XOP Options History — November 2008

In November 2008, XOP traded between $92.04 and $140.04. ATM implied volatility averaged 88.6%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded below realized volatility by 39.1% (HV 20d: 127.7%). Max pain ranged from $160.00 to $220.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.18.

Notable Days

2008-11-12: Highest Volume — 24 contracts
2008-11-13: Largest IV drop — 12.9% change
2008-11-20: Highest IV Rank — 69.0%
2008-11-20: Largest Expected Move — 29.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.00	$92.04	$140.04	$129.84	$124.32
Max Pain	$197.26	$160.00	$220.00	$160.00	$200.00
ATM IV	88.6%	78.5%	102.2%	94.0%	79.8%
Expected Move	25.1%	22.5%	29.3%	27.0%	22.9%
HV 20d	127.7%	100.8%	153.6%	153.6%	126.0%
HV 60d	113.4%	105.6%	124.8%	105.6%	124.8%
IV Rank	56.9%	48.1%	69.0%	61.7%	49.2%
IV Percentile	91.0%	84.1%	96.0%	93.3%	84.1%
Term Structure	-7.4%	-18.9%	6.4%	-8.9%	2.4%
VWIV	84.4%	74.2%	95.2%	84.4%	80.1%
Skew 25d	15.5%	8.3%	19.9%	13.6%	15.1%
Skew 10d	26.3%	3.7%	40.6%	26.6%	40.2%
Call IV 25d	78.9%	72.1%	93.7%	85.3%	73.8%
Put IV 25d	94.4%	88.5%	102.0%	98.9%	88.9%
Bid-Ask Spread %	67.56	28.58	121.61	71.50	45.89
Gamma HHI	0.11	0.08	0.18	0.08	0.10
Net GEX	-5.2K	-17.3K	1.3K	-8.3K	-4.8K
Net DEX	2.2M	1.1M	2.8M	2.8M	1.2M
Net VEX	-6.0K	-8.7K	-3.0K	-7.5K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	10.00	0.43	10.00
Total Volume	10.158	3	24	9	3
Total OI	736.158	565	809	782	584

Daily Data (19 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
2008-11-03	$129.84	$160.00	94.0%	27.0%	153.6%	61.7%	84.4%	13.6%	-8.9%	-8.3K	2.8M	-7.5K	0.43	71.50	6	3	379	403
2008-11-04	$140.04	$160.00	84.4%	24.2%	151.0%	53.2%	87.7%	10.3%	-2.4%	-9.0K	2.4M	-8.7K	0.87	72.96	6	5	385	406
2008-11-05	$134.08	$160.00	86.4%	24.8%	152.0%	54.9%	80.3%	16.6%	-6.0%	-8.0K	2.6M	-8.0K	0.06	121.61	13	1	389	404
2008-11-06	$125.80	$160.00	88.9%	25.5%	149.1%	57.2%	87.8%	14.4%	-5.0%	-3.9K	2.8M	-6.8K	0.25	77.83	3	1	402	390
2008-11-07	$129.60	$220.00	84.9%	23.6%	145.3%	53.6%	82.2%	17.2%	-8.4%	-2.5K	2.7M	-7.2K	0.00	64.68	3	0	404	390
2008-11-10	$131.76	$220.00	84.4%	22.8%	127.3%	53.2%	77.9%	16.4%	-7.4%	-881	2.6M	-6.9K	0.24	35.74	12	3	407	390
2008-11-11	$126.96	$216.00	87.0%	22.9%	128.0%	55.5%	74.2%	16.4%	-7.2%	-1.7K	2.8M	-6.4K	0.34	28.58	8	3	416	393
2008-11-12	$115.16	$208.00	96.9%	25.5%	111.4%	64.2%	88.9%	17.6%	-10.8%	-4.1K	2.3M	-5.2K	2.88	73.29	6	18	423	327
2008-11-13	$128.24	$204.00	84.4%	24.2%	113.0%	53.2%	76.4%	17.6%	-9.6%	1.3K	1.7M	-6.8K	0.27	75.02	13	4	427	328
2008-11-14	$122.40	$204.00	85.3%	24.4%	113.5%	54.1%	0.0%	18.1%	-9.0%	-1.5K	1.9M	-6.2K	0.16	35.45	8	1	437	331
2008-11-17	$119.96	$204.00	90.6%	26.0%	106.0%	58.7%	90.2%	19.9%	-12.0%	-4.4K	2.1M	-5.7K	1.00	71.97	5	5	439	332
2008-11-18	$121.92	$204.00	89.2%	25.6%	105.9%	57.5%	0.0%	17.4%	-10.9%	-5.2K	2.1M	-5.8K	0.00	64.94	0	3	444	337
2008-11-19	$111.88	$204.00	91.6%	26.3%	100.8%	59.7%	93.5%	10.8%	-12.0%	-8.9K	2.2M	-4.7K	1.00	79.91	5	5	444	319
2008-11-20	$92.04	$204.00	102.2%	29.3%	121.4%	69.0%	74.3%	8.3%	-18.9%	-4.3K	2.4M	-3.0K	0.44	90.91	14	6	450	323
2008-11-21	$105.84	$208.00	99.6%	28.5%	132.4%	66.7%	95.2%	15.8%	-17.8%	-17.3K	2.3M	-4.1K	1.00	86.54	3	3	448	324
2008-11-24	$114.60	$208.00	88.8%	25.5%	132.1%	57.2%	83.6%	16.1%	-2.7%	-6.3K	1.4M	-4.7K	0.17	32.78	6	1	327	238
2008-11-25	$116.56	$204.00	86.6%	24.8%	127.7%	55.2%	94.1%	16.9%	-0.9%	-6.3K	1.4M	-4.8K	0.40	77.81	6	3	331	239
2008-11-26	$127.00	$200.00	78.5%	22.5%	129.7%	48.1%	80.1%	15.2%	6.4%	-3.4K	1.1M	-5.5K	1.67	76.17	3	5	336	241
2008-11-28	$124.32	$200.00	79.8%	22.9%	126.0%	49.2%	0.0%	15.1%	2.4%	-4.8K	1.2M	-5.4K	10.00	45.89	0	3	338	246