XOP Options History — August 2008

In August 2008, XOP traded between $202.40 and $226.20. ATM implied volatility averaged 43.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 8.4% (HV 20d: 52.2%). Max pain ranged from $224.00 to $240.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.84.

Notable Days

  • 2008-08-06: Highest Volume — 213 contracts
  • 2008-08-14: Largest IV spike — 11.1% change
  • 2008-08-04: Highest IV Rank — 25.5%
  • 2008-08-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$212.69$202.40$226.20$218.52$220.12
Max Pain$237.14$224.00$240.00$224.00$232.00
ATM IV43.7%39.0%52.8%48.3%40.6%
Expected Move12.6%11.2%13.9%13.9%11.6%
HV 20d52.2%46.2%58.4%51.4%46.2%
HV 60d45.3%41.9%46.6%41.9%44.9%
IV Rank17.5%13.3%25.5%21.5%14.7%
IV Percentile64.2%51.6%82.1%74.6%58.3%
Term Structure-0.2%-2.6%2.4%-2.1%1.7%
VWIV43.7%37.7%49.2%48.2%41.9%
Skew 25d6.2%5.1%8.7%8.7%5.4%
Skew 10d12.6%9.7%18.2%18.2%9.7%
Call IV 25d40.6%36.1%44.6%44.2%38.1%
Put IV 25d46.8%42.5%53.0%53.0%43.4%
Bid-Ask Spread %32.7816.8653.0241.7623.49
Gamma HHI0.090.060.110.070.08
Net GEX-168.1K-274.1K-80.2K-80.2K-146.5K
Net DEX7.1M3.8M9.9M5.6M5.1M
Net VEX-31.0K-38.3K-26.2K-38.3K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.0013.273.7713.27
Total Volume42.57142138554
Total OI1,551.4291,4001,8061,4471,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$218.52$224.0048.3%13.9%51.4%21.5%48.2%8.7%-2.1%-80.2K5.6M-38.3K3.7741.761867660787
2008-08-04$202.40$240.0052.8%13.8%56.0%25.5%44.9%7.5%-2.6%-104.4K8.8M-27.8K0.8339.577260672779
2008-08-05$204.80$240.0050.2%13.7%56.4%23.2%48.9%6.3%-2.4%-140.7K8.9M-27.4K0.2719.377420635820
2008-08-06$211.84$240.0045.7%13.2%58.4%19.2%48.9%7.0%-1.6%-91.4K6.3M-34.6K9.2420.7821192702838
2008-08-07$207.84$240.0046.0%13.2%55.3%19.5%48.7%6.2%-1.0%-179.8K8.4M-35.5K11.7016.863296971,014
2008-08-08$205.40$240.0046.4%13.6%55.1%19.9%0.0%6.7%-1.6%-213.8K9.4M-34.5K2.4041.8613307001,043
2008-08-11$205.20$240.0046.4%13.7%54.9%19.8%49.2%5.6%-1.5%-274.1K9.9M-31.6K0.2945.501137121,073
2008-08-12$206.80$240.0044.0%13.1%53.8%17.7%43.9%6.3%-1.0%-257.0K9.5M-31.5K0.0017.52907181,074
2008-08-13$215.04$240.0040.4%12.9%56.2%14.6%46.3%5.6%-1.7%-137.2K6.3M-34.1K1.0439.94667231,074
2008-08-14$212.00$240.0044.9%12.9%54.3%18.5%44.4%6.5%-1.8%-178.3K7.7M-31.6K0.3147.51937231,075
2008-08-15$207.24$240.0044.4%12.7%54.5%18.1%43.7%6.6%-0.7%-222.6K9.0M-30.4K0.1928.111337291,077
2008-08-18$203.20$240.0043.7%12.5%51.5%17.4%42.1%5.7%-0.2%-197.5K8.8M-26.2K0.2628.89185529871
2008-08-19$210.12$236.0041.6%11.9%50.6%15.6%40.0%6.1%0.7%-190.6K7.3M-28.9K0.5031.3853539868
2008-08-20$217.96$236.0041.0%11.7%48.7%15.1%38.9%5.9%2.4%-160.6K5.6M-31.1K1.6953.0236544870
2008-08-21$221.32$236.0039.0%11.2%48.8%13.3%37.7%6.3%2.4%-148.5K4.8M-31.6K9.3036.31763546872
2008-08-22$216.00$236.0039.6%11.3%49.6%13.8%42.7%5.7%1.8%-194.1K6.3M-28.5K1.0934.1733542877
2008-08-25$212.92$236.0042.1%12.1%49.6%16.1%40.7%6.1%0.1%-181.4K6.6M-28.3K0.0032.2040545880
2008-08-26$219.68$236.0040.9%11.7%50.2%15.0%41.5%5.9%1.3%-162.8K5.2M-29.9K1.3025.5168546880
2008-08-27$226.20$236.0040.1%11.5%47.5%14.3%38.6%5.1%1.6%-129.4K3.8M-30.4K0.2142.60276546883
2008-08-28$221.80$232.0040.6%11.6%46.3%14.7%42.5%5.3%1.1%-139.5K4.8M-29.5K1.9322.0347572882
2008-08-29$220.12$232.0040.6%11.6%46.2%14.7%41.9%5.4%1.7%-146.5K5.1M-29.0K13.2723.49450575888