XOP Options History — January 2009

In January 2009, XOP traded between $109.20 and $133.88. ATM implied volatility averaged 62.3%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 0.5% (HV 20d: 61.7%). Max pain ranged from $108.00 to $116.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.67.

Notable Days

2009-01-07: Highest Volume — 514 contracts
2009-01-05: Largest IV spike — 17.3% change
2009-01-20: Highest IV Rank — 41.4%
2009-01-20: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.25	$109.20	$133.88	$126.08	$119.64
Max Pain	$112.00	$108.00	$116.00	$116.00	$112.00
ATM IV	62.3%	51.6%	70.9%	51.6%	57.9%
Expected Move	18.0%	14.8%	20.3%	14.8%	16.6%
HV 20d	61.7%	54.3%	73.9%	73.9%	66.6%
HV 60d	104.0%	93.7%	121.4%	121.0%	93.7%
IV Rank	33.8%	24.4%	41.4%	24.4%	29.9%
IV Percentile	71.7%	64.3%	75.8%	65.1%	65.9%
Term Structure	0.8%	-2.4%	9.9%	9.9%	1.0%
VWIV	63.2%	54.6%	75.3%	55.2%	61.9%
Skew 25d	11.2%	5.9%	14.4%	5.9%	10.8%
Skew 10d	24.1%	9.5%	47.6%	9.5%	19.3%
Call IV 25d	57.0%	50.4%	63.3%	51.6%	52.8%
Put IV 25d	68.1%	57.6%	76.8%	57.6%	63.5%
Bid-Ask Spread %	44.24	25.96	79.94	79.94	58.91
Gamma HHI	0.32	0.12	0.42	0.42	0.30
Net GEX	61.9K	2.6K	89.7K	65.3K	77.5K
Net DEX	-3.5M	-7.2M	-1.6M	-6.0M	-2.8M
Net VEX	-13.6K	-14.8K	-9.0K	-14.7K	-14.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.00	10.06	1.15	4.93
Total Volume	59	6	514	11	21
Total OI	1,019.05	764	1,136	1,047	1,069

Daily Data (20 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
2009-01-02	$126.08	$116.00	51.6%	14.8%	73.9%	24.4%	55.2%	5.9%	9.9%	65.3K	-6.0M	-14.7K	1.15	79.94	5	6	821	226
2009-01-05	$132.00	$108.00	60.5%	17.6%	59.3%	32.2%	63.2%	10.7%	-1.7%	65.1K	-7.0M	-13.2K	5.02	27.34	13	67	825	231
2009-01-06	$133.88	$112.00	60.7%	17.5%	59.1%	32.3%	60.8%	9.6%	-1.8%	56.1K	-7.2M	-13.6K	0.00	34.98	9	0	834	294
2009-01-07	$127.28	$112.00	61.2%	18.0%	58.3%	32.8%	0.0%	11.4%	-1.2%	59.5K	-6.1M	-14.8K	0.01	30.30	508	6	842	294
2009-01-08	$128.80	$112.00	59.4%	18.1%	58.1%	31.3%	60.2%	11.2%	-2.4%	19.7K	-2.4M	-9.0K	0.00	25.96	255	1	467	297
2009-01-09	$123.84	$112.00	60.0%	18.1%	54.3%	31.8%	57.8%	10.2%	-2.3%	64.5K	-3.5M	-14.5K	0.05	31.50	15	1	719	297
2009-01-12	$117.84	$112.00	67.2%	19.0%	57.0%	38.1%	66.4%	10.1%	-0.9%	58.4K	-2.5M	-13.8K	0.59	36.18	10	6	733	298
2009-01-13	$121.04	$112.00	66.0%	18.6%	57.5%	37.1%	72.3%	11.0%	0.7%	63.1K	-3.1M	-13.9K	2.47	35.50	4	9	739	304
2009-01-14	$114.72	$112.00	67.6%	19.3%	60.5%	38.5%	70.6%	10.0%	0.0%	48.0K	-1.9M	-13.4K	1.35	40.89	5	7	742	313
2009-01-15	$115.04	$112.00	67.1%	19.2%	58.0%	38.1%	68.3%	11.8%	0.1%	44.8K	-2.0M	-13.3K	0.87	43.03	17	15	744	318
2009-01-16	$116.32	$112.00	66.4%	19.0%	58.2%	37.4%	58.8%	12.2%	-0.2%	2.6K	-2.3M	-13.7K	0.17	41.41	35	6	757	331
2009-01-20	$109.20	$112.00	70.9%	20.3%	59.2%	41.4%	75.3%	13.5%	-0.6%	59.5K	-1.6M	-12.8K	2.52	47.52	6	16	718	223
2009-01-21	$117.68	$112.00	63.5%	18.2%	65.0%	34.9%	61.7%	12.1%	1.6%	70.8K	-2.7M	-14.0K	0.33	49.71	12	4	724	236
2009-01-22	$113.52	$112.00	66.2%	19.0%	62.5%	37.2%	0.0%	12.4%	1.1%	69.0K	-2.2M	-13.4K	0.75	51.27	5	4	736	236
2009-01-23	$118.96	$112.00	62.4%	17.9%	64.5%	33.9%	61.1%	12.1%	2.0%	76.0K	-2.8M	-14.0K	1.02	40.86	12	13	737	237
2009-01-26	$122.48	$112.00	62.0%	17.8%	64.9%	33.5%	65.8%	14.4%	0.8%	81.3K	-3.4M	-13.9K	1.23	48.42	9	11	747	246
2009-01-27	$120.12	$112.00	59.9%	17.2%	65.3%	31.7%	54.6%	12.2%	2.8%	81.2K	-3.0M	-14.0K	0.00	49.98	6	0	754	254
2009-01-28	$125.04	$112.00	55.6%	16.0%	66.2%	27.9%	57.4%	9.9%	4.6%	89.7K	-3.8M	-13.9K	0.81	56.45	8	6	760	254
2009-01-29	$121.60	$112.00	59.7%	17.1%	66.5%	31.5%	65.7%	11.7%	2.0%	86.9K	-3.3M	-13.7K	10.06	54.71	4	43	764	260
2009-01-30	$119.64	$112.00	57.9%	16.6%	66.6%	29.9%	61.9%	10.8%	1.0%	77.5K	-2.8M	-14.1K	4.93	58.91	4	17	766	303