XOP Options History — May 2008

In May 2008, XOP traded between $231.44 and $269.36. ATM implied volatility averaged 31.4%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.4% (HV 20d: 31.0%). Max pain ranged from $236.00 to $256.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 13.64.

Notable Days

2008-05-19: Highest Volume — 212 contracts
2008-05-15: Largest IV spike — 27.1% change
2008-05-29: Highest IV Rank — 16.0%
2008-05-29: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$253.61	$231.44	$269.36	$231.44	$259.08
Max Pain	$245.90	$236.00	$256.00	$244.00	$256.00
ATM IV	31.4%	24.0%	36.5%	32.0%	34.1%
Expected Move	9.3%	8.2%	10.5%	9.2%	9.8%
HV 20d	31.0%	26.5%	33.4%	29.9%	29.8%
HV 60d	34.8%	33.6%	36.1%	35.9%	34.4%
IV Rank	12.1%	6.5%	16.0%	12.6%	14.2%
IV Percentile	35.2%	11.9%	53.6%	36.1%	46.4%
Term Structure	0.2%	-2.7%	2.7%	-0.0%	-0.8%
VWIV	33.8%	29.7%	39.1%	31.2%	34.0%
Skew 25d	2.1%	0.8%	3.9%	3.6%	1.5%
Skew 10d	5.4%	1.4%	13.1%	11.0%	10.4%
Call IV 25d	31.9%	28.5%	35.5%	30.3%	33.7%
Put IV 25d	34.1%	30.9%	36.9%	33.9%	35.1%
Bid-Ask Spread %	48.98	35.06	67.30	54.39	35.86
Gamma HHI	0.31	0.22	0.44	0.32	0.22
Net GEX	-200.0K	-474.0K	-30.1K	-32.2K	-405.7K
Net DEX	1.2M	-156.9K	4.0M	477.0K	1.9M
Net VEX	-12.0K	-22.3K	-5.4K	-5.8K	-21.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.64	0.00	76.00	1.00	0.24
Total Volume	34.667	0	212	6	11
Total OI	394.571	128	784	128	784

Daily Data (21 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
2008-05-01	$231.44	$244.00	32.0%	9.2%	29.9%	12.6%	0.0%	3.6%	-0.0%	-32.2K	477.0K	-5.8K	1.00	54.39	3	3	34	94
2008-05-02	$235.48	$244.00	31.4%	9.0%	30.1%	12.2%	0.0%	2.8%	-0.1%	-32.0K	360.8K	-6.0K	5.00	45.89	1	3	36	97
2008-05-05	$241.60	$236.00	30.5%	8.9%	31.2%	11.5%	0.0%	3.3%	1.3%	-33.1K	225.9K	-6.0K	0.00	44.33	0	0	37	99
2008-05-06	$250.60	$236.00	29.8%	8.5%	32.9%	10.9%	31.2%	2.9%	2.7%	-31.2K	-36.9K	-5.5K	0.00	41.48	5	0	37	99
2008-05-07	$248.76	$236.00	30.0%	8.7%	33.1%	11.1%	0.0%	2.3%	1.5%	-31.8K	-5.8K	-5.6K	0.00	41.98	0	0	37	99
2008-05-08	$252.76	$236.00	24.0%	8.5%	33.4%	6.5%	0.0%	2.1%	2.0%	-32.2K	-64.6K	-5.4K	30.00	62.33	1	15	37	99
2008-05-09	$250.08	$236.00	29.3%	8.6%	32.8%	10.5%	29.9%	2.1%	1.7%	-35.4K	38.3K	-6.1K	0.00	43.24	6	0	37	112
2008-05-12	$250.40	$236.00	27.4%	8.6%	32.2%	9.1%	31.0%	2.4%	2.0%	-30.1K	-41.8K	-6.2K	3.00	42.06	5	15	43	112
2008-05-13	$254.84	$236.00	26.6%	9.0%	32.5%	8.5%	33.0%	1.5%	0.2%	-32.5K	-156.9K	-6.9K	63.33	45.57	2	95	48	127
2008-05-14	$252.08	$244.00	26.7%	9.7%	30.7%	8.5%	35.3%	2.1%	-1.5%	-113.0K	794.2K	-10.2K	45.45	61.28	3	125	50	222
2008-05-15	$253.52	$244.00	33.9%	9.7%	30.4%	14.0%	0.0%	2.1%	-2.1%	-212.7K	1.7M	-13.6K	0.00	62.69	0	8	52	347
2008-05-16	$259.64	$244.00	33.8%	9.7%	31.0%	14.0%	35.4%	2.1%	-2.7%	-197.0K	1.1M	-12.6K	0.91	66.68	3	3	52	353
2008-05-19	$264.12	$244.00	33.1%	9.5%	31.3%	13.5%	33.7%	0.8%	0.1%	-198.0K	651.6K	-11.3K	76.00	41.55	3	209	54	354
2008-05-20	$269.36	$256.00	28.4%	8.2%	31.7%	9.9%	29.7%	3.9%	0.6%	-313.3K	1.2M	-14.0K	1.75	59.45	3	5	53	551
2008-05-21	$264.28	$256.00	33.8%	9.7%	31.7%	14.0%	35.4%	0.9%	0.4%	-334.6K	1.9M	-16.1K	7.75	37.37	3	23	56	556
2008-05-22	$261.80	$256.00	33.4%	9.6%	30.5%	13.7%	33.7%	1.0%	0.7%	-367.5K	2.3M	-17.4K	5.58	43.79	6	34	59	576
2008-05-23	$258.24	$256.00	34.2%	9.8%	29.2%	14.3%	34.5%	2.0%	0.6%	-418.9K	3.3M	-20.0K	1.71	67.30	4	6	65	610
2008-05-27	$255.52	$256.00	34.8%	10.0%	29.6%	14.7%	39.1%	3.1%	-0.5%	-451.5K	3.8M	-19.9K	0.56	61.27	45	25	68	615
2008-05-28	$260.20	$256.00	34.9%	10.0%	26.5%	14.8%	35.4%	1.5%	-0.2%	-422.3K	2.3M	-20.5K	2.29	35.06	7	16	113	640
2008-05-29	$251.96	$256.00	36.5%	10.5%	29.6%	16.0%	35.8%	1.0%	-1.6%	-474.0K	4.0M	-22.3K	0.87	35.06	17	15	118	654
2008-05-30	$259.08	$256.00	34.1%	9.8%	29.8%	14.2%	34.0%	1.5%	-0.8%	-405.7K	1.9M	-21.0K	0.24	35.86	9	2	130	654