XOP Options History — May 2007

In May 2007, XOP traded between $173.12 and $186.28. ATM implied volatility averaged 37.9%. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 20.4% (HV 20d: 17.4%). Max pain ranged from $144.00 to $172.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-05-16: Highest Volume — 383 contracts
  • 2007-05-09: Largest IV spike — 329.0% change
  • 2007-05-31: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$179.51$173.12$186.28$174.12$186.00
Max Pain$147.82$144.00$172.00$172.00$144.00
ATM IV37.9%20.1%86.4%21.4%64.8%
Expected Move10.4%5.9%18.6%6.1%18.6%
HV 20d17.4%15.6%19.3%15.6%18.1%
HV 60d17.5%16.2%18.4%17.4%16.2%
Term Structure-9.3%-31.3%4.1%4.1%-27.6%
VWIV43.8%25.3%58.3%47.7%58.3%
Skew 25d7.8%-8.7%24.5%4.6%23.5%
Skew 10d12.7%-8.1%54.9%-1.4%47.9%
Call IV 25d37.6%18.8%68.3%19.7%66.9%
Put IV 25d45.4%22.4%92.9%24.3%90.4%
Bid-Ask Spread %116.8878.45161.3297.92153.11
Gamma HHI0.680.370.920.680.60
Net GEX58.1K-98.5K214.8K-80.7K214.8K
Net DEX-2.4M-6.7M293.0K121.0K-6.6M
Net VEX-8.0K-17.7K-865-2.0K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.030.000.00
Total Volume23.182038300
Total OI285.091134533134533

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$174.12$172.0021.4%6.1%15.6%0.0%0.0%4.6%4.1%-80.7K121.0K-2.0K0.0097.920026108
2007-05-02$177.44$172.0021.3%6.1%16.6%0.0%0.0%4.2%3.9%-58.3K-20.5K-1.7K0.0093.120026108
2007-05-03$177.56$172.0020.5%5.9%16.6%0.0%0.0%4.3%3.2%-48.1K-152.8K-1.4K0.0098.564026108
2007-05-04$177.80$144.0023.5%6.7%16.5%0.0%0.0%1.7%1.3%-48.5K-137.2K-1.5K0.0083.070030108
2007-05-07$176.84$144.0021.0%7.1%16.7%0.0%0.0%-0.5%0.1%-45.7K-186.5K-1.4K0.0087.240030108
2007-05-08$177.12$144.0020.1%7.2%16.2%0.0%0.0%-0.3%0.0%-53.6K-231.3K-1.2K0.0086.450030108
2007-05-09$175.60$144.0086.4%12.7%16.6%0.0%47.7%14.6%-20.5%-35.8K293.0K-2.0K0.00161.320030108
2007-05-10$173.12$144.0025.2%7.2%16.6%0.0%25.3%3.2%-0.3%-98.5K84.1K-1.6K0.0078.452030108
2007-05-11$176.64$144.0024.6%7.1%18.0%0.0%0.0%-0.7%0.4%-22.3K-272.2K-1.1K0.0090.390031108
2007-05-14$176.52$144.0024.5%7.0%18.0%0.0%0.0%-0.3%0.8%-27.6K-263.8K-9910.0091.450031108
2007-05-15$175.96$144.0025.5%7.3%17.9%0.0%0.0%-0.5%-0.6%13.6K-309.1K-8650.0089.830031108
2007-05-16$176.72$144.0054.5%15.6%17.5%0.0%0.0%20.8%-23.4%-35.3K257.1K-1.5K0.00157.43383031108
2007-05-17$179.72$144.0022.2%6.4%17.4%0.0%0.0%1.5%0.3%210.9K-4.8M-16.0K0.0088.6200414108
2007-05-18$182.64$144.0021.9%6.3%17.6%0.0%0.0%1.6%0.4%194.4K-5.2M-15.4K0.0090.9600414108
2007-05-21$185.40$144.0049.6%14.2%17.9%0.0%58.3%-8.7%-31.3%154.9K-5.2M-15.0K0.00148.901040413
2007-05-22$184.32$144.0052.2%15.0%18.1%0.0%0.0%17.5%-18.8%150.4K-5.0M-15.5K0.00155.580040313
2007-05-23$183.64$144.0053.3%15.3%16.9%0.0%0.0%17.1%-19.9%146.7K-4.9M-15.5K0.00155.980040313
2007-05-24$180.04$144.0021.3%6.1%18.6%0.0%0.0%3.4%0.6%198.1K-4.7M-15.4K0.0094.300040313
2007-05-25$183.00$144.0055.8%16.0%19.3%0.0%0.0%17.1%-22.1%163.6K-4.9M-15.3K0.00157.7817040313
2007-05-29$182.80$144.0061.7%17.7%18.1%0.0%0.0%24.5%-27.0%171.4K-5.1M-15.7K0.03157.63100342013
2007-05-30$186.28$144.0062.2%17.8%18.9%0.0%0.0%23.1%-28.2%214.5K-6.7M-17.7K0.00153.300052013
2007-05-31$186.00$144.0064.8%18.6%18.1%0.0%0.0%23.5%-27.6%214.8K-6.6M-17.6K0.00153.110052013