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 9^th; 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. 

About Michael Zerinskas

Originally from Chicago, Michael J. Zerinskas began his career as an intern for a small high-frequency trading firm based at the CME; he then moved on to become Chief Options Strategist at Benzinga.com. Michael is now Unusual Activity Editor at The Options Insider, specializing in VIX, volatility, and flagging unusual activity.