XOP Options History — September 2008

In September 2008, XOP traded between $170.80 and $208.08. ATM implied volatility averaged 53.6%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 9.2% (HV 20d: 62.8%). Max pain ranged from $200.00 to $236.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.39.

Notable Days

  • 2008-09-05: Highest Volume — 438 contracts
  • 2008-09-29: Largest IV spike — 24.7% change
  • 2008-09-29: Highest IV Rank — 38.0%
  • 2008-09-29: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.23$170.80$208.08$205.00$179.32
Max Pain$205.33$200.00$236.00$236.00$200.00
ATM IV53.6%44.6%67.0%44.6%58.4%
Expected Move15.3%12.8%19.2%12.8%16.7%
HV 20d62.8%43.2%84.7%45.1%84.4%
HV 60d53.4%46.2%63.5%47.0%63.5%
IV Rank26.2%18.3%38.0%18.3%30.4%
IV Percentile85.0%69.8%94.4%69.8%89.7%
Term Structure-4.2%-11.5%1.3%1.3%-3.1%
VWIV55.2%45.3%77.5%45.3%57.9%
Skew 25d3.1%-9.4%6.9%5.1%6.6%
Skew 10d11.6%-0.3%21.6%10.4%21.6%
Call IV 25d54.6%42.0%87.8%42.0%55.1%
Put IV 25d57.7%47.1%91.9%47.1%61.7%
Bid-Ask Spread %62.2015.74129.6026.1774.31
Gamma HHI0.160.100.230.100.17
Net GEX-226.7K-424.8K-81.3K-233.6K-141.4K
Net DEX7.6M1.8M12.8M8.7M5.2M
Net VEX-25.3K-31.9K-20.1K-23.8K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.390.0033.400.094.06
Total Volume73.81543815221
Total OI1,495.1438501,9831,5091,024

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$205.00$236.0044.6%12.8%45.1%18.3%45.3%5.1%1.3%-233.6K8.7M-23.8K0.0926.1713913576933
2008-09-03$204.08$220.0046.1%13.2%44.9%19.5%46.6%5.4%-0.1%-139.0K6.6M-25.8K0.0227.801403707903
2008-09-04$201.12$228.0047.3%13.5%43.3%20.6%46.6%5.6%-1.1%-210.7K8.2M-23.6K2.2023.312146626906
2008-09-05$203.92$212.0046.2%13.2%43.2%19.7%49.3%5.8%-1.4%-222.1K7.9M-24.1K9.6329.0541397642942
2008-09-08$200.28$204.0048.2%13.5%43.5%21.4%48.9%6.1%-1.5%-307.0K10.9M-31.9K3.3027.15386671,214
2008-09-09$181.28$212.0057.6%15.4%55.8%29.7%53.1%5.4%-4.7%-296.2K12.8M-24.1K3.2817.6019626631,098
2008-09-10$189.96$200.0054.2%14.7%58.7%26.7%50.1%6.7%-3.4%-321.4K11.2M-27.2K0.2515.741546771,126
2008-09-11$193.40$200.0051.8%14.8%57.1%24.6%53.0%6.9%-3.0%-312.5K10.1M-28.1K1.4522.3614206891,122
2008-09-12$200.08$200.0051.1%14.7%58.6%24.0%51.0%6.6%-3.9%-285.5K8.1M-29.9K0.3325.171557011,136
2008-09-15$183.00$200.0056.3%16.1%65.9%28.5%58.2%-4.7%-8.0%-334.2K12.6M-23.6K7.7875.366457091,139
2008-09-16$186.80$200.0054.0%15.5%66.4%26.6%56.6%-5.3%-9.6%-374.1K11.8M-23.0K1.5269.1422337121,156
2008-09-17$182.60$200.0059.2%17.0%65.1%31.1%67.0%2.2%-11.5%-279.1K11.8M-25.1K1.09129.6045497251,185
2008-09-18$191.84$200.0059.1%16.9%66.4%31.0%56.4%0.7%-10.8%-264.3K9.6M-28.1K4.15127.147277611,222
2008-09-19$208.08$200.0051.6%14.8%73.1%24.5%61.9%-2.9%-8.1%-424.8K4.9M-25.3K3.33126.6615487641,214
2008-09-22$203.32$200.0054.1%15.5%73.0%26.6%48.1%0.8%-3.3%-81.3K1.8M-24.2K1.7496.442441310540
2008-09-23$198.88$200.0055.2%15.8%73.2%27.6%56.2%6.4%-3.6%-97.0K2.5M-25.6K6.1165.97214313581
2008-09-24$198.20$200.0056.2%16.1%72.1%28.4%56.0%6.0%-4.4%-100.3K2.7M-25.3K33.4061.49142314589
2008-09-25$202.60$200.0053.5%15.3%71.6%26.1%51.4%6.6%-1.2%-101.2K2.3M-25.9K0.0046.8350315609
2008-09-26$194.32$200.0053.8%15.4%72.6%26.3%68.9%-9.4%1.1%-114.5K3.2M-25.1K4.7889.57732318609
2008-09-29$170.80$200.0067.0%19.2%84.7%38.0%77.5%4.2%-7.3%-119.7K5.9M-20.1K3.70129.312178324637
2008-09-30$179.32$200.0058.4%16.7%84.4%30.4%57.9%6.6%-3.1%-141.4K5.2M-22.3K4.0674.31417337687