XOP Options History — December 2007

In December 2007, XOP traded between $192.72 and $210.84. ATM implied volatility averaged 50.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 24.8% (HV 20d: 25.9%). Max pain ranged from $188.00 to $204.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 21.63.

Notable Days

2007-12-07: Highest Volume — 21 contracts
2007-12-06: Largest IV spike — 75.7% change
2007-12-12: Highest IV Rank — 44.8%
2007-12-06: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$203.24	$192.72	$210.84	$194.24	$208.00
Max Pain	$197.20	$188.00	$204.00	$204.00	$196.00
ATM IV	50.8%	33.5%	74.3%	56.4%	52.9%
Expected Move	12.8%	9.6%	16.9%	16.2%	15.2%
HV 20d	25.9%	22.4%	30.0%	27.5%	23.6%
HV 60d	27.4%	26.2%	27.9%	26.2%	27.9%
IV Rank	26.9%	13.7%	44.8%	31.2%	28.6%
IV Percentile	75.2%	62.9%	91.6%	83.5%	78.3%
Term Structure	-10.7%	-23.6%	1.1%	-21.6%	-18.3%
VWIV	42.5%	41.0%	43.8%	42.7%	41.0%
Skew 25d	6.1%	-2.9%	14.2%	1.4%	12.9%
Skew 10d	7.3%	-30.6%	30.6%	-13.3%	19.5%
Call IV 25d	55.0%	35.8%	80.7%	78.1%	61.4%
Put IV 25d	61.1%	35.9%	82.2%	79.4%	74.4%
Bid-Ask Spread %	172.35	127.02	180.78	165.47	180.78
Gamma HHI	0.17	0.13	0.32	0.23	0.14
Net GEX	5.5K	-2.3K	8.4K	2.5K	5.4K
Net DEX	-384.8K	-533.4K	-164.1K	-197.8K	-399.5K
Net VEX	-1.5K	-1.9K	-1.2K	-1.9K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	21.63	0.00	85.00	1.50	0.00
Total Volume	1.2	0	21	1	0
Total OI	53.05	41	64	63	41

Daily Data (20 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
2007-12-03	$194.24	$204.00	56.4%	16.2%	27.5%	31.2%	0.0%	1.4%	-21.6%	2.5K	-197.8K	-1.9K	0.00	165.47	0	1	39	24
2007-12-04	$192.72	$204.00	58.8%	16.9%	27.6%	33.0%	0.0%	1.5%	-21.1%	2.2K	-164.1K	-1.9K	0.00	166.43	0	0	39	25
2007-12-05	$196.80	$204.00	33.5%	9.6%	27.4%	13.7%	0.0%	0.2%	1.1%	-2.3K	-210.0K	-1.8K	1.50	127.02	1	1	39	25
2007-12-06	$204.00	$204.00	58.8%	16.9%	29.9%	33.0%	0.0%	9.3%	-23.6%	1.1K	-343.7K	-1.8K	0.00	163.12	0	0	39	25
2007-12-07	$202.08	$188.00	60.9%	10.4%	30.0%	34.6%	42.7%	4.4%	-4.4%	1.8K	-326.0K	-1.8K	85.00	173.25	0	21	39	24
2007-12-10	$203.12	$196.00	68.0%	10.7%	29.6%	40.0%	0.0%	6.1%	-4.6%	8.0K	-447.2K	-1.6K	0.00	174.12	0	0	39	15
2007-12-11	$199.48	$196.00	72.4%	11.0%	25.6%	43.4%	0.0%	0.2%	-4.3%	7.9K	-394.1K	-1.7K	0.00	175.44	0	0	39	15
2007-12-12	$204.52	$196.00	74.3%	10.9%	26.3%	44.8%	43.8%	-2.4%	-11.0%	7.2K	-451.8K	-1.6K	0.00	171.19	0	0	39	15
2007-12-13	$203.84	$196.00	38.7%	11.1%	26.3%	17.7%	0.0%	6.9%	-5.5%	8.1K	-455.0K	-1.6K	0.00	175.65	0	0	39	15
2007-12-14	$201.08	$196.00	39.9%	11.4%	25.6%	18.6%	0.0%	2.9%	-4.5%	8.1K	-423.8K	-1.6K	0.00	177.50	0	0	39	15
2007-12-17	$197.84	$196.00	42.4%	12.2%	25.8%	20.5%	0.0%	-2.9%	-5.4%	8.3K	-364.9K	-1.6K	0.00	177.02	0	0	39	15
2007-12-18	$200.88	$196.00	42.3%	12.1%	25.8%	20.5%	41.0%	2.6%	-7.0%	8.3K	-414.0K	-1.5K	0.00	179.44	0	0	39	15
2007-12-19	$202.80	$196.00	42.4%	12.1%	25.9%	20.5%	0.0%	6.0%	-11.0%	8.2K	-441.9K	-1.5K	0.00	179.80	0	0	39	15
2007-12-20	$205.08	$196.00	42.8%	12.3%	25.0%	20.9%	0.0%	8.4%	-8.6%	8.4K	-473.9K	-1.4K	0.00	178.66	0	0	39	15
2007-12-21	$209.00	$196.00	42.7%	12.2%	25.3%	20.8%	0.0%	11.6%	-9.0%	5.4K	-533.4K	-1.3K	0.00	176.04	0	0	37	15
2007-12-24	$209.48	$196.00	45.0%	12.9%	23.4%	22.5%	0.0%	12.7%	-9.8%	5.2K	-411.1K	-1.3K	0.00	175.32	0	0	30	11
2007-12-26	$210.84	$196.00	46.3%	13.3%	22.4%	23.5%	0.0%	14.2%	-14.2%	5.6K	-423.2K	-1.2K	0.00	175.01	0	0	30	11
2007-12-27	$208.80	$196.00	48.0%	13.8%	23.0%	24.8%	0.0%	12.6%	-13.1%	5.3K	-402.9K	-1.3K	0.00	178.37	0	0	30	11
2007-12-28	$210.28	$196.00	48.4%	13.9%	23.0%	25.1%	0.0%	14.1%	-17.3%	5.6K	-418.2K	-1.2K	0.00	177.31	0	0	30	11
2007-12-31	$208.00	$196.00	52.9%	15.2%	23.6%	28.6%	0.0%	12.9%	-18.3%	5.4K	-399.5K	-1.2K	0.00	180.78	0	0	30	11