XLE Options History — November 2023

In November 2023, XLE traded between $41.33 and $43.72. ATM implied volatility averaged 21.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.9% (HV 20d: 20.3%). Max pain ranged from $43.00 to $44.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2023-11-15: Highest Volume — 750,766 contracts
  • 2023-11-30: Largest IV drop — 7.5% change
  • 2023-11-01: Highest IV Rank — 23.0%
  • 2023-11-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.29$41.33$43.72$42.66$42.28
Max Pain$43.67$43.00$44.50$44.00$43.00
ATM IV21.3%19.8%22.9%22.9%19.8%
Expected Move6.1%5.7%6.5%6.4%5.8%
HV 20d20.3%19.1%22.0%20.2%19.8%
HV 60d20.7%19.9%21.3%19.9%20.9%
IV Rank15.2%7.6%23.0%23.0%7.6%
IV Percentile12.7%5.2%25.0%25.0%5.2%
Term Structure0.2%-1.0%1.2%0.2%0.1%
VWIV21.4%19.6%23.3%22.8%21.2%
Skew 25d2.2%1.2%2.9%2.3%2.6%
Skew 10d4.1%2.8%4.9%4.3%4.2%
Call IV 25d20.2%18.6%22.0%22.0%18.6%
Put IV 25d22.4%20.9%24.3%24.3%21.2%
Bid-Ask Spread %1.671.292.452.191.74
Gamma HHI0.110.050.140.070.11
Net GEX-144.2M-241.7M-17.4M-112.0M-91.2M
Net DEX1.59B25.9M2.88B1.21B1.39B
Net VEX-23.9M-24.7M-22.5M-24.4M-23.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.7515.401.470.96
Total Volume262,726.286115,070750,766147,322225,638
Total OI4,819,828.6674,590,1825,233,7024,619,4944,913,322

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$42.66$44.0022.9%6.4%20.2%23.0%22.8%2.3%0.2%-112.0M1.21B-24.4M1.472.1959,70887,6141,895,0702,724,424
2023-11-02$43.72$44.5021.6%6.5%22.0%16.9%23.3%1.6%0.4%-17.4M25.9M-24.2M0.941.7676,31271,6361,911,3682,719,594
2023-11-03$43.41$44.5021.3%6.3%22.0%15.0%22.5%1.9%0.5%-71.2M423.5M-23.9M2.031.8066,442134,5661,918,2782,758,404
2023-11-06$42.88$44.5021.5%6.3%19.7%16.3%21.8%1.9%0.5%-104.2M997.1M-23.3M4.551.4844,930204,3601,865,4242,724,758
2023-11-07$41.92$44.5022.0%6.4%20.9%18.6%21.7%2.3%0.3%-175.6M2.20B-24.0M1.181.52111,338131,5421,879,0222,864,768
2023-11-08$41.48$44.5022.4%6.5%20.7%20.6%22.7%2.4%0.2%-190.8M2.58B-23.8M7.011.8086,500606,4081,917,9142,875,390
2023-11-09$41.33$44.0021.9%6.3%20.7%18.2%21.3%2.2%0.1%-221.0M2.78B-24.1M2.581.6048,690125,3881,949,5482,993,950
2023-11-10$41.69$44.0021.0%6.1%19.4%13.7%21.3%2.0%0.4%-217.3M2.32B-23.7M3.471.7646,534161,6101,960,6823,007,728
2023-11-13$42.01$44.0021.0%6.0%19.4%13.8%20.4%2.1%1.2%-196.9M1.95B-23.2M1.931.2947,11891,0541,930,7723,006,776
2023-11-14$42.41$44.0020.1%5.8%19.4%9.5%19.6%2.0%1.2%-174.5M1.48B-23.0M1.641.4289,482146,7141,942,5523,020,048
2023-11-15$42.33$43.5020.0%5.7%19.1%8.6%20.8%1.6%1.2%-176.5M1.49B-22.5M15.401.5845,786704,9801,943,9643,013,990
2023-11-16$41.42$43.5021.4%6.1%20.0%15.7%21.8%2.1%0.9%-241.7M2.88B-24.4M1.941.30144,412279,8101,957,8343,118,660
2023-11-17$42.38$43.5021.3%6.0%21.8%15.6%21.0%1.2%1.0%-163.3M1.60B-24.7M1.041.38167,764175,1822,026,6903,207,012
2023-11-20$42.55$43.0021.7%6.0%21.3%17.2%20.8%2.2%-0.7%-117.4M1.20B-24.4M1.841.5174,326136,5941,622,2062,986,910
2023-11-21$42.31$43.0021.8%6.0%21.1%17.5%20.3%2.3%-1.0%-131.3M1.48B-24.6M2.151.5366,044141,8741,667,7523,014,464
2023-11-22$42.28$43.0021.7%6.1%21.1%17.1%21.4%2.9%-0.9%-129.0M1.52B-24.7M2.151.4972,638155,9741,708,9023,032,872
2023-11-24$42.45$43.0021.4%6.0%21.0%15.6%20.4%2.6%-0.7%-113.4M1.26B-24.6M1.852.4545,95285,1841,738,2623,036,668
2023-11-27$42.28$43.0020.7%6.0%19.2%12.1%20.7%2.6%0.1%-127.0M1.44B-23.6M1.371.5848,60066,4701,716,7443,027,946
2023-11-28$42.33$43.0020.6%6.0%19.1%11.8%20.7%2.4%-0.1%-109.8M1.36B-23.7M0.751.5592,03068,5841,742,2143,039,954
2023-11-29$41.88$43.0021.4%6.5%19.5%15.6%22.9%2.8%-0.1%-146.9M1.89B-23.5M1.552.29110,560170,9041,785,8143,047,752
2023-11-30$42.28$43.0019.8%5.8%19.8%7.6%21.2%2.6%0.1%-91.2M1.39B-23.2M0.961.74115,326110,3121,842,8003,070,522