XOP Options History — May 2009

In May 2009, XOP traded between $129.28 and $145.52. ATM implied volatility averaged 44.6%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 8.9% (HV 20d: 53.6%). Max pain ranged from $112.00 to $132.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.83.

Notable Days

2009-05-04: Highest Volume — 98 contracts
2009-05-11: Largest IV spike — 14.0% change
2009-05-13: Highest IV Rank — 23.7%
2009-05-13: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$137.29	$129.28	$145.52	$129.28	$144.52
Max Pain	$128.40	$112.00	$132.00	$112.00	$132.00
ATM IV	44.6%	38.5%	52.8%	44.9%	38.5%
Expected Move	12.5%	11.0%	13.9%	12.9%	11.0%
HV 20d	53.6%	46.4%	58.5%	46.4%	53.8%
HV 60d	58.8%	53.2%	61.4%	58.8%	53.2%
IV Rank	15.3%	6.4%	23.7%	18.5%	6.4%
IV Percentile	24.3%	7.9%	42.5%	26.6%	7.9%
Term Structure	1.7%	-1.8%	5.1%	-0.6%	3.8%
VWIV	45.2%	37.9%	55.2%	47.1%	38.9%
Skew 25d	7.8%	4.3%	10.0%	7.5%	5.6%
Skew 10d	17.6%	11.3%	29.1%	28.8%	13.6%
Call IV 25d	40.1%	35.4%	44.2%	41.5%	35.4%
Put IV 25d	47.9%	40.9%	52.9%	49.0%	40.9%
Bid-Ask Spread %	48.80	35.97	58.49	45.10	35.97
Gamma HHI	0.15	0.11	0.39	0.19	0.13
Net GEX	69.9K	2.7K	143.8K	119.7K	46.0K
Net DEX	-3.6M	-6.8M	-1.0M	-3.7M	-3.0M
Net VEX	-10.5K	-11.7K	-8.9K	-10.7K	-11.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.00	16.60	1.66	0.77
Total Volume	36.4	1	98	24	6
Total OI	912.45	612	1,207	875	773

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
2009-05-01	$129.28	$112.00	44.9%	12.9%	46.4%	18.5%	47.1%	7.5%	-0.6%	119.7K	-3.7M	-10.7K	1.66	45.10	9	15	513	362
2009-05-04	$138.08	$116.00	44.5%	12.4%	50.5%	18.1%	44.7%	9.9%	2.7%	94.7K	-5.1M	-9.1K	0.29	45.91	76	22	513	374
2009-05-05	$134.72	$116.00	46.6%	12.6%	51.1%	19.9%	0.0%	10.0%	2.9%	129.4K	-4.9M	-10.3K	16.60	54.20	3	42	564	395
2009-05-06	$141.60	$116.00	47.8%	12.8%	50.4%	21.0%	45.2%	9.9%	1.6%	87.5K	-6.1M	-8.9K	1.67	48.20	28	46	564	436
2009-05-07	$138.64	$128.00	47.7%	13.4%	51.4%	20.9%	46.6%	9.6%	0.6%	106.3K	-5.5M	-10.2K	1.46	55.68	28	40	589	475
2009-05-08	$145.52	$132.00	45.5%	12.8%	52.1%	19.0%	45.3%	9.6%	2.0%	68.4K	-6.8M	-9.9K	1.32	58.47	14	19	611	512
2009-05-11	$140.16	$132.00	51.9%	13.5%	54.6%	22.8%	55.2%	8.9%	-0.1%	85.2K	-5.9M	-10.5K	2.71	57.40	5	14	618	529
2009-05-12	$138.96	$132.00	47.4%	13.2%	54.7%	18.8%	52.2%	9.0%	0.3%	84.2K	-5.7M	-10.3K	1.09	43.53	20	22	620	530
2009-05-13	$132.72	$132.00	52.8%	13.9%	57.9%	23.7%	51.1%	8.7%	-1.7%	121.4K	-4.2M	-10.9K	2.12	51.40	16	35	629	547
2009-05-14	$134.24	$132.00	47.2%	13.5%	57.8%	18.5%	52.7%	9.6%	-1.8%	111.4K	-4.7M	-10.7K	0.13	53.48	4	1	635	572
2009-05-15	$130.32	$132.00	46.4%	13.3%	58.5%	16.5%	50.4%	9.4%	1.1%	143.8K	-3.7M	-10.0K	3.68	52.96	10	38	633	572
2009-05-18	$136.84	$132.00	43.3%	12.4%	54.0%	13.6%	43.3%	8.3%	1.0%	2.7K	-1.0M	-9.6K	0.30	53.74	61	19	262	350
2009-05-19	$138.32	$132.00	41.6%	11.9%	53.8%	12.1%	41.1%	6.0%	2.1%	13.6K	-1.6M	-10.8K	0.05	39.85	33	2	304	368
2009-05-20	$138.92	$132.00	40.8%	11.7%	53.2%	11.3%	39.9%	5.9%	2.9%	24.1K	-1.9M	-11.1K	0.26	46.12	12	3	334	369
2009-05-21	$133.88	$132.00	43.5%	12.5%	55.1%	11.2%	41.1%	6.8%	2.2%	18.7K	-1.2M	-11.5K	0.00	44.46	23	0	343	371
2009-05-22	$133.60	$132.00	42.1%	12.1%	54.1%	9.9%	38.1%	5.3%	2.4%	27.1K	-1.3M	-11.7K	0.00	58.49	19	0	363	371
2009-05-26	$136.52	$132.00	40.0%	11.5%	53.6%	7.8%	0.0%	7.1%	5.1%	34.5K	-1.7M	-11.3K	0.00	53.76	0	1	375	371
2009-05-27	$136.84	$132.00	40.7%	11.7%	53.6%	8.5%	37.9%	4.3%	2.2%	36.1K	-1.8M	-11.0K	0.18	38.49	14	3	375	371
2009-05-28	$142.20	$132.00	39.2%	11.2%	54.6%	7.1%	43.1%	5.6%	4.6%	43.4K	-2.6M	-11.0K	0.56	38.84	16	9	382	374
2009-05-29	$144.52	$132.00	38.5%	11.0%	53.8%	6.4%	38.9%	5.6%	3.8%	46.0K	-3.0M	-11.1K	0.77	35.97	3	3	390	383