5M-8.1M-6.8M-7.8M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.623.651.161.81
Total Volume152,778.76289,978291,446106,548108,522
Total OI1,987,713.7141,844,8042,281,5301,844,8042,044,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$33.76$35.0023.9%7.7%25.3%68.4%26.0%4.2%0.0%-31.9M906.1M-7.8M1.1633.4449,23657,312779,9081,064,896
2018-11-02$33.83$35.0024.2%7.7%25.4%69.9%27.1%4.5%0.2%-28.1M840.1M-7.9M1.8338.8871,778131,036803,4721,067,144
2018-11-05$34.35$35.5024.2%7.0%26.4%69.6%24.2%4.9%-0.2%-21.0M572.4M-8.1M2.202.1956,340124,078797,9601,077,730
2018-11-06$34.34$35.5024.4%7.0%26.1%71.0%24.3%4.8%-0.9%-21.3M576.2M-8.1M1.832.2352,26295,770809,2641,094,510
2018-11-07$35.03$35.5021.1%6.3%25.6%52.1%21.8%4.0%-0.1%-9.6M201.4M-7.9M1.182.2161,81273,088822,3901,113,750
2018-11-08$34.23$35.5022.1%6.5%24.8%58.0%22.7%4.1%-1.1%-23.6M674.4M-7.6M1.532.4061,57494,398834,6581,119,162
2018-11-09$34.45$35.5022.7%6.8%25.0%61.1%24.2%4.4%0.0%-27.8M570.2M-7.9M1.643.1448,07478,990828,5541,140,192
2018-11-12$33.59$35.5025.6%7.5%26.2%77.7%25.5%4.7%0.6%-41.2M1.02B-7.5M3.223.3440,138129,356805,3201,118,978
2018-11-13$32.70$35.5028.0%8.3%27.1%91.4%28.0%4.9%1.2%-53.6M1.41B-7.3M1.414.16108,182152,422814,3281,182,030
2018-11-14$32.83$34.0028.0%8.2%27.3%91.6%27.9%4.8%0.3%-50.5M1.29B-7.6M0.622.95179,970111,476873,7101,195,618
2018-11-15$33.20$34.0026.7%8.0%27.9%84.2%28.0%4.4%1.4%-13.7M1.03B-7.8M1.252.4462,88078,7801,083,5181,198,012
2018-11-16$33.66$34.0025.1%7.4%28.6%74.7%24.3%4.4%1.3%399.8K821.8M-7.8M1.202.2571,84686,3501,032,7021,205,806
2018-11-19$33.47$34.0027.3%7.9%28.4%87.6%27.6%5.1%-2.4%-5.9M663.6M-7.8M0.852.5053,36045,278835,5541,074,902
2018-11-20$32.52$34.0030.2%8.7%28.9%100.0%29.6%5.5%-2.4%-26.2M1.05B-7.4M1.132.6663,59671,602861,6961,079,044
2018-11-21$33.07$34.0027.7%7.9%27.9%86.1%26.1%5.3%-2.0%-18.2M840.6M-7.7M0.961.7945,82044,158875,0981,100,540
2018-11-23$31.95$34.0029.8%8.8%30.3%98.2%31.4%5.0%-2.7%-38.9M1.30B-7.1M2.112.9951,346108,288892,7821,104,146
2018-11-26$32.41$34.0026.8%8.2%30.7%81.7%29.5%4.9%-0.7%-36.8M1.14B-7.2M2.711.7542,092114,106885,6821,126,878
2018-11-27$32.33$34.0026.7%8.3%29.2%80.9%29.6%4.5%-1.3%-36.9M1.11B-6.8M3.651.8229,368107,128897,4421,087,538
2018-11-28$32.80$34.0025.5%8.1%27.7%74.5%28.4%4.8%-0.9%-26.6M908.3M-6.9M1.781.7247,19884,220905,1501,090,316
2018-11-29$33.20$34.0025.4%8.1%27.7%73.8%28.8%5.1%-0.2%-16.0M719.5M-7.1M1.851.9240,42474,700917,1581,100,334
2018-11-30$33.03$34.0025.8%8.4%27.8%76.0%29.3%4.9%-0.2%-19.3M787.4M-7.0M1.811.6438,64869,874934,5521,109,564