XOP Options History — August 2009

In August 2009, XOP traded between $135.16 and $146.68. ATM implied volatility averaged 35.3%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.9% (HV 20d: 31.3%). Max pain ranged from $128.00 to $140.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 8.01.

Notable Days

  • 2009-08-12: Highest Volume — 505 contracts
  • 2009-08-17: Largest IV spike — 11.5% change
  • 2009-08-17: Highest IV Rank — 5.2%
  • 2009-08-17: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.26$135.16$146.68$145.00$140.84
Max Pain$134.10$128.00$140.00$128.00$140.00
ATM IV35.3%32.9%38.3%37.5%37.4%
Expected Move10.3%9.7%11.0%10.8%10.7%
HV 20d31.3%28.4%34.3%32.6%28.4%
HV 60d38.3%33.6%42.5%42.5%33.9%
IV Rank2.2%0.0%5.2%4.4%4.3%
IV Percentile4.6%0.4%12.3%5.2%12.3%
Term Structure1.7%-0.9%4.0%-0.9%0.6%
VWIV35.7%27.5%39.0%39.0%38.8%
Skew 25d5.6%4.8%6.9%5.1%5.6%
Skew 10d11.5%-1.1%21.0%6.7%11.1%
Call IV 25d33.4%31.8%35.1%35.0%35.1%
Put IV 25d39.0%37.3%41.9%40.1%40.7%
Bid-Ask Spread %33.2818.7951.4121.4418.79
Gamma HHI0.370.180.770.310.19
Net GEX330.3K-267.8K1.8M230.7K-267.8K
Net DEX-3.7M-11.8M1.1M-5.1M1.1M
Net VEX-16.4K-22.2K-12.1K-12.2K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.010.00100.006.4015.19
Total Volume94.28615052865
Total OI1,607.4761,0692,3551,0691,491

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$145.00$128.0037.5%10.8%32.6%4.4%39.0%5.1%-0.9%230.7K-5.1M-12.2K6.4021.44424607462
2009-08-04$145.36$128.0036.8%10.6%29.6%3.8%0.0%4.8%-0.6%231.7K-5.1M-12.1K0.0034.24360608479
2009-08-05$143.80$128.0035.9%10.3%29.7%2.8%27.5%5.5%0.6%248.4K-4.9M-13.0K7.0033.3414641479
2009-08-06$140.72$128.0036.1%10.3%31.1%3.1%34.8%5.5%1.7%253.3K-4.1M-12.8K3.2041.811549640480
2009-08-07$142.04$128.0033.4%10.4%30.4%0.5%38.0%5.9%2.3%267.1K-4.3M-14.1K4.0035.6915654529
2009-08-10$143.32$128.0033.1%10.2%30.2%0.1%34.4%5.1%3.1%295.6K-4.7M-13.2K0.0224.292637655534
2009-08-11$140.08$128.0032.9%10.6%31.8%0.0%34.9%5.7%1.7%548.3K-5.5M-15.6K0.7137.4721909538
2009-08-12$140.84$128.0034.3%10.4%30.2%1.3%38.8%5.9%2.3%539.1K-5.8M-15.0K100.0025.395500908538
2009-08-13$143.00$136.0034.4%9.9%29.8%1.5%35.1%5.0%3.8%435.8K-5.6M-20.3K0.0333.1925179091,038
2009-08-14$140.64$136.0034.4%9.8%30.7%1.4%34.8%5.4%4.0%809.9K-6.0M-22.2K0.9329.6531291,1691,038
2009-08-17$135.16$136.0038.3%11.0%33.7%5.2%37.0%6.9%1.5%520.6K-951.8K-20.5K0.4638.301051,1791,061
2009-08-18$137.52$136.0037.3%10.7%34.0%4.2%34.6%5.4%1.0%887.4K-2.5M-20.1K0.0025.07101,1681,061
2009-08-19$139.88$136.0035.6%10.2%34.3%2.6%35.9%5.6%2.9%1.2M-5.2M-19.3K2.8631.107201,1601,050
2009-08-20$141.24$136.0034.7%9.9%31.6%1.7%37.8%6.2%3.3%1.8M-7.2M-17.6K6.2939.03231461,1561,058
2009-08-21$145.44$136.0034.9%10.0%32.8%1.9%37.0%5.6%2.3%-3.9K-11.8M-15.2K0.7051.412171511,1551,200
2009-08-24$146.68$140.0034.4%9.9%32.9%1.5%32.2%5.4%1.4%-181.1K-510.6K-16.1K0.0034.101203331,077
2009-08-25$143.88$140.0035.2%10.1%33.0%2.2%34.1%5.8%0.6%-212.6K251.6K-16.9K5.1339.836303451,077
2009-08-26$143.56$140.0034.9%10.0%31.3%1.9%37.1%5.4%0.7%-224.1K424.8K-17.3K15.0047.86183501,103
2009-08-27$143.84$140.0033.9%9.7%30.1%1.0%34.8%5.8%1.6%-222.8K323.5K-17.1K0.0732.52813501,106
2009-08-28$144.64$140.0034.9%10.0%29.9%1.9%36.7%5.4%0.8%-207.7K-56.6K-16.4K0.2924.442683561,106
2009-08-31$140.84$140.0037.4%10.7%28.4%4.3%38.8%5.6%0.6%-267.8K1.1M-17.4K15.1918.794613801,111