XOP Options History — October 2007

In October 2007, XOP traded between $190.76 and $211.64. ATM implied volatility averaged 42.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 20.1% (HV 20d: 22.6%). Max pain ranged from $188.00 to $188.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2007-10-16: Highest Volume — 11 contracts
  • 2007-10-10: Largest IV spike — 230.0% change
  • 2007-10-10: Highest IV Rank — 48.1%
  • 2007-10-03: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$200.15$190.76$211.64$190.76$211.64
Max Pain$188.00$188.00$188.00$188.00$188.00
ATM IV42.7%23.8%78.6%57.5%54.9%
Expected Move11.4%6.8%17.4%16.5%15.8%
HV 20d22.6%16.1%30.3%19.2%30.3%
HV 60d26.0%25.3%27.3%25.4%26.2%
IV Rank20.8%6.4%48.1%32.0%30.1%
IV Percentile68.9%35.9%92.2%86.6%82.7%
Term Structure-9.5%-24.4%2.1%-21.9%-24.0%
VWIV34.8%34.8%34.8%34.8%34.8%
Skew 25d9.9%-2.1%23.6%21.7%21.3%
Skew 10d18.7%-9.9%45.6%43.2%40.3%
Call IV 25d41.1%23.7%63.1%58.8%54.9%
Put IV 25d51.0%23.2%84.9%80.5%76.2%
Bid-Ask Spread %126.4736.41182.85163.20161.68
Gamma HHI0.210.160.310.230.31
Net GEX5.3K-1.0K9.0K7.5K-1.0K
Net DEX-272.5K-341.2K-212.3K-254.5K-295.5K
Net VEX-963-1.3K-618-949-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.003.000.000.00
Total Volume1.65201101
Total OI32.52224442844

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$190.76$188.0057.5%16.5%19.2%32.0%0.0%21.7%-21.9%7.5K-254.5K-9490.00163.2000235
2007-10-02$192.00$188.0059.0%16.9%17.0%33.2%0.0%23.6%-22.4%7.4K-264.2K-9310.00162.0540235
2007-10-03$190.96$188.0060.8%17.4%17.3%34.5%0.0%23.0%-24.4%8.1K-252.1K-9320.00162.8000245
2007-10-04$193.60$188.0027.2%7.8%17.7%9.0%0.0%9.4%-0.2%8.6K-277.4K-8830.00127.7400245
2007-10-05$195.84$188.0029.8%7.6%16.1%10.9%0.0%-2.0%0.3%8.6K-302.3K-8380.00120.8010245
2007-10-08$194.12$188.0071.7%11.2%16.5%42.8%0.0%11.5%-11.2%8.2K-280.5K-8520.00182.8500245
2007-10-09$198.36$188.0023.8%6.8%16.9%6.4%0.0%-0.6%-0.4%9.0K-330.4K-7860.0047.0920245
2007-10-10$193.52$188.0078.6%12.5%19.0%48.1%0.0%12.4%-4.2%6.3K-250.4K-9020.00168.8140235
2007-10-11$201.52$188.0024.7%7.1%23.2%7.1%0.0%0.1%-0.3%7.2K-272.5K-6400.0056.2310195
2007-10-12$202.80$188.0039.3%11.3%23.2%18.2%0.0%12.4%-11.9%5.7K-277.8K-6880.00170.5200205
2007-10-15$205.20$188.0040.8%11.7%23.0%19.3%34.8%14.8%-6.9%7.1K-282.7K-6180.00168.4910205
2007-10-16$205.16$188.0026.2%7.5%21.8%8.2%0.0%0.9%-0.5%7.0K-316.1K-6573.0039.3538215
2007-10-17$204.32$188.0042.2%12.1%22.0%20.4%0.0%14.4%-13.4%2.4K-256.3K-1.1K0.00169.09002313
2007-10-18$206.20$188.0026.0%7.5%22.1%8.0%0.0%0.6%-0.4%2.6K-289.2K-1.0K0.0058.53002313
2007-10-19$198.52$188.0028.3%8.1%26.6%9.8%0.0%-2.1%-0.8%3.4K-217.0K-1.1K0.0045.27302313
2007-10-22$197.28$188.0030.0%8.6%26.2%11.1%0.0%1.9%0.3%4.9K-212.3K-1.2K0.0036.41102512
2007-10-23$197.36$188.0048.8%14.0%25.9%25.4%0.0%9.4%-15.7%4.9K-235.8K-1.2K0.00181.88102612
2007-10-24$199.76$188.0029.3%8.4%26.1%10.5%0.0%-0.5%-0.0%4.7K-244.1K-1.2K0.0048.12002512
2007-10-25$202.56$188.0049.2%14.1%26.3%25.7%0.0%14.5%-19.1%4.1K-269.1K-1.1K0.00173.28002512
2007-10-26$208.04$188.0025.7%7.4%27.5%7.8%0.0%3.5%2.1%3.2K-341.2K-1.0K0.00127.97002512
2007-10-29$209.04$188.0052.8%15.1%27.3%28.4%0.0%22.9%-20.6%3.7K-327.9K-1.0K0.00162.50082512
2007-10-30$204.80$188.0055.3%15.9%28.7%30.4%0.0%14.0%-22.9%-508-217.4K-1.3K0.00174.16002519
2007-10-31$211.64$188.0054.9%15.8%30.3%30.1%0.0%21.3%-24.0%-1.0K-295.5K-1.2K0.00161.68102519