XOP Options History — June 2009

In June 2009, XOP traded between $122.52 and $153.00. ATM implied volatility averaged 41.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 5.3% (HV 20d: 47.2%). Max pain ranged from $136.00 to $144.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.37.

Notable Days

  • 2009-06-03: Highest Volume — 370 contracts
  • 2009-06-03: Largest IV spike — 15.3% change
  • 2009-06-03: Highest IV Rank — 13.7%
  • 2009-06-03: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.72$122.52$153.00$153.00$126.88
Max Pain$138.73$136.00$144.00$136.00$136.00
ATM IV41.8%35.9%46.2%39.8%35.9%
Expected Move12.1%10.3%13.2%11.4%10.3%
HV 20d47.2%39.3%55.7%54.9%39.5%
HV 60d51.8%47.8%55.0%53.1%47.8%
IV Rank9.6%4.0%13.7%7.6%4.0%
IV Percentile14.8%1.2%26.6%12.3%1.2%
Term Structure2.6%-0.3%4.5%3.4%3.7%
VWIV43.1%35.5%48.4%39.0%35.5%
Skew 25d5.8%4.5%7.5%5.1%4.8%
Skew 10d12.6%3.3%25.5%11.4%24.7%
Call IV 25d40.0%34.7%43.5%37.5%34.7%
Put IV 25d45.8%39.5%49.6%42.6%39.5%
Bid-Ask Spread %41.8423.7760.2323.7727.94
Gamma HHI0.250.110.550.140.12
Net GEX-16.4K-194.9K58.5K46.9K17.7K
Net DEX-967.1K-4.2M3.4M-4.0M428.6K
Net VEX-13.6K-16.4K-9.4K-9.4K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.0625.0014.580.21
Total Volume62.3642370949
Total OI1,128.9557691,4267691,022

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$153.00$136.0039.8%11.4%54.9%7.6%39.0%5.1%3.4%46.9K-4.0M-9.4K14.5823.77688384385
2009-06-02$150.16$136.0040.0%11.5%51.3%7.9%48.4%6.3%4.5%15.6K-3.3M-11.4K0.8824.103632390465
2009-06-03$141.00$136.0046.2%13.2%55.7%13.7%47.3%7.5%-0.3%21.4K-1.8M-13.1K1.8039.35132238421481
2009-06-04$144.92$136.0042.8%12.3%53.7%10.5%41.9%6.7%1.4%-21.6K-2.7M-16.4K1.6733.7711516657
2009-06-05$143.40$136.0041.8%12.7%53.3%9.6%46.8%5.8%2.2%-27.4K-2.4M-15.9K2.8238.811027517658
2009-06-08$142.96$136.0041.9%12.5%50.4%9.6%45.0%5.7%2.3%-40.9K-2.2M-15.9K15.0041.69230525685
2009-06-09$143.44$140.0041.8%12.2%48.5%9.5%41.5%5.9%2.9%-41.1K-2.4M-15.6K0.2541.18164525704
2009-06-10$144.60$140.0039.1%12.1%48.4%7.0%43.7%6.3%2.6%-37.3K-2.7M-15.4K0.3550.859132536708
2009-06-11$147.12$144.0042.9%12.3%45.2%10.6%43.4%4.9%2.2%54.0K-4.2M-15.4K0.8343.072622615723
2009-06-12$145.40$144.0042.4%12.2%45.5%10.1%43.0%5.8%2.5%37.3K-3.4M-16.1K1.4849.9858631740
2009-06-15$141.96$144.0045.1%12.9%45.0%12.7%45.5%5.9%1.4%-21.9K-2.1M-15.3K0.3354.35103634747
2009-06-16$138.04$144.0045.1%12.9%43.1%12.7%45.5%6.7%0.6%-112.7K-777.6K-14.6K0.3551.87217636747
2009-06-17$134.92$144.0044.4%12.7%43.7%12.0%46.4%5.6%1.9%-167.9K841.3K-14.1K0.7047.412921645754
2009-06-18$133.44$140.0044.1%12.6%43.8%11.7%46.7%5.9%2.7%-194.9K1.8M-13.3K1.1155.462123656770
2009-06-19$130.92$140.0041.5%11.9%42.3%9.3%41.9%5.8%4.4%58.5K3.4M-12.0K2.8960.012468615779
2009-06-22$122.52$140.0045.9%13.2%48.2%13.4%44.4%6.5%1.4%-6.6K1.0M-10.9K0.3652.038631418374
2009-06-23$122.64$136.0044.9%12.9%47.3%12.4%43.6%6.0%2.6%7.6K855.6K-12.2K0.1033.08556492402
2009-06-24$123.16$136.0041.8%12.0%47.4%9.6%41.8%5.4%3.1%3.2K871.3K-12.1K1.3660.232027493407
2009-06-25$126.40$136.0038.1%10.9%46.0%6.0%39.4%4.5%3.9%10.5K563.4K-13.1K0.0630.67906510431
2009-06-26$124.72$136.0037.6%10.8%45.3%5.6%38.9%4.6%3.5%16.0K610.2K-13.0K2.0026.8111585436
2009-06-29$126.24$136.0037.1%10.6%39.3%5.1%38.0%5.2%3.2%23.2K388.6K-12.7K25.0034.0606585433
2009-06-30$126.88$136.0035.9%10.3%39.5%4.0%35.5%4.8%3.7%17.7K428.6K-12.3K0.2127.9472586436