XOP Options History — July 2009

In July 2009, XOP traded between $114.04 and $140.80. ATM implied volatility averaged 38.0%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 1.9% (HV 20d: 36.1%). Max pain ranged from $120.00 to $136.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 8.41.

Notable Days

  • 2009-07-02: Highest Volume — 473 contracts
  • 2009-07-13: Largest IV spike — 11.9% change
  • 2009-07-08: Highest IV Rank — 12.5%
  • 2009-07-08: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.37$114.04$140.80$126.84$139.68
Max Pain$124.73$120.00$136.00$136.00$128.00
ATM IV38.0%32.9%44.9%35.3%34.6%
Expected Move11.0%9.4%12.8%10.1%9.9%
HV 20d36.1%32.8%41.2%33.8%33.8%
HV 60d46.2%42.0%48.0%47.7%42.0%
IV Rank5.6%0.0%12.5%3.4%1.7%
IV Percentile5.6%0.0%21.0%0.8%1.2%
Term Structure1.1%0.1%4.3%4.3%0.7%
VWIV38.3%32.3%47.4%37.1%34.9%
Skew 25d5.4%3.6%7.1%3.6%6.0%
Skew 10d11.9%2.2%24.7%9.4%11.2%
Call IV 25d36.1%31.3%42.5%34.2%32.9%
Put IV 25d41.5%36.3%48.0%37.8%38.9%
Bid-Ask Spread %33.4026.1444.6133.3937.40
Gamma HHI0.260.120.310.130.31
Net GEX-6.6K-193.5K219.4K22.0K219.4K
Net DEX395.3K-3.8M5.2M316.4K-3.7M
Net VEX-14.0K-16.7K-10.9K-12.2K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.410.0050.790.422.00
Total Volume82.636447348
Total OI1,236.9557671,6211,0251,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$126.84$136.0035.3%10.1%33.8%3.4%37.1%3.6%4.3%22.0K316.4K-12.2K0.4233.3931588437
2009-07-02$121.92$136.0038.9%11.2%33.6%6.8%38.2%4.7%1.9%-14.2K1.2M-11.0K34.6826.1413460591438
2009-07-06$118.36$120.0042.2%12.2%34.4%10.0%43.0%7.1%0.6%-178.4K4.6M-16.7K2.6228.013796604886
2009-07-07$115.16$120.0044.1%12.8%34.9%11.7%42.5%5.9%0.2%-152.6K4.9M-15.7K0.5134.41126635868
2009-07-08$114.04$120.0044.9%12.8%34.5%12.5%47.4%5.5%0.5%-151.6K5.2M-15.2K8.3034.48321638872
2009-07-09$117.44$120.0042.3%12.5%36.8%10.0%38.1%6.4%1.1%-171.7K4.6M-16.2K0.3127.37175638890
2009-07-10$116.40$120.0039.2%12.4%35.4%7.1%0.0%5.6%0.6%-178.8K4.9M-15.4K23.0032.4806641890
2009-07-13$118.72$120.0043.9%12.1%37.1%11.5%43.9%6.1%0.7%-187.0K4.3M-15.4K6.0027.45633641890
2009-07-14$121.40$120.0040.0%12.0%38.4%7.9%40.7%6.4%0.8%-193.1K3.6M-15.3K0.1428.67365642889
2009-07-15$125.60$120.0039.3%11.6%40.4%7.2%41.9%6.5%0.6%-178.6K2.0M-15.4K50.5538.198417655889
2009-07-16$128.48$120.0038.6%11.1%40.9%6.6%43.8%5.6%1.5%-193.5K1.2M-15.8K50.7931.714178660961
2009-07-17$129.72$120.0038.8%11.1%41.0%6.7%39.4%4.8%1.5%-92.7K-412.8K-11.4K1.0636.552021650730
2009-07-20$132.56$120.0036.5%10.5%41.2%4.5%34.7%6.2%1.0%-1.2K-714.1K-10.9K0.1335.1223632305462
2009-07-21$133.84$128.0035.4%10.1%32.8%3.5%37.4%4.7%1.4%113.9K-1.9M-14.1K0.4334.88136536457
2009-07-22$133.00$128.0034.9%10.0%33.0%3.1%33.5%5.7%1.8%115.3K-1.8M-13.9K0.0044.61150546455
2009-07-23$138.32$128.0034.0%9.7%35.3%2.1%38.3%4.4%1.0%162.6K-3.1M-14.1K1.2736.311216561455
2009-07-24$140.56$128.0032.9%9.4%34.7%0.0%32.3%5.0%1.4%184.0K-3.7M-13.8K2.2935.4124569454
2009-07-27$140.80$128.0035.0%10.0%34.0%2.0%32.7%5.4%0.1%188.1K-3.8M-13.4K0.0628.18221570454
2009-07-28$138.28$128.0034.4%9.9%35.0%1.4%34.3%5.3%1.0%183.1K-3.2M-13.1K0.1431.52112572453
2009-07-29$134.68$128.0035.9%10.3%36.6%2.9%35.5%4.4%0.7%160.1K-2.4M-12.9K0.3335.1483581455
2009-07-30$138.32$128.0034.8%10.0%37.6%1.8%34.0%4.5%1.1%199.1K-3.3M-13.0K0.0037.29190587457
2009-07-31$139.68$128.0034.6%9.9%33.8%1.7%34.9%6.0%0.7%219.4K-3.7M-13.2K2.0037.4035604457