XOP Options History — September 2007

In September 2007, XOP traded between $175.92 and $191.04. ATM implied volatility averaged 48.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 22.6% (HV 20d: 25.6%). Max pain ranged from $172.00 to $188.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.22.

Notable Days

2007-09-19: Highest Volume — 7 contracts
2007-09-24: Largest IV spike — 83.1% change
2007-09-12: Highest IV Rank — 51.3%
2007-09-05: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$184.16	$175.92	$191.04	$177.52	$188.12
Max Pain	$178.40	$172.00	$188.00	$172.00	$188.00
ATM IV	48.2%	27.3%	82.8%	49.5%	54.5%
Expected Move	12.6%	7.8%	18.6%	14.2%	15.6%
HV 20d	25.6%	19.2%	30.5%	30.5%	19.2%
HV 60d	26.0%	25.2%	26.6%	26.4%	25.2%
IV Rank	24.9%	9.0%	51.3%	25.9%	29.7%
IV Percentile	78.9%	57.8%	94.2%	80.2%	83.2%
Term Structure	-13.4%	-38.9%	5.5%	5.5%	-38.9%
VWIV	51.5%	51.5%	51.5%	51.5%	51.5%
Skew 25d	10.2%	-4.5%	21.4%	6.5%	17.6%
Skew 10d	23.2%	-7.9%	37.8%	37.7%	37.8%
Call IV 25d	48.7%	27.1%	89.7%	89.7%	58.5%
Put IV 25d	58.9%	28.4%	96.2%	96.2%	76.1%
Bid-Ask Spread %	148.34	71.36	176.29	160.49	166.96
Gamma HHI	0.68	0.21	0.94	0.87	0.23
Net GEX	163.2K	7.5K	385.7K	145.4K	7.5K
Net DEX	-3.5M	-7.5M	-234.9K	-4.1M	-234.9K
Net VEX	-4.0K	-7.7K	-974	-7.7K	-982
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	2.00	0.00	0.00
Total Volume	1.263	0	7	1	0
Total OI	320.895	27	466	462	28

Daily Data (19 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
2007-09-04	$177.52	$172.00	49.5%	14.2%	30.5%	25.9%	0.0%	6.5%	5.5%	145.4K	-4.1M	-7.7K	0.00	160.49	1	0	431	31
2007-09-05	$178.40	$172.00	64.9%	18.6%	30.2%	37.7%	0.0%	1.7%	-26.4%	207.7K	-4.2M	-7.5K	0.00	161.89	1	0	432	31
2007-09-06	$179.72	$172.00	34.5%	9.9%	29.0%	14.5%	0.0%	6.1%	-4.1%	378.2K	-4.7M	-7.1K	0.00	126.67	0	1	433	31
2007-09-07	$176.80	$0.00	31.6%	9.8%	28.8%	12.3%	0.0%	-4.4%	-2.5%	349.7K	-3.8M	-7.1K	2.00	113.07	1	2	433	32
2007-09-10	$175.92	$0.00	51.2%	12.4%	28.5%	27.2%	0.0%	14.5%	-3.6%	148.8K	-3.9M	-6.6K	0.00	176.29	0	0	434	32
2007-09-11	$179.12	$0.00	80.6%	12.3%	29.1%	49.6%	0.0%	17.5%	-12.9%	146.2K	-4.3M	-6.4K	0.09	169.96	3	0	434	32
2007-09-12	$182.80	$0.00	82.8%	12.3%	29.8%	51.3%	0.0%	21.4%	-5.8%	159.7K	-4.7M	-6.0K	0.13	161.62	2	0	434	32
2007-09-13	$183.08	$0.00	33.4%	9.6%	29.1%	13.7%	0.0%	-4.5%	-1.7%	385.7K	-5.9M	-4.8K	0.00	115.71	3	0	434	32
2007-09-14	$184.60	$0.00	32.0%	9.2%	25.6%	12.6%	0.0%	-1.1%	0.3%	351.9K	-6.3M	-4.1K	0.00	117.11	0	0	433	32
2007-09-17	$183.56	$0.00	45.5%	13.0%	24.0%	22.9%	0.0%	14.8%	-12.5%	253.8K	-5.2M	-4.3K	0.00	169.58	0	0	433	32
2007-09-18	$188.24	$0.00	45.2%	12.9%	24.2%	22.6%	0.0%	19.4%	-18.1%	198.3K	-5.7M	-3.8K	0.00	158.78	1	0	433	32
2007-09-19	$189.44	$0.00	29.6%	8.5%	23.7%	10.8%	0.0%	-1.1%	-3.8%	209.5K	-7.5M	-1.9K	0.00	120.63	7	0	433	32
2007-09-20	$189.52	$0.00	46.4%	13.3%	23.6%	23.6%	0.0%	16.9%	-22.5%	115.5K	-3.7M	-2.3K	0.00	162.97	0	0	275	32
2007-09-21	$191.04	$0.00	27.3%	7.8%	23.5%	9.0%	0.0%	1.6%	-0.8%	10.7K	-650.0K	-994	0.00	71.36	1	0	43	32
2007-09-24	$188.52	$0.00	50.0%	14.3%	23.9%	26.3%	0.0%	17.0%	-15.4%	7.9K	-245.4K	-986	0.00	164.38	0	0	23	4
2007-09-25	$187.12	$0.00	51.2%	14.7%	23.1%	27.2%	0.0%	15.7%	-16.7%	7.9K	-235.1K	-981	0.00	167.51	0	0	23	4
2007-09-26	$187.04	$0.00	52.3%	15.0%	20.5%	28.0%	51.5%	15.8%	-37.4%	8.1K	-235.3K	-974	0.00	167.81	0	1	23	4
2007-09-27	$188.52	$188.00	53.2%	15.2%	19.4%	28.7%	0.0%	17.7%	-37.7%	7.6K	-238.7K	-975	0.00	165.74	0	0	23	5
2007-09-28	$188.12	$188.00	54.5%	15.6%	19.2%	29.7%	0.0%	17.6%	-38.9%	7.5K	-234.9K	-982	0.00	166.96	0	0	23	5