XOP Options History — April 2009

In April 2009, XOP traded between $110.32 and $126.04. ATM implied volatility averaged 52.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 4.1% (HV 20d: 56.3%). Max pain ranged from $104.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.90.

Notable Days

2009-04-17: Highest Volume — 189 contracts
2009-04-29: Largest IV drop — 10.1% change
2009-04-01: Highest IV Rank — 29.5%
2009-04-07: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.01	$110.32	$126.04	$110.32	$123.44
Max Pain	$116.57	$104.00	$120.00	$104.00	$116.00
ATM IV	52.2%	45.0%	57.4%	57.4%	47.3%
Expected Move	15.2%	12.9%	16.7%	16.5%	13.6%
HV 20d	56.3%	47.4%	60.9%	60.3%	47.4%
HV 60d	60.1%	57.9%	62.9%	61.9%	58.1%
IV Rank	24.9%	18.6%	29.5%	29.5%	20.5%
IV Percentile	42.6%	27.8%	54.4%	54.4%	32.1%
Term Structure	-0.0%	-1.9%	2.2%	1.1%	-0.6%
VWIV	53.4%	42.8%	63.4%	62.1%	42.8%
Skew 25d	8.0%	5.7%	10.5%	10.5%	7.6%
Skew 10d	19.7%	9.4%	32.6%	31.3%	19.7%
Call IV 25d	49.1%	42.3%	53.5%	51.6%	44.4%
Put IV 25d	57.1%	51.5%	62.1%	62.1%	51.9%
Bid-Ask Spread %	42.46	17.64	71.93	71.93	47.99
Gamma HHI	0.19	0.12	0.48	0.14	0.17
Net GEX	121.3K	29.6K	239.7K	74.4K	103.9K
Net DEX	-2.2M	-4.4M	-782.4K	-1.2M	-2.0M
Net VEX	-10.7K	-11.9K	-8.8K	-10.6K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.00	19.11	4.08	0.26
Total Volume	42.19	4	189	32	114
Total OI	772.714	561	867	729	802

Daily Data (21 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
2009-04-01	$110.32	$104.00	57.4%	16.5%	60.3%	29.5%	62.1%	10.5%	1.1%	74.4K	-1.2M	-10.6K	4.08	71.93	6	26	518	211
2009-04-02	$116.48	$104.00	56.6%	16.2%	59.7%	28.7%	55.2%	9.5%	2.2%	98.3K	-2.1M	-11.7K	0.54	48.45	24	13	522	232
2009-04-03	$119.96	$116.00	52.6%	16.3%	59.2%	25.2%	56.9%	6.8%	-0.5%	112.3K	-2.7M	-11.9K	1.03	17.76	8	8	538	243
2009-04-06	$118.00	$120.00	54.0%	16.6%	59.9%	26.5%	56.6%	7.6%	-1.1%	116.6K	-2.4M	-11.5K	0.07	17.64	50	3	541	251
2009-04-07	$113.56	$120.00	54.3%	16.7%	60.5%	26.7%	56.4%	7.8%	-1.0%	117.1K	-1.7M	-11.0K	3.60	46.80	3	9	571	254
2009-04-08	$116.28	$120.00	50.1%	16.1%	60.8%	23.0%	63.4%	7.9%	-1.9%	138.4K	-2.1M	-11.3K	0.04	43.48	17	1	573	260
2009-04-09	$121.12	$120.00	53.8%	15.4%	60.9%	26.3%	52.0%	5.7%	0.5%	165.8K	-3.2M	-11.5K	0.01	46.35	22	0	587	261
2009-04-13	$120.84	$120.00	55.6%	15.9%	60.4%	27.9%	52.8%	9.5%	-0.8%	191.5K	-3.3M	-10.8K	0.00	37.91	7	0	594	261
2009-04-14	$120.36	$120.00	55.3%	15.9%	60.5%	27.6%	57.9%	9.6%	-0.4%	204.7K	-3.2M	-10.6K	7.14	29.54	2	13	598	261
2009-04-15	$120.68	$120.00	53.9%	15.5%	58.6%	26.4%	57.0%	8.2%	-1.3%	229.0K	-3.1M	-10.4K	0.91	37.80	14	12	598	269
2009-04-16	$122.44	$120.00	51.6%	14.8%	58.6%	24.4%	51.1%	6.8%	0.8%	236.0K	-3.4M	-9.5K	0.23	40.78	7	2	565	253
2009-04-17	$125.44	$120.00	50.8%	14.6%	57.0%	23.6%	52.3%	6.8%	1.2%	239.7K	-4.4M	-9.3K	0.22	40.83	155	34	572	253
2009-04-20	$116.84	$116.00	54.0%	15.5%	60.2%	26.4%	56.3%	8.4%	0.4%	34.1K	-782.4K	-8.8K	19.11	48.30	5	91	328	233
2009-04-21	$119.48	$116.00	52.3%	15.0%	53.0%	25.0%	51.6%	8.1%	0.1%	29.6K	-878.3K	-9.7K	0.32	48.21	63	21	331	298
2009-04-22	$117.80	$116.00	53.5%	15.3%	52.1%	26.1%	50.7%	7.7%	-0.2%	34.6K	-827.1K	-10.5K	0.07	50.23	65	5	363	318
2009-04-23	$120.84	$116.00	49.2%	14.1%	52.8%	22.2%	48.3%	6.9%	0.3%	65.8K	-1.4M	-11.1K	0.00	29.85	18	0	413	323
2009-04-24	$124.88	$116.00	47.9%	13.7%	53.8%	21.1%	48.3%	8.3%	0.9%	84.1K	-2.1M	-11.3K	0.57	41.66	5	3	428	323
2009-04-27	$122.16	$116.00	50.5%	14.5%	51.4%	23.4%	0.0%	7.3%	-0.9%	81.3K	-1.8M	-10.8K	0.15	49.23	3	1	431	324
2009-04-28	$123.32	$116.00	50.1%	14.4%	48.0%	23.0%	48.3%	8.0%	-1.0%	85.2K	-1.9M	-10.8K	0.64	47.37	11	7	434	324
2009-04-29	$126.04	$116.00	45.0%	12.9%	47.5%	18.6%	47.7%	9.2%	1.6%	105.1K	-2.4M	-10.6K	0.81	49.56	21	17	444	324
2009-04-30	$123.44	$116.00	47.3%	13.6%	47.4%	20.5%	42.8%	7.6%	-0.6%	103.9K	-2.0M	-10.7K	0.26	47.99	91	23	461	341