XOP Options History — October 2009

In October 2009, XOP traded between $147.64 and $173.48. ATM implied volatility averaged 34.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.2% (HV 20d: 30.7%). Max pain ranged from $156.00 to $168.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 20.85.

Notable Days

  • 2009-10-28: Highest Volume — 3,669 contracts
  • 2009-10-30: Largest IV spike — 26.0% change
  • 2009-10-30: Highest IV Rank — 22.5%
  • 2009-10-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.78$147.64$173.48$148.52$153.80
Max Pain$161.27$156.00$168.00$160.00$168.00
ATM IV34.9%29.4%45.9%39.9%45.9%
Expected Move10.3%8.9%13.1%11.4%13.1%
HV 20d30.7%26.9%39.9%29.4%39.9%
HV 60d29.9%28.0%32.6%30.4%32.6%
IV Rank5.5%0.0%22.5%8.1%22.5%
IV Percentile11.2%0.0%46.8%26.2%46.8%
Term Structure0.8%-0.6%1.9%0.1%-0.5%
VWIV35.6%31.3%43.2%38.6%43.2%
Skew 25d5.2%3.8%7.0%7.0%5.1%
Skew 10d8.5%5.0%17.3%7.8%5.0%
Call IV 25d33.5%28.2%42.2%36.9%42.2%
Put IV 25d38.8%34.1%47.3%43.9%47.3%
Bid-Ask Spread %21.939.7962.3355.8724.08
Gamma HHI0.180.120.420.140.42
Net GEX-867.2K-2.0M-197.0K-1.3M-1.7M
Net DEX8.0M-2.0M33.7M17.6M33.7M
Net VEX-70.7K-130.2K-41.1K-84.6K-130.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.850.01307.501.437.33
Total Volume382.95513,66969566
Total OI5,685.4553,4077,2245,4217,156

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$148.52$160.0039.9%11.4%29.4%8.1%38.6%7.0%0.1%-1.3M17.6M-84.6K1.4355.8728414294,992
2009-10-02$147.64$160.0038.8%11.1%29.6%7.1%38.0%5.8%1.3%-1.3M18.3M-85.4K19.1062.33377024444,997
2009-10-05$152.52$156.0038.0%11.2%30.9%6.4%34.0%3.8%0.1%-1.6M17.3M-84.1K0.6118.4251314735,459
2009-10-06$156.40$156.0037.8%11.0%30.2%6.2%39.3%5.7%0.2%-1.5M12.5M-78.3K307.5012.5926155235,608
2009-10-07$156.60$156.0034.8%10.8%30.2%3.3%0.0%5.8%0.3%-2.0M15.0M-81.0K0.0014.71015276,139
2009-10-08$161.96$156.0033.8%10.6%30.5%2.4%36.0%6.2%0.6%-895.3K4.9M-65.4K1.0112.1352525255,389
2009-10-09$161.72$156.0032.4%10.5%30.5%1.1%34.1%6.4%0.6%-1.0M5.7M-66.7K1.1311.2116185535,435
2009-10-12$164.00$156.0033.9%10.3%30.6%2.6%38.4%6.0%0.1%-652.8K2.3M-57.3K7.2511.74141025565,444
2009-10-13$164.80$156.0031.7%10.2%30.3%0.4%36.1%5.1%0.6%-649.0K2.3M-53.7K1.659.7920325615,545
2009-10-14$166.60$156.0029.4%9.6%29.4%0.0%34.3%5.7%0.9%-564.8K906.6K-51.2K1.0211.0216165755,564
2009-10-15$171.36$156.0033.4%9.6%30.7%4.8%35.4%4.5%1.1%-337.6K-1.9M-45.5K0.4911.8323115695,559
2009-10-16$171.00$156.0032.2%9.2%30.2%3.3%32.9%4.5%1.7%-197.0K-2.0M-45.4K0.0114.644405605,570
2009-10-19$173.04$156.0031.8%9.1%29.9%2.9%33.3%4.2%1.5%-231.7K-1.2M-41.1K2.3315.703417934342,973
2009-10-20$173.48$168.0031.7%9.1%29.4%2.8%31.3%4.0%1.9%-238.2K-1.6M-54.1K10.7917.99444727743,449
2009-10-21$172.16$168.0032.0%9.2%28.4%3.1%34.8%5.1%1.6%-281.0K-771.5K-58.5K2.6223.5417438163,786
2009-10-22$171.12$168.0031.0%8.9%26.9%1.9%34.2%5.9%1.6%-306.2K163.5K-61.6K11.1316.68101068293,821
2009-10-23$167.28$168.0032.0%9.2%28.7%3.3%31.9%5.0%1.8%-424.2K2.5M-60.5K53.3624.6541878313,616
2009-10-26$164.36$168.0034.0%9.7%29.3%5.9%32.7%4.9%1.1%-517.3K4.7M-61.2K0.5628.8128168413,627
2009-10-27$164.72$168.0035.8%10.3%29.3%8.3%35.3%4.1%1.5%-716.6K6.9M-78.4K0.1939.24134251,0695,353
2009-10-28$156.08$168.0040.1%11.5%35.7%14.6%37.4%4.4%-0.6%-991.1K15.1M-84.5K6.9623.444613,2081,1075,378
2009-10-29$162.04$168.0036.4%10.4%34.5%9.5%36.9%6.2%1.1%-1.7M22.9M-125.8K1.4322.1019278876,337
2009-10-30$153.80$168.0045.9%13.1%39.9%22.5%43.2%5.1%-0.5%-1.7M33.7M-130.2K7.3324.08684988076,349