XOP Options History — January 2007

In January 2007, XOP traded between $141.68 and $156.88. ATM implied volatility averaged 30.6%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.1% (HV 20d: 26.5%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.10.

Notable Days

  • 2007-01-22: Highest Volume — 11 contracts
  • 2007-01-26: Largest IV spike — 170.9% change
  • 2007-01-26: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.49$141.68$156.88$146.56$156.88
Max Pain$160.00$160.00$160.00$160.00$160.00
ATM IV30.6%23.6%67.4%28.0%23.6%
Expected Move8.7%6.8%19.3%8.0%6.8%
HV 20d26.5%25.8%27.5%27.5%25.8%
Term Structure-0.6%-22.7%2.5%0.9%0.7%
Skew 25d2.1%-2.3%5.9%4.0%2.5%
Skew 10d1.8%-9.9%11.7%4.8%-0.5%
Call IV 25d30.1%19.0%92.0%24.2%19.1%
Put IV 25d32.2%21.6%94.4%28.2%21.6%
Bid-Ask Spread %98.6066.46179.1192.65100.04
Gamma HHI0.670.320.820.790.32
Net GEX-26.8K-34.1K-8.2K-30.7K-8.2K
Net DEX259.4K-54.7K443.2K369.2K-54.7K
Net VEX-1.8K-2.4K-1.2K-2.0K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.400.000.00
Total Volume1.201102
Total OI104.459811598115

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$146.56$160.0028.0%8.0%0.0%0.0%0.0%4.0%0.9%-30.7K369.2K-2.0K0.0092.6500395
2007-01-04$144.64$160.0028.0%8.0%0.0%0.0%0.0%5.9%2.5%-32.6K416.5K-2.1K0.0096.4400395
2007-01-05$146.00$0.0027.6%8.6%0.0%0.0%0.0%3.2%-0.5%-31.7K377.8K-2.0K0.0066.4610395
2007-01-08$146.64$0.0027.7%8.7%0.0%0.0%0.0%3.2%-0.0%-31.6K364.6K-2.0K0.0069.2600495
2007-01-09$145.12$0.0027.5%8.6%0.0%0.0%0.0%2.8%-0.3%-32.6K397.5K-2.0K0.0070.3500495
2007-01-10$142.40$0.0042.2%8.5%0.0%0.0%0.0%-0.5%0.9%-34.1K442.4K-2.0K0.40129.9431495
2007-01-11$141.68$0.0029.7%8.5%0.0%0.0%0.0%-2.3%0.8%-33.3K443.2K-2.1K0.00130.1600694
2007-01-12$146.36$0.0029.5%8.4%0.0%0.0%0.0%0.4%0.9%-30.7K339.3K-2.0K0.00132.5610694
2007-01-16$144.84$0.0030.3%8.7%0.0%0.0%0.0%2.8%-0.0%-33.1K363.4K-1.9K0.0076.7400794
2007-01-17$146.44$0.0030.2%8.7%0.0%0.0%0.0%1.5%-0.3%-31.5K326.3K-1.9K0.0077.2700794
2007-01-18$145.04$0.0030.3%8.7%0.0%0.0%0.0%0.5%0.1%-33.7K350.6K-1.9K0.00134.3210794
2007-01-19$149.32$0.0029.7%8.5%0.0%0.0%0.0%1.9%0.7%-28.5K262.4K-1.7K0.0078.6400794
2007-01-22$149.08$0.0030.2%8.7%0.0%0.0%0.0%0.6%0.7%-28.8K249.8K-1.6K0.3381.6883794
2007-01-23$153.36$0.0027.8%8.0%0.0%0.0%0.0%1.5%0.3%-20.7K101.2K-1.7K0.0084.24001596
2007-01-24$154.04$0.0028.0%8.0%0.0%0.0%0.0%1.1%0.3%-19.4K81.3K-1.6K0.0086.39001596
2007-01-25$150.84$0.0024.9%7.1%27.5%0.0%0.0%4.2%0.6%-23.6K131.4K-1.6K0.0092.70401596
2007-01-26$152.36$0.0067.4%19.3%26.8%0.0%0.0%2.4%-22.7%-20.1K203.1K-2.4K0.00179.11001996
2007-01-29$152.20$0.0025.1%7.2%26.0%0.0%0.0%4.2%0.6%-18.9K52.5K-1.7K0.0096.82001996
2007-01-30$155.92$0.0024.6%7.1%26.5%0.0%0.0%2.0%0.9%-11.4K-29.2K-1.3K0.0096.18001996
2007-01-31$156.88$0.0023.6%6.8%25.8%0.0%0.0%2.5%0.7%-8.2K-54.7K-1.2K0.00100.04201996