Volatility Sold on the XLE
Shares of the Energy Select Sector SPDR Fund (XLE) are trading higher on the session by 0.11%, at $71.95. Shares have been retreating since touching a 52-week high on September 9th; they are now testing the 200-day moving average.
One trader is betting that movement in the name will be muted over the next few weeks. A short while ago the November $75/70 strangle was sold 8,800 times, on the bid, for $1.08.
With open interest on each strike of 9,360 and 14,010 contracts, it is unclear whether this is opening or closing positioning. However, in either case the thesis is the same: volatility has been sold.
30-day implied vol is up 0.7% today to 20.51%; 10-day realized vol is registering 19.91%.
The Energy Select Sector SPDR Fund seeks to provide investment results that before expenses correspond generally to the price and yield performance of publicly traded equity securities of companies in The Energy Select Sector Index.
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