XOP Options History — December 2008

In December 2008, XOP traded between $101.16 and $120.48. ATM implied volatility averaged 81.3%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 34.0% (HV 20d: 115.3%). Max pain ranged from $116.00 to $200.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2008-12-26: Highest Volume — 509 contracts
  • 2008-12-04: Largest IV spike — 10.6% change
  • 2008-12-04: Highest IV Rank — 66.3%
  • 2008-12-04: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.06$101.16$120.48$109.72$118.56
Max Pain$133.45$116.00$200.00$200.00$116.00
ATM IV81.3%55.6%99.2%93.0%55.6%
Expected Move23.1%15.9%28.4%26.7%15.9%
HV 20d115.3%70.8%139.1%132.8%70.8%
HV 60d126.3%122.3%128.3%126.9%122.3%
IV Rank50.6%27.9%66.3%60.9%27.9%
IV Percentile82.9%69.4%95.2%92.5%69.4%
Term Structure-1.5%-11.2%12.2%-2.2%8.9%
VWIV81.8%53.9%100.2%100.2%56.3%
Skew 25d11.6%8.1%16.9%15.6%8.1%
Skew 10d20.5%12.3%40.1%40.1%13.6%
Call IV 25d75.6%54.1%92.1%84.2%54.3%
Put IV 25d87.2%62.4%100.3%99.7%62.4%
Bid-Ask Spread %33.9812.0070.5862.3262.20
Gamma HHI0.170.080.520.130.45
Net GEX-5.1K-39.7K62.9K-8.1K62.9K
Net DEX506.3K-4.9M1.8M1.6M-4.9M
Net VEX-6.2K-15.5K-3.5K-4.1K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0013.5013.500.88
Total Volume47.54505092411
Total OI693.9554031,0385881,038

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$109.72$200.0093.0%26.7%132.8%60.9%100.2%15.6%-2.2%-8.1K1.6M-4.1K0.0062.32024339249
2008-12-02$113.56$200.0090.4%25.9%133.0%58.6%97.6%14.0%-3.3%-11.4K1.6M-4.5K13.5026.9717339271
2008-12-03$113.96$192.0089.7%25.7%129.5%58.0%86.0%15.0%-1.6%-12.6K1.6M-4.5K0.0022.9910339277
2008-12-04$101.36$192.0099.2%28.4%134.6%66.3%86.2%8.2%-3.7%-13.1K1.8M-3.6K0.0021.9100339277
2008-12-05$101.16$124.0097.7%27.2%133.3%65.0%96.1%12.7%-10.7%-13.6K1.8M-3.5K0.2616.94154339277
2008-12-08$109.28$124.0095.1%26.6%136.3%62.7%90.8%14.2%-11.2%-14.6K1.6M-3.9K1.8919.512241344278
2008-12-09$111.68$124.0091.5%25.4%136.4%59.6%88.4%12.8%-7.5%-17.9K1.7M-4.5K0.1119.1771364318
2008-12-10$120.48$124.0087.5%23.9%139.1%56.0%86.2%9.9%-4.7%-15.4K1.3M-4.9K1.3522.09913368313
2008-12-11$118.52$120.0083.9%24.1%134.7%52.9%92.9%10.6%-5.6%-17.0K1.3M-5.0K0.5225.162212377326
2008-12-12$117.00$120.0084.2%24.1%128.8%53.1%82.1%11.7%-5.5%-15.9K1.3M-5.1K0.1418.4441397332
2008-12-15$114.88$120.0087.2%25.0%127.9%55.7%88.2%12.3%-6.2%-18.4K1.4M-4.6K2.9612.001440396333
2008-12-16$120.24$120.0083.8%24.0%128.9%52.8%86.6%10.1%-3.3%-20.8K1.3M-5.3K1.5426.381015407373
2008-12-17$120.16$120.0083.4%23.9%128.8%52.4%88.8%10.5%-4.1%-20.8K1.3M-5.5K0.5024.2684412388
2008-12-18$113.68$120.0086.6%24.8%126.5%55.2%86.4%16.9%-6.0%-33.1K1.7M-5.1K1.8725.26611419391
2008-12-19$115.52$120.0080.4%23.1%103.2%49.8%74.1%12.2%-10.0%-39.7K1.6M-4.9K0.8270.584336420402
2008-12-22$108.76$120.0072.4%20.8%94.2%42.7%71.3%13.1%5.1%-3.9K332.1K-5.0K0.5237.194423231172
2008-12-23$109.28$116.0067.8%19.4%89.6%38.6%74.6%9.7%9.1%-1.9K271.1K-5.6K3.1635.07620268190
2008-12-24$108.52$116.0071.3%20.4%89.3%41.7%67.8%9.2%2.7%-2.9K329.2K-6.0K1.4044.2134273208
2008-12-26$110.76$116.0067.1%19.2%83.5%38.0%0.0%8.5%3.1%-3.0K279.0K-5.9K0.0147.655036276211
2008-12-29$113.48$116.0063.7%18.3%84.0%35.0%63.6%9.6%12.2%52.4K-3.8M-15.2K0.1750.35183773216
2008-12-30$116.80$116.0057.5%16.5%71.6%29.6%53.9%10.4%11.3%57.6K-4.4M-15.1K0.0857.00313789218
2008-12-31$118.56$116.0055.6%15.9%70.8%27.9%56.3%8.1%8.9%62.9K-4.9M-15.5K0.8862.2065817221