XLE Options History — November 2019

In November 2019, XLE traded between $29.28 and $30.75. ATM implied volatility averaged 19.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.1% (HV 20d: 22.2%). Max pain ranged from $29.25 to $29.50. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2019-11-22: Highest Volume — 315,226 contracts
  • 2019-11-18: Largest IV spike — 9.5% change
  • 2019-11-20: Highest IV Rank — 22.6%
  • 2019-11-29: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.93$29.28$30.75$29.65$29.45
Max Pain$29.49$29.25$29.50$29.25$29.50
ATM IV19.1%17.3%20.7%17.3%19.1%
Expected Move5.8%4.8%6.1%4.8%6.1%
HV 20d22.2%20.2%23.5%20.2%21.0%
HV 60d21.7%20.5%23.8%22.7%20.5%
IV Rank16.3%9.4%22.6%9.4%16.3%
IV Percentile39.0%14.3%59.9%14.3%42.9%
Term Structure0.1%-1.2%1.9%0.7%-0.5%
VWIV19.9%17.8%21.4%17.8%21.0%
Skew 25d2.9%2.3%3.5%2.3%2.5%
Skew 10d5.1%3.0%6.6%5.3%3.7%
Call IV 25d17.5%16.1%18.8%16.2%17.7%
Put IV 25d20.4%18.5%21.7%18.5%20.2%
Bid-Ask Spread %1.751.332.381.861.80
Gamma HHI0.170.140.240.180.19
Net GEX-24.4M-62.5M6.6M-24.0M-52.6M
Net DEX188.9M-433.6M724.9M340.5M632.7M
Net VEX-8.7M-9.6M-8.0M-9.2M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.426.390.500.73
Total Volume95,967.532,186315,22674,25645,276
Total OI2,667,908.72,507,3802,741,7482,568,3702,739,014

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$29.65$29.2517.3%4.8%20.2%9.4%17.8%2.3%0.7%-24.0M340.5M-9.2M0.501.8649,50624,7501,066,3241,502,046
2019-11-04$30.60$29.5018.5%5.9%22.7%14.2%20.4%2.5%0.3%3.7M-383.8M-8.9M0.421.68140,89259,1341,059,8621,495,946
2019-11-05$30.75$29.5018.3%5.8%21.1%13.2%19.1%3.0%0.3%6.6M-433.6M-8.7M1.022.38103,278105,7361,057,3101,512,930
2019-11-06$30.00$29.5019.6%6.1%23.5%18.2%20.7%3.5%0.4%-23.1M185.8M-9.6M0.921.4135,66832,7861,103,8841,595,824
2019-11-07$30.40$29.5019.0%6.0%23.5%15.9%21.4%3.5%0.6%-5.5M-136.7M-9.4M0.702.2737,01825,9521,107,4401,607,078
2019-11-08$30.36$29.5019.0%5.9%22.8%16.1%20.3%3.2%0.8%-5.2M-154.1M-9.3M0.451.7274,54033,5041,123,7001,610,040
2019-11-11$30.18$29.5018.8%6.0%22.8%15.4%20.6%2.9%1.9%-9.8M-4.6K-9.1M0.711.3325,65018,1981,123,3581,600,450
2019-11-12$29.98$29.5018.9%5.9%23.0%15.7%20.7%3.0%1.4%-18.3M148.6M-8.9M1.161.6321,84225,2401,140,9801,583,752
2019-11-13$29.89$29.5018.7%5.8%22.2%14.9%19.9%3.2%1.5%-27.4M228.5M-8.8M2.141.4719,56441,8801,148,6681,593,080
2019-11-14$29.82$29.5019.0%5.8%22.3%16.1%19.1%3.2%1.0%-31.0M271.1M-8.6M0.941.5216,61615,5701,154,4421,581,212
2019-11-15$29.96$29.5017.9%5.5%22.2%11.6%18.9%2.6%1.6%-62.5M158.6M-8.4M0.701.5233,12423,1261,157,5301,582,068
2019-11-18$29.63$29.5019.6%5.7%22.1%18.2%19.4%2.9%-1.1%-35.7M448.2M-8.3M1.271.8254,49069,3221,064,0901,443,290
2019-11-19$29.28$29.5020.1%5.8%21.8%20.3%19.9%2.7%-1.0%-57.1M724.9M-8.3M0.531.9244,65823,6121,074,4801,480,916
2019-11-20$29.55$29.5020.7%5.9%22.0%22.6%20.7%2.9%-1.0%-39.3M497.2M-8.5M0.701.7886,42060,3321,105,6401,500,390
2019-11-21$29.98$29.5020.6%6.0%22.6%22.2%20.5%2.9%-1.1%-11.4M92.1M-8.7M0.991.9753,31252,6281,148,5501,518,936
2019-11-22$29.93$29.5019.7%5.8%22.2%18.8%20.2%2.9%-1.2%-8.2M119.6M-8.6M6.391.9142,684272,5421,167,9301,538,844
2019-11-25$29.89$29.5018.9%5.7%22.1%15.9%19.4%2.7%-0.7%-16.1M208.5M-8.2M0.681.9126,08417,6181,152,5981,481,928
2019-11-26$29.59$29.5019.1%5.8%22.4%16.3%19.7%2.5%-0.5%-41.3M505.4M-8.2M0.461.5843,94620,4241,169,2161,538,524
2019-11-27$29.75$29.5018.4%5.7%20.7%13.6%19.1%2.6%-1.2%-29.9M324.4M-8.0M1.081.5320,37622,0521,181,7081,544,196
2019-11-29$29.45$29.5019.1%6.1%21.0%16.3%21.0%2.5%-0.5%-52.6M632.7M-8.1M0.731.8026,11619,1601,182,2301,556,784