XOP Options History — September 2009

In September 2009, XOP traded between $136.60 and $158.44. ATM implied volatility averaged 35.8%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 7.5% (HV 20d: 28.3%). Max pain ranged from $136.00 to $156.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2562.12.

Notable Days

  • 2009-09-04: Highest Volume — 13,228 contracts
  • 2009-09-04: Largest IV drop — 14.6% change
  • 2009-09-24: Highest IV Rank — 6.4%
  • 2009-09-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.17$136.60$158.44$138.00$154.64
Max Pain$148.95$136.00$156.00$140.00$152.00
ATM IV35.8%31.3%38.6%38.6%35.6%
Expected Move10.5%9.8%11.1%11.1%10.2%
HV 20d28.3%25.0%31.7%29.1%25.0%
HV 60d32.5%29.1%34.8%34.2%29.1%
IV Rank4.0%0.0%6.4%5.4%4.1%
IV Percentile10.6%0.0%19.4%14.7%11.5%
Term Structure1.9%0.3%4.9%2.4%2.1%
VWIV38.3%36.4%41.9%37.4%36.8%
Skew 25d6.0%5.2%7.0%6.7%6.0%
Skew 10d13.7%2.3%22.4%2.3%15.8%
Call IV 25d34.3%32.0%36.0%34.5%34.2%
Put IV 25d40.3%38.0%42.5%41.2%40.2%
Bid-Ask Spread %36.5221.0853.4348.0542.61
Gamma HHI0.280.140.450.210.14
Net GEX-1.1M-2.9M-118.5K-337.6K-1.0M
Net DEX10.4M-5.8M43.2M2.4M10.4M
Net VEX-121.6K-380.7K-17.7K-17.7K-77.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2562.120.1052911.0010.683.53
Total Volume1,531.5243013,22880354
Total OI8,257.3811,54122,2581,5415,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$138.00$140.0038.6%11.1%29.1%5.4%37.4%6.7%2.4%-337.6K2.4M-17.7K10.6848.05697343821,159
2009-09-02$136.60$140.0037.4%10.7%29.1%4.3%36.4%7.0%4.1%-533.6K5.6M-28.2K12.5828.05313934361,812
2009-09-03$137.12$140.0036.7%10.5%28.3%3.6%36.7%5.6%4.9%-627.1K6.8M-33.4K0.2751.357602024622,157
2009-09-04$139.80$136.0031.3%11.1%29.0%0.0%40.5%6.6%1.4%-118.5K-1.5M-42.5K52911.0026.33013,2281,2212,320
2009-09-08$144.36$148.0032.5%11.1%31.1%1.1%40.1%6.8%1.2%-2.4M37.1M-307.1K0.6421.0826161,22115,402
2009-09-09$145.04$148.0032.2%10.9%29.9%0.9%36.7%6.2%1.7%-2.9M43.2M-380.7K0.1036.552731,23021,028
2009-09-10$149.64$148.0036.7%10.5%31.7%5.1%36.8%5.6%1.2%-2.2M24.4M-276.0K0.1044.82403411,25515,343
2009-09-11$150.48$148.0036.0%10.3%31.4%4.4%36.4%5.8%2.0%-2.2M22.0M-264.9K183.6230.20366,5651,25515,345
2009-09-14$152.16$148.0036.5%10.5%30.7%4.9%36.7%5.7%1.0%-2.2M19.7M-250.1K0.1438.616391,26115,340
2009-09-15$154.76$148.0034.7%9.9%26.2%3.2%41.9%5.5%2.7%-1.0M-538.3K-128.3K1.2423.361281591,2798,892
2009-09-16$158.44$148.0034.3%9.8%26.7%2.8%38.2%6.0%2.5%-942.3K-5.8M-116.7K4.9222.13562731,4068,810
2009-09-17$158.00$152.0036.6%10.5%26.6%5.0%38.4%5.7%1.0%-1.0M-5.2M-119.3K416.4921.96166,5601,4439,073
2009-09-18$156.00$152.0037.4%10.7%27.4%5.7%37.3%5.6%1.7%-921.6K9.9M-124.7K0.3424.5829106059,060
2009-09-21$154.76$152.0037.3%10.7%26.2%5.7%37.4%5.2%0.3%-468.1K4.1M-43.6K1.1335.1641462743,095
2009-09-22$157.92$156.0036.6%10.5%26.8%5.0%38.2%5.5%0.6%-409.1K2.8M-41.4K2.2136.6532703283,136
2009-09-23$154.88$156.0036.3%10.4%26.8%4.7%38.3%5.6%1.5%-470.0K3.8M-43.0K15.3351.93213183573,203
2009-09-24$151.48$156.0038.1%10.9%28.3%6.4%41.2%6.1%1.1%-732.9K7.4M-51.6K20.1240.24214283673,503
2009-09-25$151.24$156.0036.6%10.5%28.3%5.0%41.3%6.6%1.9%-927.7K9.3M-57.3K17.5453.43346013903,855
2009-09-28$153.92$152.0036.6%10.5%28.8%5.0%37.1%6.9%1.2%-1.0M10.0M-67.0K183.8342.3335524144,563
2009-09-29$154.40$152.0034.2%9.8%26.6%2.7%40.3%5.7%2.4%-1.1M11.8M-82.3K18.8147.545994165,047
2009-09-30$154.64$152.0035.6%10.2%25.0%4.1%36.8%6.0%2.1%-1.0M10.4M-77.7K3.5342.6112424214,839