XOP Options History — November 2009

In November 2009, XOP traded between $152.24 and $162.28. ATM implied volatility averaged 36.7%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.3% (HV 20d: 36.5%). Max pain ranged from $156.00 to $168.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 5.06.

Notable Days

2009-11-05: Highest Volume — 358 contracts
2009-11-27: Largest IV spike — 16.9% change
2009-11-02: Highest IV Rank — 19.3%
2009-11-02: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$157.31	$152.24	$162.28	$154.00	$153.64
Max Pain	$158.20	$156.00	$168.00	$168.00	$156.00
ATM IV	36.7%	29.2%	43.5%	43.5%	35.7%
Expected Move	10.6%	8.4%	12.5%	12.5%	10.2%
HV 20d	36.5%	26.5%	38.2%	38.2%	26.5%
HV 60d	32.0%	31.4%	32.9%	32.6%	32.1%
IV Rank	10.1%	0.0%	19.3%	19.3%	9.3%
IV Percentile	22.7%	0.0%	41.7%	41.7%	19.8%
Term Structure	1.1%	0.2%	2.6%	1.7%	0.7%
VWIV	37.6%	30.9%	42.4%	40.7%	38.1%
Skew 25d	5.8%	3.5%	7.3%	3.5%	6.6%
Skew 10d	12.7%	7.4%	17.2%	8.3%	7.4%
Call IV 25d	34.7%	27.5%	43.2%	43.2%	32.2%
Put IV 25d	40.5%	31.6%	47.4%	46.7%	38.8%
Bid-Ask Spread %	42.50	28.97	72.13	39.06	47.48
Gamma HHI	0.46	0.40	0.64	0.41	0.57
Net GEX	-2.4M	-3.1M	-1.8M	-1.8M	-2.5M
Net DEX	27.1M	15.5M	38.7M	34.2M	25.9M
Net VEX	-102.7K	-127.2K	-77.3K	-127.2K	-77.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.06	0.16	12.77	0.36	9.16
Total Volume	124.05	6	358	21	140
Total OI	7,407.7	6,703	7,929	7,304	6,866

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-11-02	$154.00	$168.00	43.5%	12.5%	38.2%	19.3%	40.7%	3.5%	1.7%	-1.8M	34.2M	-127.2K	0.36	39.06	15	6	875	6,429
2009-11-03	$157.96	$168.00	43.1%	12.4%	38.2%	18.8%	42.4%	6.9%	0.5%	-1.8M	28.7M	-126.4K	5.33	28.97	42	221	875	6,405
2009-11-04	$157.76	$168.00	42.2%	12.1%	38.2%	17.5%	41.9%	7.3%	0.2%	-1.8M	28.3M	-124.4K	9.94	33.24	4	40	913	6,439
2009-11-05	$160.08	$164.00	38.9%	11.1%	36.6%	13.0%	40.2%	5.7%	0.6%	-1.9M	24.8M	-120.8K	12.77	32.82	26	332	922	6,404
2009-11-06	$158.24	$156.00	36.8%	11.1%	36.8%	10.1%	40.7%	6.5%	0.9%	-2.1M	28.4M	-121.2K	9.75	51.99	1	10	945	6,626
2009-11-09	$162.28	$156.00	36.0%	10.7%	37.6%	8.9%	40.0%	7.0%	1.2%	-2.0M	21.5M	-111.9K	0.70	48.52	44	31	945	6,635
2009-11-10	$161.88	$156.00	37.1%	11.0%	37.6%	10.5%	39.5%	6.4%	0.9%	-2.1M	21.9M	-109.9K	8.30	32.08	8	62	978	6,659
2009-11-11	$161.12	$156.00	35.1%	10.8%	37.3%	7.8%	37.8%	5.6%	0.8%	-2.3M	23.4M	-108.3K	0.26	33.89	13	4	982	6,702
2009-11-12	$157.00	$156.00	38.4%	11.0%	36.5%	12.3%	37.0%	6.1%	0.4%	-2.5M	30.4M	-110.1K	1.37	47.53	8	10	986	6,704
2009-11-13	$157.52	$156.00	37.5%	10.8%	36.6%	11.1%	34.1%	6.5%	1.0%	-2.6M	29.2M	-106.6K	9.12	49.91	34	306	990	6,701
2009-11-16	$160.84	$156.00	37.1%	10.6%	37.3%	10.5%	34.9%	6.4%	0.6%	-2.7M	22.6M	-97.5K	1.80	46.12	15	28	1,019	6,886
2009-11-17	$159.04	$156.00	36.8%	10.5%	37.3%	10.0%	36.5%	5.8%	0.9%	-2.8M	25.8M	-96.7K	0.37	31.46	13	5	1,031	6,686
2009-11-18	$157.44	$156.00	36.9%	10.6%	37.3%	10.2%	35.4%	5.5%	1.5%	-3.1M	29.6M	-94.6K	0.16	72.13	5	1	1,042	6,702
2009-11-19	$153.44	$156.00	37.9%	10.9%	38.1%	11.7%	37.9%	6.0%	0.9%	-3.0M	38.7M	-93.0K	0.24	51.11	242	58	1,042	6,702
2009-11-20	$152.24	$156.00	35.0%	10.0%	37.5%	7.7%	35.5%	5.5%	2.4%	-3.1M	38.5M	-92.9K	7.59	41.24	17	129	1,274	6,655
2009-11-23	$153.92	$156.00	32.9%	9.4%	37.6%	4.9%	35.4%	5.5%	1.2%	-2.4M	25.8M	-86.4K	3.46	34.53	39	134	750	5,953
2009-11-24	$154.88	$156.00	30.3%	8.7%	37.7%	1.2%	37.5%	4.3%	2.6%	-2.5M	23.6M	-84.7K	12.33	38.99	14	176	779	5,977
2009-11-25	$158.72	$156.00	29.2%	8.4%	33.8%	0.0%	30.9%	4.1%	2.3%	-2.4M	15.5M	-79.4K	0.76	44.05	88	67	791	6,028
2009-11-27	$154.28	$156.00	34.1%	9.8%	32.4%	7.0%	36.0%	5.4%	0.6%	-2.4M	25.1M	-84.4K	7.41	44.96	11	82	806	6,050
2009-11-30	$153.64	$156.00	35.7%	10.2%	26.5%	9.3%	38.1%	6.6%	0.7%	-2.5M	25.9M	-77.3K	9.16	47.48	14	126	807	6,059