XLE Options History — November 2020

In November 2020, XLE traded between $14.52 and $20.10. ATM implied volatility averaged 41.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 16.2% (HV 20d: 57.2%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-11-24: Highest Volume — 1,008,142 contracts
  • 2020-11-04: Largest IV drop — 17.1% change
  • 2020-11-02: Highest IV Rank — 30.4%
  • 2020-11-02: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.21$14.52$20.10$14.86$18.39
Max Pain$16.95$15.00$18.00$15.00$18.00
ATM IV41.0%37.8%51.6%51.6%41.6%
Expected Move12.0%10.8%16.1%16.1%12.9%
HV 20d57.2%34.8%68.4%37.8%68.4%
HV 60d43.7%33.3%50.8%34.0%50.8%
IV Rank21.4%18.8%30.4%30.4%22.0%
IV Percentile51.5%40.5%80.2%80.2%55.6%
Term Structure-0.1%-2.6%1.1%-0.7%0.8%
VWIV42.5%39.0%56.1%56.1%45.1%
Skew 25d2.0%-0.1%5.0%5.0%2.7%
Skew 10d3.7%-0.4%6.2%6.2%3.1%
Call IV 25d40.4%38.3%49.3%49.3%40.1%
Put IV 25d42.5%38.9%54.3%54.3%42.8%
Bid-Ask Spread %2.361.823.083.082.48
Gamma HHI0.090.050.270.050.07
Net GEX32.6M-28.4M56.8M3.7M35.2M
Net DEX-312.9M-1.89B984.0M768.8M-383.5M
Net VEX-8.0M-10.3M-5.8M-6.6M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.201.020.240.85
Total Volume353,762.9163,1181,008,142271,046386,628
Total OI4,167,283.93,680,9204,869,7803,680,9204,869,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$14.86$15.0051.6%16.1%37.8%30.4%56.1%5.0%-0.7%3.7M768.8M-6.6M0.243.08219,19851,8482,102,0101,578,910
2020-11-03$14.80$15.0049.1%15.5%37.6%28.3%54.8%2.2%-1.0%2.0M812.8M-6.3M0.232.37314,72672,6542,102,0101,578,910
2020-11-04$14.88$15.0040.7%12.6%37.5%21.2%45.8%2.7%-0.3%9.7M792.6M-6.2M0.492.86203,844100,0102,358,3561,624,532
2020-11-05$14.81$17.0040.2%11.4%34.8%20.8%40.3%2.7%-0.3%3.4M838.0M-6.2M0.212.31135,32827,7902,345,5541,628,066
2020-11-06$14.52$16.5038.7%11.2%35.1%19.5%40.3%1.1%0.9%-28.4M984.0M-5.8M1.022.3492,37894,5502,431,9501,632,662
2020-11-09$16.66$16.5037.8%10.8%61.1%18.8%39.4%-0.1%0.0%42.9M-171.0M-7.7M0.212.69423,79487,9422,383,6521,553,008
2020-11-10$16.95$17.0039.1%11.3%60.9%19.8%40.4%2.0%0.2%40.9M-239.4M-7.6M0.292.49190,92855,7142,358,5381,555,686
2020-11-11$16.78$17.0038.7%11.2%61.1%19.5%40.3%1.1%0.4%39.9M-118.7M-7.5M0.892.00108,44896,3182,371,5661,577,966
2020-11-12$16.24$17.0041.6%12.1%62.5%21.9%42.7%2.0%0.9%28.9M231.7M-7.3M0.452.49212,55894,8302,388,6001,616,440
2020-11-13$16.99$17.5038.6%11.2%63.7%19.4%39.6%0.9%0.9%43.3M-216.3M-7.9M0.742.39176,442129,8562,466,7801,668,076
2020-11-16$18.03$17.0039.7%11.4%65.7%20.3%40.6%0.5%0.7%46.2M-802.5M-8.3M0.342.23292,24098,9542,414,0961,680,182
2020-11-17$18.13$17.0039.0%11.2%65.7%19.8%39.6%0.9%1.0%47.9M-828.5M-8.3M0.422.20187,61879,2862,416,9021,701,650
2020-11-18$17.84$17.5039.9%11.4%65.4%20.5%40.5%2.4%0.8%42.0M-607.0M-8.3M0.312.66406,570124,2742,429,1761,752,828
2020-11-19$18.00$17.5038.8%11.1%64.4%19.6%39.0%2.2%0.9%49.8M-735.7M-8.8M0.692.21144,346100,3102,618,1641,806,316
2020-11-20$17.96$17.5039.3%11.1%64.3%20.1%39.3%2.1%1.1%34.3M-734.7M-8.8M0.991.8299,96699,1982,670,5581,829,618
2020-11-23$19.11$17.5040.5%11.5%64.5%21.1%40.5%2.3%-2.0%45.0M-1.10B-9.0M0.402.32400,928162,1122,360,9821,643,356
2020-11-24$20.10$17.5040.8%11.6%65.3%21.3%41.1%3.1%-1.7%56.8M-1.89B-9.6M0.422.02710,166297,9762,584,4101,730,090
2020-11-25$19.70$18.0041.9%11.8%63.1%22.3%41.7%2.3%-1.4%56.7M-1.59B-10.3M0.372.10214,12679,2942,806,9141,902,598
2020-11-27$19.40$18.0042.0%12.4%64.0%22.3%43.3%2.3%-2.6%50.7M-1.27B-10.1M0.202.15250,82251,2882,860,8461,943,940
2020-11-30$18.39$18.0041.6%12.9%68.4%22.0%45.1%2.7%0.8%35.2M-383.5M-9.4M0.852.48208,876177,7522,944,3921,925,388