XOP Options History — April 2007 In April 2007, XOP traded between $164.48 and $176.28. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 14.3% (HV 20d: 13.2%). Max pain ranged from $156.00 to $172.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-04-18 : Highest Volume — 104 contracts2007-04-11 : Largest IV spike — 320.6% change2007-04-11 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $170.81 $164.48 $176.28 $164.48 $173.00 Max Pain $165.20 $156.00 $172.00 $156.00 $172.00 ATM IV 27.4% 19.1% 89.8% 22.6% 23.9% Expected Move 7.2% 5.5% 13.2% 6.5% 6.9% HV 20d 13.2% 10.8% 15.7% 15.1% 15.7% HV 60d 18.6% 17.0% 20.5% 20.5% 17.4% Term Structure -1.7% -10.9% 1.6% -1.7% -1.0% VWIV 25.2% 21.5% 31.2% 21.5% 24.9% Skew 25d 0.9% -4.4% 17.3% -1.4% 7.9% Skew 10d -2.1% -6.6% 35.1% -3.6% 2.5% Call IV 25d 24.5% 14.5% 47.2% 22.1% 14.5% Put IV 25d 25.4% 18.1% 64.5% 20.7% 22.4% Bid-Ask Spread % 95.08 77.16 168.32 92.13 97.10 Gamma HHI 0.54 0.32 0.83 0.53 0.68 Net GEX -24.7K -84.2K 8.2K 8.1K -84.2K Net DEX -50.3K -280.6K 508.1K -214.8K 163.1K Net VEX -1.1K -2.6K -342 -514 -2.0K 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 6.15 0 104 0 3 Total OI 63.25 20 131 20 131
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 2007-04-02 $164.48 $156.00 22.6% 6.5% 15.1% 0.0% 0.0% -1.4% -1.7% 8.1K -214.8K -514 0.00 92.13 0 0 19 1 2007-04-03 $164.84 $156.00 22.2% 6.4% 14.3% 0.0% 0.0% -1.5% -1.7% 8.2K -222.9K -498 0.00 93.76 0 0 19 1 2007-04-04 $165.44 $156.00 20.9% 6.0% 13.4% 0.0% 21.5% -4.4% 0.1% 7.8K -232.9K -473 0.00 96.52 0 1 19 1 2007-04-05 $167.08 $156.00 21.6% 6.2% 13.4% 0.0% 21.5% -2.3% 0.3% 6.6K -235.7K -475 0.00 97.45 1 0 19 2 2007-04-09 $167.68 $164.00 21.3% 6.3% 13.4% 0.0% 0.0% 0.0% 0.3% 6.7K -245.8K -437 0.00 85.53 0 0 19 2 2007-04-10 $170.00 $164.00 21.4% 6.2% 13.3% 0.0% 0.0% -1.5% 0.0% 6.2K -261.5K -401 0.00 88.61 0 0 19 2 2007-04-11 $169.76 $164.00 89.8% 13.2% 12.5% 0.0% 0.0% 17.3% -10.9% 5.8K -224.2K -498 0.00 168.32 0 0 19 2 2007-04-12 $172.52 $164.00 23.8% 6.8% 12.7% 0.0% 0.0% -2.6% -3.0% 5.9K -277.2K -362 0.00 95.59 0 0 19 2 2007-04-13 $173.32 $164.00 23.4% 6.7% 12.3% 0.0% 0.0% -1.5% -2.5% 5.8K -280.2K -351 0.00 100.52 0 0 19 2 2007-04-16 $173.20 $164.00 19.1% 5.5% 11.1% 0.0% 0.0% -0.2% 1.6% 6.0K -280.6K -342 0.00 89.94 0 0 19 2 2007-04-17 $172.12 $164.00 21.2% 6.1% 10.8% 0.0% 0.0% -0.6% -0.7% 6.4K -275.1K -364 0.00 84.41 3 0 19 2 2007-04-18 $170.52 $164.00 30.4% 8.7% 12.0% 0.0% 31.2% -1.3% -1.1% 6.2K -257.2K -410 0.00 103.15 0 104 19 2 2007-04-19 $168.36 $168.00 26.8% 7.7% 12.5% 0.0% 0.0% 1.1% -1.2% -79.7K 508.1K -2.6K 0.00 77.16 0 0 19 106 2007-04-20 $170.72 $168.00 26.9% 7.7% 12.3% 0.0% 26.7% 0.0% -3.0% -78.7K 408.1K -2.5K 0.00 79.61 0 1 19 106 2007-04-23 $172.56 $172.00 31.0% 8.9% 12.7% 0.0% 0.0% -1.1% -2.6% -68.6K 379.0K -2.3K 0.00 105.87 0 0 16 105 2007-04-24 $172.48 $172.00 26.9% 7.7% 12.6% 0.0% 24.9% 1.0% -3.3% -79.2K 341.8K -2.2K 0.00 84.62 10 0 16 105 2007-04-25 $176.28 $172.00 25.4% 7.3% 14.2% 0.0% 0.0% 1.1% -1.9% -60.3K 64.4K -2.0K 0.00 89.62 0 0 26 105 2007-04-26 $175.88 $172.00 25.4% 7.3% 14.3% 0.0% 0.0% 4.0% -1.3% -60.0K 71.7K -2.1K 0.00 86.09 0 0 26 105 2007-04-27 $175.88 $172.00 24.3% 7.0% 14.4% 0.0% 0.0% 4.8% -1.0% -63.1K 65.2K -2.0K 0.00 85.70 0 0 26 105 2007-04-30 $173.00 $172.00 23.9% 6.9% 15.7% 0.0% 0.0% 7.9% -1.0% -84.2K 163.1K -2.0K 0.00 97.10 0 3 26 105
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