XLE Options History — November 2021

In November 2021, XLE traded between $27.31 and $29.52. ATM implied volatility averaged 28.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.0% (HV 20d: 22.8%). Max pain ranged from $26.00 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2021-11-19: Highest Volume — 691,366 contracts
  • 2021-11-26: Largest IV spike — 19.2% change
  • 2021-11-26: Highest IV Rank — 51.4%
  • 2021-11-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.64$27.31$29.52$29.28$27.52
Max Pain$27.07$26.00$27.50$27.50$27.50
ATM IV28.8%26.0%36.1%27.3%35.2%
Expected Move8.3%7.5%10.4%7.9%10.4%
HV 20d22.8%18.1%29.9%20.5%29.6%
HV 60d27.8%26.1%29.0%28.1%29.0%
IV Rank15.1%1.3%51.4%5.4%47.1%
IV Percentile22.5%0.4%69.4%6.3%66.7%
Term Structure0.3%-1.4%1.5%0.3%-1.4%
VWIV29.8%26.4%37.3%28.4%36.5%
Skew 25d2.1%1.1%5.3%1.3%4.9%
Skew 10d3.7%1.8%8.8%2.0%8.8%
Call IV 25d28.5%25.8%33.8%27.5%33.7%
Put IV 25d30.6%27.2%39.1%28.8%38.6%
Bid-Ask Spread %3.532.134.932.904.42
Gamma HHI0.090.060.130.120.06
Net GEX151.2M42.7M235.4M209.6M49.0M
Net DEX-3.61B-5.32B-1.27B-4.74B-1.48B
Net VEX-18.1M-19.8M-17.0M-19.4M-18.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.382.171.011.04
Total Volume329,414.19128,600691,366208,696266,696
Total OI6,674,4825,968,9787,141,0446,509,8586,351,994

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$29.28$27.5027.3%7.9%20.5%5.4%28.4%1.3%0.3%209.6M-4.74B-19.4M1.012.90103,712104,9843,679,7182,830,140
2021-11-02$28.98$27.5027.8%8.0%21.0%8.0%28.5%1.5%0.3%194.0M-4.38B-19.0M0.783.0572,18656,4143,706,5862,861,330
2021-11-03$28.68$27.5028.0%8.1%20.6%9.5%29.0%1.4%0.5%175.4M-3.94B-19.0M0.382.67415,900157,5563,709,3142,871,086
2021-11-04$28.71$26.0027.6%8.2%20.4%9.1%28.5%1.4%0.7%194.6M-4.06B-19.8M0.774.83115,64288,5663,905,5602,943,642
2021-11-05$29.14$26.5027.1%8.1%18.1%6.8%28.7%1.2%0.5%203.3M-4.77B-19.0M0.644.47155,674100,2823,894,4062,973,908
2021-11-08$29.39$26.5028.0%8.3%18.2%11.0%29.6%1.4%0.7%220.8M-5.07B-18.5M0.434.24225,30895,9883,790,3442,934,446
2021-11-09$29.52$26.5027.8%8.3%18.1%10.4%30.4%1.5%0.9%235.4M-5.32B-18.3M1.304.5585,016110,5783,851,3722,972,266
2021-11-10$28.70$26.5028.6%8.4%21.0%14.3%29.5%1.8%0.7%174.6M-3.94B-19.0M0.803.47136,984109,8243,882,3823,017,590
2021-11-11$28.86$26.5027.2%7.9%20.9%7.3%28.4%1.4%0.3%187.1M-4.24B-18.6M0.714.9391,86865,0183,913,4303,035,942
2021-11-12$28.73$26.5026.1%7.6%20.8%1.7%28.0%1.1%0.7%141.3M-3.99B-18.0M1.254.20104,084129,9223,938,7803,054,580
2021-11-15$29.05$26.5026.5%7.6%21.1%3.8%28.7%1.1%1.3%219.3M-4.53B-17.4M1.393.64138,994193,8083,853,7043,057,262
2021-11-16$29.11$27.0026.3%7.6%20.8%2.9%27.8%1.3%1.2%225.6M-4.71B-17.2M2.173.44109,412237,5243,896,0283,160,564
2021-11-17$28.55$27.5026.0%7.5%21.8%1.3%26.4%2.0%1.5%140.2M-3.56B-17.0M0.562.44407,618228,9563,910,2583,230,786
2021-11-18$28.48$27.5026.9%7.6%20.9%5.7%26.8%2.5%1.1%114.5M-3.38B-17.0M1.432.13113,854162,6983,803,4943,237,462
2021-11-19$27.31$27.5029.9%8.4%25.2%20.6%31.0%3.3%1.2%42.7M-1.27B-17.4M0.873.13370,222321,1443,839,8623,256,008
2021-11-22$27.98$27.5029.6%8.2%26.3%19.3%29.3%2.5%-0.3%73.1M-2.20B-17.2M1.822.74126,946231,5043,109,8742,859,104
2021-11-23$28.62$27.5030.8%8.4%27.6%25.4%30.3%2.2%-0.9%109.8M-2.98B-17.3M0.563.01305,486171,1183,140,4882,931,194
2021-11-24$28.96$27.5030.3%8.3%26.2%22.5%29.6%2.3%-0.8%127.2M-3.39B-17.4M0.922.34203,420187,8763,191,9362,994,680
2021-11-26$27.82$27.5036.1%10.2%29.8%51.4%37.3%5.3%-1.0%64.3M-1.81B-18.7M1.084.71147,674159,2123,259,1163,052,186
2021-11-29$28.00$27.5032.4%9.4%29.9%32.9%33.8%3.5%-0.5%73.6M-2.12B-17.6M0.562.76197,438110,5923,228,4203,032,880
2021-11-30$27.52$27.5035.2%10.4%29.6%47.1%36.5%4.9%-1.4%49.0M-1.48B-18.2M1.044.42130,568136,1283,294,0763,057,918