XOP Options History — March 2007 In March 2007, XOP traded between $148.68 and $163.92. ATM implied volatility averaged 23.4%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.4% (HV 20d: 21.1%). Max pain ranged from $156.00 to $164.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-03-05 : Highest Volume — 1 contracts2007-03-15 : Largest IV spike — 19.2% change2007-03-15 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $156.57 $148.68 $163.92 $154.88 $162.92 Max Pain $156.73 $156.00 $164.00 $164.00 $156.00 ATM IV 23.4% 18.5% 26.3% 24.7% 23.9% Expected Move 7.1% 6.5% 7.6% 7.1% 6.8% HV 20d 21.1% 17.0% 23.4% 17.0% 17.0% HV 60d 21.5% 20.6% 22.2% 22.2% 20.6% Term Structure -0.6% -3.2% 2.6% 0.5% -3.2% VWIV 24.3% 24.3% 24.3% 24.3% 24.3% Skew 25d 0.8% -4.1% 4.7% -3.1% -4.1% Skew 10d 1.6% -5.8% 9.9% -1.0% -3.6% Call IV 25d 23.1% 20.8% 24.2% 23.0% 22.9% Put IV 25d 23.9% 18.8% 26.1% 19.9% 18.8% Bid-Ask Spread % 75.02 53.97 99.96 98.43 98.65 Gamma HHI 0.48 0.29 0.60 0.29 0.54 Net GEX 9.7K -3.9K 16.3K 6.1K 8.2K Net DEX -131.9K -209.2K -22.3K -111.5K -199.4K Net VEX -613 -750 -533 -750 -545 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.136 0 1 0 0 Total OI 72.455 19 117 117 20
Daily Data (22 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 2007-03-01 $154.88 $164.00 24.7% 7.1% 17.0% 0.0% 0.0% -3.1% 0.5% 6.1K -111.5K -750 0.00 98.43 0 0 23 94 2007-03-02 $151.32 $164.00 23.9% 6.8% 18.7% 0.0% 0.0% -0.9% 2.6% 3.3K -65.8K -737 0.00 99.96 0 0 23 94 2007-03-05 $148.68 $156.00 25.0% 7.5% 19.4% 0.0% 0.0% 1.7% 0.5% -3.9K -22.3K -718 0.00 63.38 1 0 23 94 2007-03-06 $151.44 $156.00 23.6% 7.5% 20.8% 0.0% 0.0% 2.1% -0.8% 7.7K -64.8K -654 0.00 57.33 0 0 22 94 2007-03-07 $154.12 $156.00 24.0% 7.2% 21.9% 0.0% 0.0% 2.0% -1.4% 11.3K -96.3K -640 0.00 53.97 1 0 22 94 2007-03-08 $153.92 $156.00 21.6% 7.4% 21.8% 0.0% 0.0% 2.2% -1.0% 13.2K -103.7K -662 0.00 56.62 0 0 23 94 2007-03-09 $154.24 $156.00 22.3% 7.1% 21.9% 0.0% 0.0% 1.2% -1.4% 13.4K -107.0K -655 0.00 56.94 0 0 23 94 2007-03-12 $153.44 $156.00 18.5% 7.4% 21.9% 0.0% 0.0% 1.9% -0.9% 15.4K -95.6K -629 0.00 60.93 0 0 23 94 2007-03-13 $152.00 $156.00 20.7% 7.3% 21.5% 0.0% 0.0% 2.2% -0.8% 14.5K -82.7K -609 0.00 61.80 0 0 23 94 2007-03-14 $154.12 $156.00 22.1% 7.1% 21.6% 0.0% 0.0% 1.9% -1.7% 16.3K -100.7K -617 0.00 64.47 0 0 23 94 2007-03-15 $153.64 $156.00 26.3% 7.6% 21.6% 0.0% 0.0% 1.8% -1.4% 15.6K -92.0K -609 0.00 80.86 0 0 23 94 2007-03-16 $152.20 $156.00 26.1% 7.5% 21.7% 0.0% 0.0% 1.6% -1.1% 10.5K -55.8K -593 0.00 66.36 0 0 21 94 2007-03-19 $155.24 $156.00 24.5% 7.0% 22.8% 0.0% 0.0% 2.8% -0.5% 9.4K -152.3K -597 0.00 70.80 0 0 19 0 2007-03-20 $156.40 $156.00 24.6% 7.1% 22.8% 0.0% 0.0% 4.7% -0.8% 9.5K -161.5K -591 0.00 71.61 0 0 19 0 2007-03-21 $158.96 $156.00 22.5% 6.5% 23.1% 0.0% 0.0% 1.6% 0.7% 9.8K -178.4K -583 0.00 74.96 0 0 19 0 2007-03-22 $161.44 $156.00 24.9% 7.1% 23.4% 0.0% 0.0% -0.2% -2.2% 9.1K -195.0K -570 0.00 93.40 0 0 19 0 2007-03-23 $162.12 $156.00 24.0% 6.9% 23.4% 0.0% 0.0% 0.2% -0.0% 9.0K -194.7K -563 0.00 82.00 0 0 19 0 2007-03-26 $163.28 $156.00 24.1% 6.9% 23.4% 0.0% 24.3% -0.4% -0.3% 9.2K -205.2K -544 0.00 88.54 0 1 19 0 2007-03-27 $163.24 $156.00 22.7% 6.5% 19.2% 0.0% 0.0% 0.2% 0.0% 8.3K -204.2K -542 0.00 82.01 0 0 19 1 2007-03-28 $163.12 $156.00 22.6% 6.5% 19.2% 0.0% 0.0% 0.1% 0.6% 8.4K -205.1K -536 0.00 83.01 0 0 19 1 2007-03-29 $163.92 $156.00 23.0% 6.6% 19.2% 0.0% 0.0% -2.8% 0.1% 8.1K -209.2K -533 0.00 84.42 0 0 19 1 2007-03-30 $162.92 $156.00 23.9% 6.8% 17.0% 0.0% 0.0% -4.1% -3.2% 8.2K -199.4K -545 0.00 98.65 0 0 19 1
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