XOP Options History — December 2009

In December 2009, XOP traded between $149.52 and $168.84. ATM implied volatility averaged 29.2%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.2% (HV 20d: 25.1%). Max pain ranged from $152.00 to $160.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 111.67.

Notable Days

  • 2009-12-16: Highest Volume — 7,919 contracts
  • 2009-12-28: Largest IV spike — 10.4% change
  • 2009-12-10: Highest IV Rank — 7.1%
  • 2009-12-07: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$159.60$149.52$168.84$156.44$164.84
Max Pain$157.27$152.00$160.00$156.00$160.00
ATM IV29.2%24.2%33.3%32.8%25.3%
Expected Move8.5%6.9%10.0%9.4%7.3%
HV 20d25.1%21.4%28.5%27.3%21.5%
HV 60d31.0%29.0%32.0%32.0%29.0%
IV Rank2.7%0.0%7.1%5.2%2.2%
IV Percentile2.5%0.0%9.9%5.6%1.6%
Term Structure3.7%1.8%5.1%1.8%4.9%
VWIV31.1%23.5%38.0%35.1%25.5%
Skew 25d4.9%3.4%6.4%4.7%3.9%
Skew 10d12.1%1.6%22.3%19.9%6.3%
Call IV 25d27.5%23.0%32.2%30.2%23.8%
Put IV 25d32.4%26.7%38.6%34.9%27.7%
Bid-Ask Spread %36.6211.3077.5049.1738.58
Gamma HHI0.460.310.610.610.43
Net GEX-4.7M-7.9M-2.7M-2.7M-4.7M
Net DEX33.0M17.9M63.5M20.0M28.0M
Net VEX-114.7K-153.9K-72.5K-75.3K-127.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio111.670.061628.382.2815.57
Total Volume1,260.364107,91938722
Total OI10,723.0916,97514,7086,98811,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$156.44$156.0032.8%9.4%27.3%5.2%35.1%4.7%1.8%-2.7M20.0M-75.3K2.2849.1712268186,170
2009-12-02$155.00$156.0031.5%9.0%25.9%3.3%32.6%5.9%2.5%-2.8M23.1M-72.5K11.2877.50151648206,155
2009-12-03$152.72$156.0031.3%9.0%26.4%3.1%30.0%4.9%3.0%-3.0M29.5M-73.3K122.4665.4091,1338196,318
2009-12-04$152.72$160.0031.6%9.9%25.7%3.4%34.5%5.1%2.7%-3.6M37.6M-95.6K47.4711.30146538167,444
2009-12-07$152.84$160.0032.9%10.0%25.5%5.5%34.6%4.4%3.2%-4.1M41.5M-101.1K1.3618.7641568228,096
2009-12-08$150.16$152.0031.9%9.8%23.9%4.2%34.6%6.4%2.8%-3.8M50.2M-93.4K0.3533.6545168618,142
2009-12-09$149.52$152.0032.1%9.9%23.9%4.7%36.2%5.9%3.2%-3.8M53.6M-86.4K1628.3824.2223,2578408,128
2009-12-10$152.84$152.0033.3%9.5%25.6%7.1%35.1%5.5%3.4%-6.0M56.3M-135.6K142.9626.01172,39584111,376
2009-12-11$152.48$152.0032.3%9.2%24.1%5.3%36.3%4.9%3.8%-6.6M63.5M-136.7K16.4324.251016485611,255
2009-12-14$158.88$152.0030.9%8.9%28.5%3.1%33.0%4.5%3.6%-7.2M30.8M-118.4K24.6528.831433,52586111,385
2009-12-15$159.80$156.0030.9%8.9%27.5%3.0%31.2%4.9%3.5%-7.9M29.4M-125.2K0.1030.3467789112,449
2009-12-16$161.32$156.0029.4%8.4%27.4%0.4%31.4%5.2%4.2%-6.4M17.9M-105.7K215.9537.92377,88291512,450
2009-12-17$160.56$160.0030.3%8.7%27.2%1.9%38.0%4.8%3.6%-7.1M35.4M-153.9K28.1933.821440293513,773
2009-12-18$162.32$160.0029.4%8.4%25.5%0.4%30.9%5.1%3.7%-4.5M33.7M-138.3K84.9531.741191353613,870
2009-12-21$164.80$160.0026.8%7.7%25.5%0.0%28.2%4.3%3.9%-5.1M30.0M-130.8K78.1033.23665,13535610,382
2009-12-22$165.32$160.0026.3%7.5%25.4%0.0%24.4%4.6%4.1%-4.2M27.3M-136.9K0.4339.9612536810,181
2009-12-23$167.76$160.0024.4%7.0%25.7%0.0%23.8%4.8%4.9%-3.7M23.1M-127.9K0.0647.0413137810,181
2009-12-24$168.84$160.0024.2%6.9%24.5%0.0%30.5%3.4%5.0%-3.4M19.8M-116.7K33.4138.272066038210,182
2009-12-28$168.36$160.0026.7%7.7%21.7%4.9%28.2%5.4%3.2%-3.8M22.4M-118.9K1.2632.315638510,801
2009-12-29$167.28$160.0024.8%7.1%21.8%1.1%26.5%4.8%4.9%-4.1M24.7M-124.3K0.7046.96251839010,803
2009-12-30$166.48$160.0024.3%7.0%21.4%0.1%23.5%5.1%5.1%-4.3M27.2M-128.3K0.3936.457341410,820
2009-12-31$164.84$160.0025.3%7.3%21.5%2.2%25.5%3.9%4.9%-4.7M28.0M-127.3K15.5738.584467842110,822