XOP Options History — June 2007

In June 2007, XOP traded between $181.60 and $195.96. ATM implied volatility averaged 42.1%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 19.8% (HV 20d: 22.3%). Max pain ranged from $144.00 to $180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-06-18: Highest Volume — 9 contracts
  • 2007-06-13: Largest IV spike — 768.7% change
  • 2007-06-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$188.51$181.60$195.96$188.04$183.48
Max Pain$178.29$144.00$180.00$144.00$180.00
ATM IV42.1%15.4%146.7%66.0%22.1%
Expected Move7.8%5.0%18.9%18.9%6.3%
HV 20d22.3%18.3%26.2%18.3%25.3%
HV 60d18.0%16.0%20.3%16.0%20.3%
Term Structure-4.8%-30.3%2.0%-30.3%-1.3%
VWIV22.3%19.0%24.4%19.0%23.4%
Skew 25d6.1%-0.9%25.1%25.1%8.1%
Skew 10d8.6%-4.6%48.3%48.3%2.5%
Call IV 25d27.6%15.5%65.5%65.5%15.5%
Put IV 25d33.7%17.4%90.6%90.6%23.6%
Bid-Ask Spread %115.6765.86183.43149.9789.48
Gamma HHI0.570.520.660.600.52
Net GEX255.5K186.0K347.8K210.6K346.5K
Net DEX-7.3M-8.7M-5.7M-6.9M-6.4M
Net VEX-14.0K-17.5K-9.4K-16.9K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.9520902
Total OI528.952519533533527

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$188.04$144.0066.0%18.9%18.3%0.0%0.0%25.1%-30.3%210.6K-6.9M-16.9K0.00149.970052013
2007-06-04$192.16$180.0072.6%10.5%19.5%0.0%0.0%16.1%-13.2%198.3K-7.6M-15.8K0.00160.474052013
2007-06-05$191.60$180.0015.4%5.0%19.3%0.0%0.0%0.3%1.5%235.4K-8.1M-13.0K0.0075.910051813
2007-06-06$188.20$180.0019.3%5.8%20.8%0.0%0.0%2.7%1.9%274.6K-7.4M-15.1K0.0071.000051813
2007-06-07$183.80$180.0087.0%11.3%22.6%0.0%0.0%10.2%-14.8%224.5K-6.3M-17.5K0.00183.430051813
2007-06-08$184.72$180.0092.0%11.4%21.7%0.0%0.0%11.0%-13.7%221.5K-6.4M-17.0K0.00180.910051813
2007-06-11$185.92$180.00115.9%11.8%20.8%0.0%0.0%12.1%-13.8%219.9K-6.6M-16.6K0.00179.240051813
2007-06-12$185.72$180.0016.9%6.1%20.9%0.0%0.0%3.6%1.9%284.9K-6.9M-15.5K0.0065.860051813
2007-06-13$189.16$180.00146.7%11.8%21.5%0.0%0.0%15.0%-16.1%212.2K-7.1M-15.7K0.00174.090051813
2007-06-14$192.80$180.0020.6%5.9%22.2%0.0%0.0%0.6%2.0%227.0K-8.2M-12.3K0.0080.691051813
2007-06-15$194.44$180.0020.6%5.9%21.7%0.0%0.0%0.1%1.6%206.6K-8.4M-11.8K0.0088.990051213
2007-06-18$195.96$180.0019.0%5.5%21.3%0.0%19.0%-0.2%-0.2%186.0K-8.7M-9.4K0.0089.659050613
2007-06-19$194.84$180.0019.5%5.6%21.1%0.0%0.0%3.9%-0.5%214.0K-8.7M-9.8K0.00134.770051513
2007-06-20$189.84$180.0018.9%5.4%23.2%0.0%0.0%1.4%0.2%269.5K-7.9M-12.5K0.0083.710051513
2007-06-21$193.24$180.0019.1%5.5%23.9%0.0%0.0%-0.9%0.4%229.4K-8.4M-10.5K0.0086.800051513
2007-06-22$190.52$180.0020.2%5.8%23.2%0.0%0.0%0.4%-0.7%266.9K-8.0M-11.7K0.00138.571051513
2007-06-25$187.12$180.0021.0%6.0%23.8%0.0%0.0%0.5%-0.0%313.4K-7.3M-13.3K0.00141.670051513
2007-06-26$181.60$180.0025.8%7.4%26.2%0.0%0.0%4.1%-3.7%342.4K-5.7M-15.6K0.0084.430051513
2007-06-27$183.20$180.0022.8%6.5%25.5%0.0%24.4%6.7%-1.7%335.0K-6.3M-14.7K0.0080.843051513
2007-06-28$182.32$180.0022.1%6.3%25.5%0.0%0.0%6.6%-1.0%347.8K-6.2M-14.6K0.0088.570051413
2007-06-29$183.48$180.0022.1%6.3%25.3%0.0%23.4%8.1%-1.3%346.5K-6.4M-14.5K0.0089.480251413