XOP Options History — January 2010

In January 2010, XOP traded between $157.84 and $176.28. ATM implied volatility averaged 28.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.0% (HV 20d: 24.1%). Max pain ranged from $168.00 to $168.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 165.15.

Notable Days

2010-01-27: Highest Volume — 4,527 contracts
2010-01-14: Largest IV spike — 16.0% change
2010-01-29: Highest IV Rank — 20.4%
2010-01-29: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$170.01	$157.84	$176.28	$172.56	$157.84
Max Pain	$168.00	$168.00	$168.00	$168.00	$168.00
ATM IV	28.2%	23.5%	34.0%	25.2%	34.0%
Expected Move	8.5%	7.4%	9.8%	8.8%	9.8%
HV 20d	24.1%	22.5%	26.2%	25.2%	26.2%
HV 60d	28.9%	24.4%	30.4%	30.4%	25.0%
IV Rank	8.8%	0.0%	20.4%	1.9%	20.4%
IV Percentile	7.9%	0.0%	25.8%	1.6%	25.8%
Term Structure	1.9%	0.5%	3.6%	0.5%	1.2%
VWIV	30.8%	27.1%	34.1%	32.0%	32.3%
Skew 25d	4.7%	2.5%	6.3%	4.2%	3.5%
Skew 10d	9.7%	4.0%	18.2%	8.6%	4.0%
Call IV 25d	27.3%	23.6%	30.8%	23.6%	30.8%
Put IV 25d	32.0%	27.9%	36.1%	27.9%	34.3%
Bid-Ask Spread %	20.02	10.51	28.87	10.51	28.87
Gamma HHI	0.57	0.37	0.83	0.55	0.54
Net GEX	-4.4M	-8.5M	-1.7M	-2.5M	-8.5M
Net DEX	39.4M	6.5M	119.0M	11.1M	119.0M
Net VEX	-170.5K	-326.5K	-80.0K	-87.7K	-326.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	165.15	0.42	861.38	23.17	579.00
Total Volume	1,045.526	24	4,527	658	1,305
Total OI	13,418.789	9,920	17,758	11,957	16,596

Daily Data (19 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
2010-01-04	$172.56	$168.00	25.2%	8.8%	25.2%	1.9%	32.0%	4.2%	0.5%	-2.5M	11.1M	-87.7K	23.17	10.51	27	631	459	11,498
2010-01-05	$174.00	$168.00	27.9%	8.6%	25.1%	7.2%	31.7%	2.5%	2.0%	-2.4M	12.1M	-93.0K	2.71	10.97	87	234	463	12,123
2010-01-06	$175.96	$168.00	26.2%	8.3%	25.1%	3.8%	28.9%	2.8%	1.6%	-2.8M	9.9M	-90.7K	4.14	13.14	12	51	539	12,292
2010-01-07	$174.92	$168.00	26.1%	8.5%	23.8%	3.6%	27.1%	5.1%	1.2%	-2.1M	9.4M	-89.6K	0.42	23.95	28	12	547	12,318
2010-01-08	$176.28	$168.00	23.5%	8.2%	23.4%	0.0%	29.4%	5.5%	1.2%	-1.7M	6.5M	-80.0K	2.00	23.06	8	16	567	12,324
2010-01-11	$174.32	$168.00	26.9%	8.2%	23.8%	6.6%	32.5%	5.0%	1.4%	-1.9M	8.3M	-82.4K	168.80	19.64	8	1,266	566	12,329
2010-01-12	$170.20	$168.00	27.0%	8.2%	26.0%	6.8%	33.1%	5.0%	1.6%	-3.4M	19.7M	-113.6K	11.15	20.59	30	335	568	13,587
2010-01-13	$171.92	$168.00	24.1%	8.2%	22.5%	1.1%	29.4%	4.6%	2.0%	-2.8M	15.7M	-102.1K	191.19	23.54	18	3,346	547	13,661
2010-01-14	$173.52	$168.00	27.9%	8.0%	22.5%	8.5%	28.4%	4.4%	2.5%	-3.9M	28.6M	-172.0K	1.13	26.61	128	145	550	17,030
2010-01-15	$172.00	$168.00	26.9%	7.7%	22.9%	6.6%	30.9%	5.3%	2.6%	-4.4M	32.4M	-182.2K	10.70	18.99	21	219	608	17,150
2010-01-19	$173.28	$168.00	25.9%	7.4%	22.7%	4.6%	27.6%	4.5%	3.6%	-4.0M	28.8M	-155.8K	27.97	16.05	8	224	431	9,489
2010-01-20	$171.64	$168.00	26.5%	7.6%	23.0%	5.8%	27.2%	5.5%	2.5%	-4.3M	33.4M	-166.3K	6.07	17.40	64	387	434	9,650
2010-01-21	$169.20	$168.00	29.2%	8.4%	23.3%	11.0%	32.0%	4.4%	2.1%	-4.8M	41.8M	-185.0K	57.14	24.64	24	1,371	412	10,036
2010-01-22	$165.64	$168.00	32.8%	9.4%	24.6%	17.9%	32.1%	6.3%	2.7%	-5.6M	61.7M	-233.2K	0.63	17.52	236	150	435	11,400
2010-01-25	$167.12	$168.00	30.4%	8.7%	24.3%	13.4%	34.1%	6.3%	2.1%	-5.6M	54.5M	-226.9K	210.38	27.22	6	1,262	654	11,513
2010-01-26	$164.68	$168.00	32.0%	9.2%	24.7%	16.4%	31.1%	6.3%	1.8%	-6.8M	69.7M	-249.0K	591.62	25.30	3	1,923	656	12,767
2010-01-27	$163.40	$168.00	31.0%	8.9%	24.8%	14.4%	32.4%	5.1%	2.1%	-8.2M	88.7M	-295.0K	861.38	16.92	5	4,522	658	14,656
2010-01-28	$161.76	$168.00	32.3%	9.3%	24.9%	17.0%	32.4%	3.5%	2.1%	-8.1M	98.1M	-307.9K	388.33	15.48	5	1,748	656	14,788
2010-01-29	$157.84	$168.00	34.0%	9.8%	26.2%	20.4%	32.3%	3.5%	1.2%	-8.5M	119.0M	-326.5K	579.00	28.87	2	1,303	653	15,943