XOP Options History — March 2008

In March 2008, XOP traded between $200.44 and $220.28. ATM implied volatility averaged 32.9%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 7.4% (HV 20d: 40.3%). Max pain ranged from $164.00 to $208.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2008-03-24: Highest Volume — 6 contracts
2008-03-17: Largest IV spike — 24.5% change
2008-03-20: Highest IV Rank — 18.7%
2008-03-20: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$212.30	$200.44	$220.28	$220.28	$215.00
Max Pain	$188.44	$164.00	$208.00	$164.00	$208.00
ATM IV	32.9%	25.1%	40.1%	25.1%	34.1%
Expected Move	9.6%	7.2%	11.5%	7.2%	9.8%
HV 20d	40.3%	34.4%	45.7%	36.6%	43.4%
HV 60d	35.2%	31.9%	38.5%	32.5%	38.3%
IV Rank	13.3%	7.4%	18.7%	7.4%	14.2%
IV Percentile	46.1%	28.6%	58.3%	28.6%	47.6%
Term Structure	1.6%	-2.9%	4.8%	4.8%	1.5%
VWIV	36.3%	34.0%	37.4%	37.4%	37.3%
Skew 25d	3.0%	-1.7%	6.1%	3.4%	4.0%
Skew 10d	6.4%	-10.9%	31.3%	10.0%	13.8%
Call IV 25d	32.0%	24.6%	37.0%	25.3%	29.8%
Put IV 25d	35.0%	27.2%	40.6%	28.7%	33.8%
Bid-Ask Spread %	79.81	36.33	125.36	122.07	125.06
Gamma HHI	0.28	0.21	0.54	0.28	0.26
Net GEX	8.8K	2.4K	18.6K	5.2K	9.3K
Net DEX	-385.5K	-541.5K	-106.2K	-541.5K	-275.7K
Net VEX	-672	-782	-595	-622	-782
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	1.00	0.00	0.00
Total Volume	0.85	0	6	0	0
Total OI	30.85	17	36	35	25

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
2008-03-03	$220.28	$164.00	25.1%	7.2%	36.6%	7.4%	0.0%	3.4%	4.8%	5.2K	-541.5K	-622	0.00	122.07	0	0	29	6
2008-03-04	$215.96	$164.00	27.2%	7.8%	37.7%	8.9%	37.4%	1.4%	3.1%	8.4K	-500.0K	-701	0.00	123.16	1	0	29	6
2008-03-05	$219.72	$164.00	27.3%	7.8%	34.4%	9.0%	0.0%	6.1%	1.5%	7.8K	-531.0K	-631	0.00	107.08	0	0	29	6
2008-03-06	$213.56	$164.00	28.4%	8.2%	35.9%	9.9%	0.0%	0.1%	-2.9%	9.6K	-479.8K	-694	0.00	125.36	0	0	29	6
2008-03-07	$211.08	$0.00	31.7%	8.7%	36.2%	12.4%	0.0%	-1.7%	0.1%	10.9K	-453.2K	-730	0.00	105.53	1	0	29	6
2008-03-10	$208.00	$0.00	29.8%	9.8%	35.5%	11.0%	0.0%	3.3%	1.2%	12.0K	-426.6K	-733	0.00	36.33	1	0	29	6
2008-03-11	$216.76	$0.00	29.3%	9.6%	36.8%	10.5%	0.0%	1.9%	2.1%	7.1K	-510.8K	-631	0.00	42.97	0	0	29	6
2008-03-12	$213.20	$0.00	27.5%	9.7%	37.3%	9.1%	0.0%	2.9%	2.1%	9.1K	-486.6K	-639	0.00	40.36	1	0	29	6
2008-03-13	$218.84	$0.00	28.4%	8.1%	37.8%	9.9%	0.0%	5.8%	3.5%	8.0K	-539.0K	-595	0.00	111.33	1	0	30	6
2008-03-14	$215.08	$0.00	31.3%	9.0%	38.5%	12.0%	0.0%	2.1%	1.5%	9.7K	-505.3K	-632	0.00	111.82	0	0	30	6
2008-03-17	$205.64	$0.00	38.9%	11.2%	41.7%	17.9%	0.0%	3.5%	2.7%	13.9K	-413.2K	-646	0.00	36.51	0	0	30	6
2008-03-18	$213.48	$0.00	37.6%	10.8%	39.7%	16.9%	0.0%	2.9%	2.1%	10.6K	-493.1K	-609	0.00	38.83	0	0	30	6
2008-03-19	$200.44	$0.00	39.5%	11.3%	45.5%	18.3%	0.0%	3.7%	1.8%	18.6K	-354.4K	-661	0.00	41.65	0	0	30	6
2008-03-20	$200.80	$0.00	40.1%	11.5%	44.7%	18.7%	0.0%	3.5%	-0.5%	2.5K	-106.2K	-613	1.00	45.08	1	1	15	6
2008-03-24	$206.48	$0.00	34.6%	9.9%	45.7%	14.6%	34.0%	3.9%	2.7%	2.4K	-129.1K	-606	0.00	115.11	6	0	12	5
2008-03-25	$210.12	$208.00	36.1%	10.4%	44.1%	15.8%	37.3%	3.4%	2.0%	7.1K	-212.1K	-694	0.00	44.10	2	0	17	5
2008-03-26	$215.40	$208.00	37.6%	10.8%	44.9%	16.8%	0.0%	1.7%	0.7%	7.5K	-261.3K	-739	0.00	52.57	0	0	19	5
2008-03-27	$212.76	$208.00	37.5%	10.7%	44.8%	16.8%	0.0%	3.2%	0.7%	7.8K	-246.3K	-734	0.00	50.93	0	0	19	5
2008-03-28	$213.48	$208.00	35.6%	10.2%	44.1%	15.4%	0.0%	5.7%	0.9%	8.2K	-244.4K	-756	0.00	120.31	2	0	19	5
2008-03-31	$215.00	$208.00	34.1%	9.8%	43.4%	14.2%	0.0%	4.0%	1.5%	9.3K	-275.7K	-782	0.00	125.06	0	0	20	5