XLE Options History — November 2024 In November 2024, XLE traded between $44.02 and $48.70. ATM implied volatility averaged 19.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.6% (HV 20d: 20.1%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.97.
Notable Days 2024-11-04 : Highest Volume — 367,982 contracts2024-11-13 : Largest IV drop — 10.8% change2024-11-04 : Highest IV Rank — 55.9%2024-11-01 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $47.11 $44.02 $48.70 $44.02 $47.78 Max Pain $45.60 $45.00 $46.00 $45.00 $46.00 ATM IV 19.5% 16.6% 24.1% 23.3% 17.8% Expected Move 5.6% 5.1% 7.3% 7.3% 5.1% HV 20d 20.1% 15.1% 22.0% 16.2% 20.8% HV 60d 20.2% 18.5% 20.9% 18.5% 19.9% IV Rank 25.5% 6.7% 55.9% 50.3% 14.7% IV Percentile 44.1% 7.1% 95.6% 93.3% 20.6% Term Structure 0.5% -0.4% 3.7% 0.9% -0.4% VWIV 19.8% 17.5% 26.2% 26.2% 17.5% Skew 25d 0.5% -0.5% 1.4% 0.2% 1.2% Skew 10d 0.6% -2.6% 2.3% 0.8% 2.3% Call IV 25d 19.2% 16.9% 24.2% 23.2% 16.9% Put IV 25d 19.7% 17.7% 24.7% 23.4% 18.1% Bid-Ask Spread % 24.13 8.12 36.29 18.77 8.12 Gamma HHI 0.11 0.06 0.27 0.06 0.08 Net GEX 171.9M -56.8M 306.3M -56.8M 118.5M Net DEX -1.89B -3.20B 1.05B 1.05B -1.57B Net VEX -24.1M -27.0M -22.1M -27.0M -22.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.29 3.06 0.29 1.84 Total Volume 165,456.7 46,658 367,982 173,436 54,024 Total OI 4,645,240 4,288,730 4,917,636 4,879,294 4,405,706
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2024-11-01 $44.02 $45.00 23.3% 7.3% 16.2% 50.3% 26.2% 0.2% 0.9% -56.8M 1.05B -27.0M 0.29 18.77 134,050 39,386 2,120,446 2,758,848 2024-11-04 $44.77 $45.50 24.1% 6.9% 17.5% 55.9% 24.1% 0.5% -0.1% 13.8M 168.4M -26.4M 1.47 22.30 148,874 219,108 1,956,408 2,729,858 2024-11-05 $44.95 $45.50 22.9% 6.4% 15.1% 48.1% 23.2% 0.1% -0.2% 38.7M -41.1M -26.7M 0.90 17.86 119,524 107,292 2,049,388 2,775,290 2024-11-06 $47.01 $45.50 20.6% 6.0% 22.0% 33.0% 21.3% -0.3% 0.5% 233.3M -2.65B -25.2M 0.42 24.91 256,922 108,452 2,079,520 2,787,800 2024-11-07 $46.65 $45.50 19.4% 5.6% 22.0% 25.3% 19.3% -0.1% -0.4% 222.5M -2.05B -25.3M 0.72 28.97 73,204 52,376 2,094,204 2,788,920 2024-11-08 $46.75 $45.50 19.4% 5.6% 22.0% 25.0% 19.9% -0.4% -0.1% 214.1M -2.13B -25.2M 1.15 21.43 72,038 83,096 2,106,056 2,811,580 2024-11-11 $47.13 $45.50 19.1% 5.5% 22.0% 23.2% 19.3% 0.1% 0.2% 257.6M -2.45B -24.3M 0.85 14.97 67,618 57,628 2,058,406 2,787,548 2024-11-12 $46.98 $45.50 20.9% 5.5% 19.5% 35.1% 19.3% -0.1% -0.4% 250.7M -2.22B -24.2M 0.93 19.33 70,860 66,172 2,059,246 2,802,338 2024-11-13 $47.34 $45.50 18.7% 5.5% 19.6% 20.2% 19.0% 0.6% 0.2% 290.8M -2.66B -23.7M 0.75 17.35 57,198 43,126 2,045,018 2,796,802 2024-11-14 $47.42 $45.50 17.8% 5.3% 19.6% 14.7% 18.6% -0.5% 0.3% 306.3M -2.74B -23.4M 3.06 36.29 28,614 87,574 2,047,288 2,811,202 2024-11-15 $47.28 $45.50 18.4% 5.6% 19.6% 18.8% 19.7% 0.3% 0.3% 301.8M -2.33B -24.3M 0.94 27.65 65,792 62,172 2,047,658 2,868,242 2024-11-18 $48.05 $46.00 18.6% 5.3% 20.1% 19.6% 19.3% 1.2% 0.5% 151.7M -2.34B -23.3M 1.21 26.64 94,966 115,376 1,686,838 2,601,892 2024-11-19 $47.67 $45.50 18.9% 5.4% 20.5% 22.1% 19.0% 1.0% 0.5% 148.7M -2.13B -23.7M 1.23 27.17 20,908 25,750 1,754,822 2,629,980 2024-11-20 $48.13 $45.50 18.8% 5.4% 20.3% 20.8% 18.6% 1.2% 3.3% 181.3M -2.59B -23.3M 0.80 29.13 37,262 29,936 1,761,700 2,646,940 2024-11-21 $48.70 $45.50 18.8% 5.4% 20.5% 21.4% 19.0% 1.0% 0.4% 208.6M -3.20B -22.9M 0.42 26.94 157,528 65,678 1,771,196 2,658,412 2024-11-22 $48.67 $45.50 18.4% 5.2% 20.5% 18.4% 18.3% 0.6% 0.3% 195.3M -3.03B -23.3M 0.36 28.72 184,476 65,598 1,762,644 2,692,850 2024-11-25 $47.70 $46.00 18.4% 5.2% 21.8% 18.5% 17.9% 1.4% 0.4% 137.1M -1.79B -23.1M 0.54 22.43 155,348 83,818 1,736,428 2,648,902 2024-11-26 $47.62 $46.00 16.6% 5.2% 20.9% 6.7% 18.2% 0.8% 3.7% 109.9M -1.49B -22.7M 1.11 34.27 39,452 43,798 1,686,364 2,690,254 2024-11-27 $47.65 $46.00 18.4% 5.1% 20.9% 18.2% 18.2% 1.3% -0.3% 113.5M -1.52B -22.1M 0.43 29.43 79,570 34,570 1,682,256 2,705,550 2024-11-29 $47.78 $46.00 17.8% 5.1% 20.8% 14.7% 17.5% 1.2% -0.4% 118.5M -1.57B -22.2M 1.84 8.12 19,052 34,972 1,679,134 2,726,572
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