XOP Options History — July 2007

In July 2007, XOP traded between $174.64 and $194.12. ATM implied volatility averaged 27.1%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.4% (HV 20d: 22.7%). Max pain ranged from $176.00 to $188.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.40.

Notable Days

2007-07-26: Highest Volume — 8 contracts
2007-07-03: Largest IV spike — 148.8% change
2007-07-05: Highest IV Rank — 22.3%
2007-07-03: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$186.19	$174.64	$194.12	$185.48	$175.72
Max Pain	$186.29	$176.00	$188.00	$176.00	$188.00
ATM IV	27.1%	19.1%	60.3%	24.3%	29.3%
Expected Move	7.4%	5.3%	17.3%	7.0%	8.4%
HV 20d	22.7%	20.8%	24.8%	24.2%	24.6%
HV 60d	21.0%	20.1%	23.0%	20.4%	23.0%
IV Rank	7.7%	2.8%	22.3%	22.3%	10.6%
IV Percentile	46.0%	3.8%	84.1%	84.1%	76.4%
Term Structure	-2.3%	-43.1%	7.0%	-1.2%	3.4%
VWIV	21.5%	19.3%	23.4%	23.4%	19.3%
Skew 25d	1.0%	-8.5%	5.8%	0.8%	5.3%
Skew 10d	2.1%	-16.1%	23.0%	3.0%	7.4%
Call IV 25d	29.8%	20.1%	79.9%	33.3%	24.8%
Put IV 25d	30.8%	21.6%	84.0%	34.1%	30.1%
Bid-Ask Spread %	107.35	57.98	150.35	143.42	79.48
Gamma HHI	0.73	0.54	0.94	0.54	0.90
Net GEX	258.0K	201.7K	338.7K	338.7K	226.6K
Net DEX	-6.8M	-8.8M	-3.5M	-6.9M	-3.9M
Net VEX	-10.5K	-12.9K	-7.6K	-12.9K	-11.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.00	9.00	0.00	5.00
Total Volume	1.286	0	8	1	5
Total OI	495	424	530	528	436

Daily Data (21 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
2007-07-02	$185.48	$176.00	24.3%	7.0%	24.2%	0.0%	0.0%	0.8%	-1.2%	338.7K	-6.9M	-12.9K	0.00	143.42	1	0	514	14
2007-07-03	$187.16	$176.00	60.3%	17.3%	24.5%	0.0%	23.4%	5.8%	-39.0%	286.3K	-7.2M	-12.2K	0.00	145.61	3	0	515	14
2007-07-05	$187.24	$176.00	44.7%	12.8%	23.7%	22.3%	0.0%	4.0%	-43.1%	286.4K	-7.1M	-12.6K	0.00	147.05	1	0	513	14
2007-07-06	$187.92	$188.00	26.3%	6.1%	22.1%	8.3%	0.0%	0.3%	0.8%	310.5K	-7.4M	-11.6K	0.00	141.03	0	0	514	14
2007-07-09	$190.28	$188.00	20.2%	6.0%	22.4%	3.6%	0.0%	1.2%	0.9%	278.9K	-8.0M	-10.2K	0.00	57.98	1	0	514	14
2007-07-10	$189.04	$188.00	30.5%	5.7%	22.5%	11.5%	0.0%	0.4%	2.2%	305.5K	-7.8M	-10.3K	0.00	144.82	0	0	514	14
2007-07-11	$189.24	$188.00	32.0%	5.3%	22.5%	12.6%	0.0%	0.4%	4.4%	301.8K	-7.8M	-10.3K	0.00	145.72	1	0	514	14
2007-07-12	$190.56	$188.00	19.1%	5.5%	21.7%	2.8%	0.0%	0.5%	1.3%	283.9K	-8.0M	-10.1K	0.00	144.52	0	0	514	14
2007-07-13	$192.28	$188.00	20.6%	5.9%	20.8%	3.9%	0.0%	1.7%	0.6%	256.2K	-8.4M	-9.1K	0.00	143.95	0	0	514	14
2007-07-16	$188.32	$188.00	22.3%	6.4%	21.8%	5.2%	0.0%	3.0%	1.9%	257.8K	-7.8M	-9.9K	0.00	60.86	0	0	514	14
2007-07-17	$188.44	$188.00	22.4%	6.4%	21.5%	5.3%	0.0%	2.4%	1.9%	215.3K	-7.8M	-9.9K	0.00	61.21	1	0	514	14
2007-07-18	$192.64	$188.00	22.2%	6.4%	23.1%	5.1%	0.0%	0.9%	0.4%	206.1K	-8.6M	-8.4K	0.00	67.56	0	0	516	14
2007-07-19	$194.12	$188.00	21.8%	6.2%	21.1%	4.8%	21.8%	0.1%	-0.1%	201.7K	-8.8M	-7.6K	0.00	68.73	0	0	516	14
2007-07-20	$191.20	$188.00	23.1%	6.6%	20.9%	5.8%	0.0%	0.7%	0.0%	202.7K	-8.3M	-9.0K	0.00	63.28	0	0	516	14
2007-07-23	$188.12	$188.00	23.4%	6.7%	21.1%	6.1%	0.0%	4.2%	1.0%	219.9K	-6.0M	-9.5K	0.00	68.48	0	0	410	14
2007-07-24	$181.00	$188.00	25.7%	7.4%	24.4%	7.8%	0.0%	3.5%	0.0%	233.9K	-5.2M	-10.6K	0.00	67.46	0	0	410	14
2007-07-25	$181.88	$188.00	22.8%	6.5%	22.0%	5.6%	0.0%	-0.9%	0.9%	284.1K	-5.1M	-10.8K	0.00	150.35	0	0	410	14
2007-07-26	$177.12	$188.00	23.6%	6.8%	23.7%	6.2%	0.0%	-7.6%	7.0%	248.1K	-4.0M	-11.6K	1.38	141.75	3	5	410	14
2007-07-27	$174.64	$188.00	25.0%	7.2%	24.1%	7.3%	0.0%	-8.5%	5.3%	247.3K	-3.5M	-11.7K	9.00	135.40	1	5	412	18
2007-07-30	$177.56	$188.00	30.1%	8.6%	24.8%	11.2%	0.0%	2.5%	2.7%	226.4K	-4.1M	-11.5K	0.00	75.63	0	0	412	23
2007-07-31	$175.72	$188.00	29.3%	8.4%	24.6%	10.6%	19.3%	5.3%	3.4%	226.6K	-3.9M	-11.4K	5.00	79.48	1	4	413	23