XOP Options History — June 2008

In June 2008, XOP traded between $259.44 and $285.52. ATM implied volatility averaged 37.6%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.4% (HV 20d: 37.2%). Max pain ranged from $256.00 to $268.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.61.

Notable Days

2008-06-26: Highest Volume — 275 contracts
2008-06-06: Largest IV spike — 11.8% change
2008-06-24: Highest IV Rank — 17.6%
2008-06-24: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$274.13	$259.44	$285.52	$267.76	$281.12
Max Pain	$263.24	$256.00	$268.00	$256.00	$268.00
ATM IV	37.6%	33.3%	40.0%	34.4%	37.0%
Expected Move	10.8%	9.5%	11.5%	9.9%	10.6%
HV 20d	37.2%	30.0%	42.0%	31.1%	38.6%
HV 60d	33.0%	30.7%	35.4%	34.3%	33.0%
IV Rank	16.0%	13.6%	17.6%	14.4%	15.0%
IV Percentile	56.9%	42.5%	63.5%	48.0%	52.4%
Term Structure	0.1%	-2.1%	2.3%	0.8%	2.3%
VWIV	37.3%	34.0%	41.5%	34.6%	37.1%
Skew 25d	4.2%	0.5%	6.4%	1.0%	5.9%
Skew 10d	7.1%	-1.3%	11.4%	2.0%	10.7%
Call IV 25d	35.6%	33.2%	38.1%	33.8%	34.2%
Put IV 25d	39.8%	34.4%	42.4%	34.8%	40.0%
Bid-Ask Spread %	21.90	10.37	58.65	37.28	21.48
Gamma HHI	0.18	0.15	0.23	0.22	0.20
Net GEX	-89.7K	-456.5K	148.2K	-322.0K	-9.6K
Net DEX	-3.3M	-6.5M	2.0M	135.4K	-2.6M
Net VEX	-27.8K	-47.1K	-15.7K	-17.4K	-47.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	0.00	28.70	0.57	0.13
Total Volume	50.143	4	275	28	11
Total OI	934	595	1,265	793	890

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
2008-06-02	$267.76	$256.00	34.4%	9.9%	31.1%	14.4%	34.6%	1.0%	0.8%	-322.0K	135.4K	-17.4K	0.57	37.28	18	10	137	656
2008-06-03	$266.32	$256.00	34.4%	9.9%	30.5%	14.4%	34.0%	0.5%	-0.2%	-374.7K	96.5K	-16.6K	0.06	29.37	43	3	143	657
2008-06-04	$259.44	$256.00	34.3%	9.8%	30.0%	14.4%	35.1%	1.6%	0.3%	-456.5K	2.0M	-19.8K	2.39	30.56	14	32	133	659
2008-06-05	$273.40	$256.00	33.3%	9.5%	34.7%	13.6%	34.3%	1.2%	-0.6%	-256.5K	-529.9K	-15.7K	0.31	23.45	11	4	132	671
2008-06-06	$271.68	$264.00	37.2%	10.6%	34.6%	15.6%	37.4%	5.1%	0.1%	-293.5K	177.5K	-18.0K	0.11	14.73	247	27	137	674
2008-06-09	$278.96	$260.00	37.5%	10.6%	35.1%	15.9%	35.0%	5.0%	-1.2%	-81.7K	-5.1M	-29.2K	0.12	13.63	70	8	371	687
2008-06-10	$270.68	$260.00	38.6%	10.9%	37.3%	16.8%	35.2%	5.2%	-2.1%	-157.1K	-3.3M	-32.3K	1.32	14.51	14	19	432	686
2008-06-11	$275.04	$260.00	38.3%	10.8%	37.2%	16.5%	0.0%	4.4%	-0.6%	-76.8K	-4.5M	-30.5K	1.30	11.96	6	8	443	701
2008-06-12	$268.92	$260.00	38.5%	11.0%	38.1%	16.6%	38.1%	5.5%	-0.9%	-210.5K	-3.2M	-31.8K	0.00	11.07	4	0	444	706
2008-06-13	$269.68	$260.00	38.1%	10.9%	38.0%	15.1%	0.0%	5.3%	-0.8%	-155.5K	-3.5M	-31.2K	3.16	11.92	5	15	444	706
2008-06-16	$273.80	$260.00	38.2%	10.9%	37.5%	16.3%	38.9%	4.5%	-0.8%	-6.2K	-4.8M	-28.6K	4.84	13.87	6	30	449	719
2008-06-17	$283.52	$268.00	37.3%	10.7%	38.9%	15.5%	37.2%	4.3%	0.1%	148.2K	-6.4M	-27.4K	1.07	13.35	15	16	452	742
2008-06-18	$283.88	$268.00	38.0%	10.9%	38.5%	16.1%	36.5%	4.4%	0.4%	134.3K	-6.5M	-27.9K	6.00	14.42	5	29	462	755
2008-06-19	$276.60	$268.00	39.6%	11.4%	39.1%	17.5%	40.5%	4.9%	-0.4%	831	-5.2M	-29.2K	0.46	11.78	42	20	465	780
2008-06-20	$275.24	$268.00	39.2%	11.2%	38.9%	17.1%	40.2%	4.1%	-0.0%	-88.7K	-4.7M	-30.8K	0.94	25.96	4	4	473	792
2008-06-23	$285.52	$268.00	39.4%	11.3%	40.2%	17.2%	39.0%	5.0%	0.4%	68.6K	-5.1M	-29.5K	1.00	43.10	2	2	347	248
2008-06-24	$276.68	$268.00	40.0%	11.5%	42.0%	17.6%	39.6%	4.2%	0.2%	61.7K	-4.2M	-30.1K	2.06	33.59	4	9	348	250
2008-06-25	$273.36	$268.00	39.0%	11.2%	42.0%	16.8%	37.9%	6.4%	0.8%	60.6K	-3.8M	-30.3K	0.29	14.80	9	3	351	252
2008-06-26	$270.92	$268.00	38.7%	11.1%	40.2%	16.5%	41.5%	5.8%	2.2%	63.1K	-3.6M	-30.5K	28.70	10.37	9	266	358	252
2008-06-27	$274.20	$268.00	38.6%	11.1%	39.3%	16.5%	37.3%	3.9%	1.2%	68.6K	-4.0M	-30.1K	0.03	58.65	9	0	358	252
2008-06-30	$281.12	$268.00	37.0%	10.6%	38.6%	15.0%	37.1%	5.9%	2.3%	-9.6K	-2.6M	-47.1K	0.13	21.48	10	1	373	517