XOP Options History — August 2007

In August 2007, XOP traded between $166.64 and $177.60. ATM implied volatility averaged 56.6%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 28.1% (HV 20d: 28.4%). Max pain ranged from $172.00 to $196.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2007-08-20: Highest Volume — 9 contracts
  • 2007-08-13: Largest IV spike — 218.3% change
  • 2007-08-13: Highest IV Rank — 81.2%
  • 2007-08-31: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$172.23$166.64$177.60$176.60$172.44
Max Pain$175.27$172.00$196.00$196.00$172.00
ATM IV56.6%26.3%122.1%26.3%67.2%
Expected Move12.6%7.5%19.3%7.5%19.3%
HV 20d28.4%24.3%31.0%24.3%30.7%
HV 60d24.8%23.0%26.1%23.0%26.1%
IV Rank31.3%8.3%81.2%8.3%39.4%
IV Percentile86.1%67.6%99.3%67.6%91.0%
Term Structure-8.0%-29.0%4.9%4.9%-29.0%
VWIV39.8%35.8%44.0%38.5%38.1%
Skew 25d1.3%-2.9%4.5%-2.9%1.1%
Skew 10d12.4%-10.8%23.6%-10.8%22.5%
Call IV 25d56.9%23.9%84.1%37.2%84.1%
Put IV 25d58.2%27.3%85.2%34.3%85.2%
Bid-Ask Spread %138.0050.63161.97147.71159.24
Gamma HHI0.880.870.900.900.87
Net GEX196.4K154.4K256.5K256.5K166.6K
Net DEX-3.3M-4.1M-2.6M-4.0M-3.5M
Net VEX-9.9K-11.4K-8.3K-11.4K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.002.800.000.00
Total Volume1.9550900
Total OI453.045439463439462

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$176.60$196.0026.3%7.5%24.3%8.3%0.0%-2.9%4.9%256.5K-4.0M-11.4K0.00147.710041227
2007-08-02$176.64$196.0029.3%8.4%24.3%10.6%0.0%4.5%2.8%225.4K-4.0M-11.3K0.0081.230041227
2007-08-03$171.40$196.0029.4%8.4%26.0%10.6%0.0%1.2%-0.6%231.9K-3.0M-11.0K0.0085.087041227
2007-08-06$169.68$172.0081.1%11.9%25.3%50.0%38.5%1.6%-5.4%168.2K-3.0M-10.9K1.07158.634441927
2007-08-07$174.12$172.0082.6%10.5%27.6%51.2%0.0%1.5%-2.1%185.8K-3.6M-11.1K0.00156.540042025
2007-08-08$177.60$172.0085.8%10.5%28.9%53.6%44.0%1.4%1.6%184.4K-4.1M-11.0K2.80156.951442025
2007-08-09$175.28$172.0091.1%10.8%28.8%57.6%0.0%1.4%-0.7%181.4K-3.8M-11.0K0.00157.651042129
2007-08-10$176.56$172.0038.4%9.4%28.7%17.5%0.0%-0.8%-2.7%255.5K-3.9M-10.8K0.00117.170042129
2007-08-13$175.76$172.00122.1%11.3%28.1%81.2%0.0%1.2%-2.3%184.2K-3.8M-10.5K0.00157.343042129
2007-08-14$173.04$172.0032.4%9.6%28.3%12.9%0.0%3.2%-1.7%244.6K-3.3M-10.4K0.0053.710042429
2007-08-16$167.24$172.0047.1%13.5%28.4%24.1%42.4%1.4%-9.4%163.4K-2.7M-9.6K2.80157.541442429
2007-08-17$172.40$172.0036.5%10.5%31.0%16.1%35.8%2.4%-0.7%231.3K-3.2M-10.0K0.0050.631042429
2007-08-20$169.72$172.0049.5%14.2%31.0%25.9%0.0%1.4%-7.0%174.4K-3.0M-9.4K0.00158.189042328
2007-08-21$168.40$172.0050.5%14.5%30.8%26.7%0.0%1.5%-13.0%173.8K-2.9M-9.5K0.00158.830043228
2007-08-22$170.48$172.0050.4%14.4%28.8%26.6%0.0%1.4%-14.6%180.1K-3.1M-9.4K0.00159.170043228
2007-08-23$170.24$172.0040.2%11.5%28.7%18.8%38.1%-0.3%-9.0%245.4K-2.9M-9.1K0.00116.940343228
2007-08-24$173.52$172.0056.3%16.2%28.3%31.1%0.0%0.9%-12.3%154.4K-3.6M-9.5K0.00157.730043231
2007-08-27$170.80$172.0055.0%15.8%28.4%30.1%0.0%1.5%-17.6%183.0K-3.2M-8.8K0.00161.171043231
2007-08-28$166.64$172.0057.4%16.5%28.8%32.0%0.0%1.5%-18.9%167.5K-2.6M-8.3K0.00161.450043131
2007-08-29$170.68$172.0057.2%16.4%30.2%31.8%0.0%1.5%-19.2%182.8K-3.1M-8.4K0.00161.230043131
2007-08-30$169.92$172.0059.2%17.0%30.1%33.3%0.0%1.6%-18.0%180.6K-3.0M-8.3K0.00161.970043131
2007-08-31$172.44$172.0067.2%19.3%30.7%39.4%0.0%1.1%-29.0%166.6K-3.5M-8.3K0.00159.240043131