XOP Options History — March 2009

In March 2009, XOP traded between $93.64 and $119.80. ATM implied volatility averaged 62.2%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 4.0% (HV 20d: 66.2%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-03-06: Highest Volume — 231 contracts
  • 2009-03-05: Largest IV spike — 9.1% change
  • 2009-03-02: Highest IV Rank — 45.2%
  • 2009-03-02: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.15$93.64$119.80$93.64$106.40
Max Pain$100.18$100.00$104.00$100.00$104.00
ATM IV62.2%53.8%75.3%75.3%59.7%
Expected Move17.7%15.4%21.6%21.6%17.1%
HV 20d66.2%61.2%71.5%61.2%61.9%
HV 60d61.9%59.8%66.3%66.0%62.2%
IV Rank33.7%26.3%45.2%45.2%31.5%
IV Percentile63.7%49.2%77.8%77.8%60.3%
Term Structure-0.3%-5.0%2.7%-5.0%1.2%
VWIV60.9%51.8%70.7%62.3%55.8%
Skew 25d10.3%7.0%13.7%13.7%9.0%
Skew 10d19.3%9.0%29.4%22.9%29.4%
Call IV 25d57.0%51.1%67.3%67.3%56.4%
Put IV 25d67.3%58.2%81.0%81.0%65.4%
Bid-Ask Spread %50.9714.0487.0914.0472.64
Gamma HHI0.150.090.260.180.15
Net GEX25.7K-4.0K71.6K16.6K51.0K
Net DEX-288.5K-2.1M806.7K798.4K-836.1K
Net VEX-7.2K-11.4K-5.3K-6.4K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.005.750.080.08
Total Volume45.72732311378
Total OI931.8183291,1491,097656

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$93.64$100.0075.3%21.6%61.2%45.2%62.3%13.7%-5.0%16.6K798.4K-6.4K0.0814.04121797300
2009-03-03$96.16$100.0070.2%20.1%62.6%40.8%66.8%11.6%-2.5%22.9K539.5K-6.9K0.1387.09112801300
2009-03-04$101.52$100.0066.3%19.0%65.6%37.3%67.1%12.1%-2.1%42.9K-95.9K-7.6K1.0928.571213810301
2009-03-05$96.92$100.0072.3%20.7%66.3%42.6%70.7%13.3%-3.0%27.3K467.9K-7.1K0.4829.3084820313
2009-03-06$95.24$100.0068.1%19.1%65.2%38.9%61.0%11.7%-1.6%21.1K700.9K-6.6K0.0037.002310824316
2009-03-09$95.24$100.0071.1%19.6%63.7%41.5%68.5%13.3%-2.3%13.1K806.7K-6.0K0.0038.72280799315
2009-03-10$100.04$100.0067.4%18.4%66.6%38.3%64.2%12.3%-1.1%15.5K441.9K-6.2K0.3936.94104773315
2009-03-11$100.16$100.0066.1%18.5%65.7%37.2%0.0%11.0%-1.6%12.1K482.9K-6.0K0.1042.1630769319
2009-03-12$104.20$100.0060.7%17.4%67.9%32.4%67.9%9.2%0.3%18.7K51.0K-6.0K1.0042.921212769319
2009-03-13$102.60$100.0060.3%17.3%67.6%32.0%64.5%9.2%0.4%6.3K358.7K-5.8K1.2843.7556762329
2009-03-16$104.12$100.0061.0%17.5%67.9%32.7%57.8%9.6%0.2%4.4K159.3K-5.3K1.4350.84710761332
2009-03-17$109.24$100.0057.3%16.4%65.7%29.4%57.8%10.5%1.4%359-375.6K-5.3K0.4144.632812764338
2009-03-18$110.64$100.0055.6%15.9%64.3%27.9%56.1%7.0%2.7%5.2K-703.0K-5.3K0.2962.25278772350
2009-03-19$115.92$100.0055.8%16.0%66.4%28.1%55.9%8.2%1.5%39.1K-1.4M-5.9K0.2565.565113795354
2009-03-20$110.36$100.0055.8%16.0%66.7%28.0%54.8%9.6%2.3%-4.0K179.9K-6.1K0.3262.12207720364
2009-03-23$119.80$100.0057.2%16.4%69.1%29.3%57.1%11.3%1.5%20.7K-1.0M-6.5K0.5651.2211564204125
2009-03-24$116.20$100.0059.4%17.0%69.5%31.3%58.3%9.9%0.7%30.8K-1.1M-8.8K0.8755.9687297184
2009-03-25$116.92$100.0056.1%16.1%69.4%28.3%56.1%8.7%0.1%34.6K-1.2M-8.9K0.0961.0114913305191
2009-03-26$118.68$100.0053.8%15.4%69.4%26.3%51.8%7.1%1.0%71.6K-2.1M-11.4K1.7562.8012444198
2009-03-27$113.20$100.0056.5%16.2%71.5%28.7%0.0%8.9%0.9%63.7K-1.5M-10.9K0.3365.2841445200
2009-03-30$108.20$100.0061.5%17.6%61.8%33.1%64.0%10.1%-1.5%51.6K-912.3K-9.9K5.7566.5416449201
2009-03-31$106.40$104.0059.7%17.1%61.9%31.5%55.8%9.0%1.2%51.0K-836.1K-9.6K0.0872.64726450206