XOP Options History — February 2009

In February 2009, XOP traded between $100.24 and $130.08. ATM implied volatility averaged 60.0%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 3.5% (HV 20d: 56.5%). Max pain ranged from $100.00 to $112.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.28.

Notable Days

2009-02-24: Highest Volume — 111 contracts
2009-02-10: Largest IV spike — 12.9% change
2009-02-23: Highest IV Rank — 40.4%
2009-02-23: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.53	$100.24	$130.08	$116.96	$104.04
Max Pain	$102.53	$100.00	$112.00	$112.00	$100.00
ATM IV	60.0%	50.9%	69.7%	63.5%	61.1%
Expected Move	17.4%	15.3%	20.0%	18.2%	17.5%
HV 20d	56.5%	50.5%	63.0%	63.0%	50.5%
HV 60d	81.9%	62.9%	92.4%	92.4%	62.9%
IV Rank	31.8%	23.8%	40.4%	34.9%	32.8%
IV Percentile	67.3%	57.1%	76.6%	71.0%	67.5%
Term Structure	-0.1%	-4.3%	3.4%	-0.9%	0.1%
VWIV	60.6%	55.3%	73.1%	60.2%	57.5%
Skew 25d	11.3%	10.2%	13.0%	10.2%	10.5%
Skew 10d	22.4%	15.2%	36.6%	22.7%	20.3%
Call IV 25d	54.9%	48.9%	64.2%	57.2%	56.4%
Put IV 25d	66.2%	59.6%	75.7%	67.4%	67.0%
Bid-Ask Spread %	54.40	21.20	76.76	49.45	23.67
Gamma HHI	0.26	0.18	0.32	0.28	0.18
Net GEX	72.3K	36.2K	101.5K	71.1K	52.9K
Net DEX	-2.1M	-4.7M	7.0K	-2.4M	-410.8K
Net VEX	-11.1K	-13.6K	-7.4K	-13.5K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.00	4.03	2.27	1.72
Total Volume	21.368	3	111	9	17
Total OI	1,096.947	931	1,171	1,084	1,084

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
2009-02-02	$116.96	$112.00	63.5%	18.2%	63.0%	34.9%	60.2%	10.2%	-0.9%	71.1K	-2.4M	-13.5K	2.27	49.45	3	6	768	316
2009-02-03	$119.76	$112.00	58.8%	16.9%	61.1%	30.7%	0.0%	13.0%	1.1%	77.8K	-2.8M	-13.6K	0.00	62.24	3	0	769	322
2009-02-04	$121.52	$112.00	57.8%	16.6%	61.2%	29.9%	0.0%	11.1%	1.7%	82.3K	-3.1M	-13.6K	0.00	63.40	3	0	772	322
2009-02-05	$124.20	$112.00	53.5%	15.3%	59.3%	26.0%	0.0%	10.4%	3.4%	88.9K	-3.6M	-13.5K	0.93	60.70	7	6	775	322
2009-02-06	$127.56	$100.00	51.2%	15.9%	60.0%	24.0%	57.9%	12.0%	3.3%	96.7K	-4.2M	-13.1K	0.13	75.91	8	1	777	321
2009-02-09	$130.08	$100.00	50.9%	15.9%	58.6%	23.8%	55.3%	11.1%	1.2%	101.5K	-4.7M	-12.5K	0.64	70.36	22	14	779	320
2009-02-10	$124.32	$100.00	57.5%	16.7%	58.1%	29.6%	56.4%	10.2%	0.4%	90.7K	-3.7M	-12.7K	0.00	73.01	3	0	793	332
2009-02-11	$121.72	$100.00	58.2%	17.2%	57.9%	30.2%	64.3%	11.6%	-0.0%	85.3K	-3.2M	-12.4K	0.00	39.65	0	11	793	332
2009-02-12	$123.08	$100.00	58.1%	16.7%	54.4%	30.1%	57.3%	11.7%	-0.4%	87.5K	-3.4M	-12.3K	2.33	72.33	5	12	793	331
2009-02-13	$123.96	$100.00	56.2%	16.1%	54.4%	28.4%	62.4%	10.9%	1.9%	93.3K	-3.6M	-12.1K	3.67	39.43	4	14	797	336
2009-02-17	$114.84	$100.00	62.5%	17.9%	61.3%	34.0%	60.2%	10.7%	-2.4%	70.2K	-1.9M	-11.0K	1.33	72.39	5	6	800	350
2009-02-18	$110.24	$100.00	63.5%	18.2%	58.7%	34.8%	65.9%	11.2%	-1.4%	60.6K	-847.2K	-10.1K	1.43	76.67	7	10	803	351
2009-02-19	$110.64	$100.00	62.1%	17.8%	51.8%	33.6%	59.1%	12.4%	-0.9%	62.1K	-865.3K	-9.9K	0.88	76.31	6	6	810	361
2009-02-20	$105.68	$100.00	66.5%	19.1%	52.7%	37.5%	63.5%	12.4%	-1.8%	47.1K	7.0K	-8.8K	4.03	76.76	7	29	809	356
2009-02-23	$100.24	$100.00	69.7%	20.0%	52.0%	40.4%	73.1%	11.6%	-4.3%	36.2K	-27.2K	-7.4K	1.20	24.02	26	31	696	235
2009-02-24	$104.32	$100.00	64.2%	18.4%	53.1%	35.5%	60.7%	12.7%	-1.3%	44.9K	-402.2K	-8.2K	0.26	32.84	88	23	711	262
2009-02-25	$106.00	$100.00	62.2%	17.8%	53.6%	33.7%	57.9%	10.6%	0.2%	63.2K	-770.5K	-9.2K	2.22	23.16	5	10	785	280
2009-02-26	$106.00	$100.00	62.2%	17.8%	50.8%	33.7%	58.1%	10.6%	-1.2%	61.3K	-706.3K	-9.1K	0.03	21.20	8	0	789	290
2009-02-27	$104.04	$100.00	61.1%	17.5%	50.5%	32.8%	57.5%	10.5%	0.1%	52.9K	-410.8K	-8.6K	1.72	23.67	6	11	793	291