XOP Options History — October 2008

In October 2008, XOP traded between $105.40 and $173.52. ATM implied volatility averaged 99.2%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 27.3% (HV 20d: 126.5%). Max pain ranged from $160.00 to $200.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 3.30.

Notable Days

  • 2008-10-09: Highest Volume — 281 contracts
  • 2008-10-06: Largest IV spike — 37.4% change
  • 2008-10-09: Highest IV Rank — 99.8%
  • 2008-10-22: Largest Expected Move — 32.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.42$105.40$173.52$173.52$136.04
Max Pain$178.96$160.00$200.00$200.00$160.00
ATM IV99.2%59.0%137.3%59.0%87.6%
Expected Move25.5%16.9%32.2%16.9%25.1%
HV 20d126.5%84.9%154.4%84.9%154.3%
HV 60d87.7%63.6%105.3%63.6%105.3%
IV Rank66.2%30.9%99.8%30.9%56.0%
IV Percentile96.0%90.9%99.6%90.9%92.1%
Term Structure-11.0%-27.6%-2.6%-2.6%-3.9%
VWIV84.9%49.2%110.4%58.9%88.0%
Skew 25d12.1%-10.3%74.6%6.6%15.1%
Skew 10d7.3%-30.6%81.6%12.6%26.3%
Call IV 25d83.8%56.0%114.6%56.0%79.7%
Put IV 25d95.8%62.6%130.9%62.6%94.8%
Bid-Ask Spread %92.5951.46125.9372.7566.41
Gamma HHI0.110.070.190.190.08
Net GEX-37.7K-147.5K-6.1K-147.5K-10.1K
Net DEX5.1M2.5M8.9M6.1M2.5M
Net VEX-8.3K-20.7K-3.4K-20.7K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.0020.002.550.00
Total Volume47.6961281181
Total OI936.3486251,2551,040782

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$173.52$200.0059.0%16.9%84.9%30.9%58.9%6.6%-2.6%-147.5K6.1M-20.7K2.5572.75513337703
2008-10-02$155.48$200.0076.5%21.9%92.2%46.3%74.8%11.1%-12.3%-116.8K7.9M-14.5K3.3782.9233111342715
2008-10-03$150.88$196.0075.4%21.6%91.9%45.4%49.2%10.0%-11.8%-129.4K8.9M-14.5K11.7581.56224373808
2008-10-06$141.48$184.00103.6%21.6%93.5%70.2%76.3%-1.1%-4.0%-91.0K8.4M-14.3K1.3974.274562372798
2008-10-07$127.12$180.00115.4%23.5%94.4%80.5%76.7%-4.7%-15.7%-57.6K8.6M-10.2K1.36119.244561414824
2008-10-08$127.96$180.00120.9%24.7%91.8%85.4%75.1%1.8%-7.9%-52.0K7.5M-11.0K1.00118.973131442759
2008-10-09$115.60$180.00137.3%24.4%95.0%99.8%0.0%-3.8%-8.8%-30.9K7.5M-7.3K10.2599.1225256457763
2008-10-10$105.84$180.00115.6%28.6%94.8%80.7%72.3%42.2%-27.6%-15.9K7.5M-4.8K1.28111.401823478777
2008-10-13$129.04$180.00131.1%25.4%122.5%94.3%85.2%15.8%-10.1%-32.9K6.5M-8.6K2.87106.231645485662
2008-10-14$129.16$176.00119.4%25.1%121.9%84.0%86.1%12.0%-9.5%-18.4K4.9M-7.3K1.2176.901012500531
2008-10-15$105.96$176.0097.5%27.9%137.6%64.7%0.0%-10.3%-13.6%-6.1K5.0M-3.4K20.00121.1005501520
2008-10-16$116.24$176.0095.0%27.2%141.6%62.6%92.1%-3.6%-15.6%-10.6K5.0M-4.6K1.67119.1735501498
2008-10-17$121.44$176.0083.1%23.8%138.4%52.1%106.7%74.6%-19.5%-28.5K5.1M-4.6K4.86103.13526501498
2008-10-20$135.48$176.0082.3%23.6%146.7%51.3%76.7%25.4%-6.3%-16.6K2.8M-6.4K0.2985.8921303322
2008-10-21$131.40$176.0089.3%25.6%146.7%57.5%88.7%13.3%-12.9%-14.5K2.7M-6.7K0.6878.8264303323
2008-10-22$116.00$176.00112.3%32.2%151.1%77.8%110.4%16.2%-19.0%-8.8K2.6M-5.7K3.1785.08824309326
2008-10-23$118.68$176.0091.3%26.2%151.1%59.2%100.7%1.0%-7.2%-12.2K2.8M-5.6K5.25124.86737316349
2008-10-24$114.52$176.0098.5%28.2%151.0%65.6%88.8%15.0%-11.3%-14.2K3.2M-5.2K0.2651.46103318385
2008-10-27$105.40$176.00106.0%30.4%147.7%72.2%0.0%12.2%-13.1%-11.0K3.2M-4.3K0.5070.2553328388
2008-10-28$116.04$176.0095.7%27.4%151.8%63.1%100.3%3.0%-2.6%-14.4K3.0M-6.1K2.10125.93511328388
2008-10-29$123.12$176.0097.8%28.0%154.4%65.0%100.4%11.4%-12.1%-16.8K3.1M-6.6K0.1083.04505332398
2008-10-30$134.16$164.0090.7%26.0%154.4%58.7%90.8%14.2%-5.6%-10.8K2.6M-8.6K0.0071.1030376403
2008-10-31$136.04$160.0087.6%25.1%154.3%56.0%88.0%15.1%-3.9%-10.1K2.5M-8.8K0.0066.4110379403