XOP Options History — February 2010

In February 2010, XOP traded between $156.88 and $169.16. ATM implied volatility averaged 31.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.0%). 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 18 of 19 days. Put/call ratio averaged 211.06.

Notable Days

2010-02-04: Highest Volume — 4,856 contracts
2010-02-04: Largest IV spike — 18.9% change
2010-02-08: Highest IV Rank — 24.8%
2010-02-08: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$163.49	$156.88	$169.16	$164.60	$164.12
Max Pain	$168.00	$168.00	$168.00	$168.00	$168.00
ATM IV	31.3%	27.2%	36.4%	30.3%	27.3%
Expected Move	9.1%	7.8%	10.7%	8.7%	7.8%
HV 20d	31.0%	26.3%	33.2%	30.4%	32.7%
HV 60d	27.1%	25.9%	27.8%	25.9%	26.7%
IV Rank	15.2%	7.1%	24.8%	13.3%	7.3%
IV Percentile	17.7%	7.1%	41.7%	10.7%	7.5%
Term Structure	1.9%	-0.7%	4.4%	3.2%	2.1%
VWIV	33.3%	28.2%	42.2%	31.2%	28.2%
Skew 25d	5.6%	3.7%	7.0%	5.0%	3.7%
Skew 10d	13.0%	4.9%	18.1%	18.1%	15.2%
Call IV 25d	29.4%	25.8%	34.5%	27.6%	26.2%
Put IV 25d	35.0%	29.8%	41.2%	32.6%	29.8%
Bid-Ask Spread %	34.65	21.83	52.56	36.53	28.71
Gamma HHI	0.49	0.36	0.62	0.58	0.36
Net GEX	-11.4M	-13.7M	-8.4M	-9.4M	-12.6M
Net DEX	109.3M	62.9M	164.4M	98.1M	99.6M
Net VEX	-334.5K	-421.4K	-264.7K	-340.8K	-295.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	211.06	0.08	1357.43	1357.43	4.56
Total Volume	1,289.684	3	4,856	4,755	2,528
Total OI	21,630.316	17,845	24,304	17,845	21,322

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
2010-02-01	$164.60	$168.00	30.3%	8.7%	30.4%	13.3%	31.2%	5.0%	3.2%	-9.4M	98.1M	-340.8K	1357.43	36.53	4	4,751	653	17,192
2010-02-02	$167.84	$168.00	27.2%	7.8%	26.3%	7.1%	29.8%	4.1%	4.4%	-10.0M	86.0M	-349.1K	0.70	32.48	7	5	657	19,167
2010-02-03	$165.08	$168.00	29.3%	8.4%	26.6%	11.1%	29.7%	4.5%	4.0%	-9.7M	93.6M	-341.8K	125.25	34.50	1	125	662	17,722
2010-02-04	$157.72	$168.00	34.8%	10.0%	30.1%	21.8%	34.4%	6.0%	1.8%	-9.8M	138.3M	-344.5K	307.32	28.01	16	4,840	663	17,823
2010-02-05	$157.92	$168.00	35.0%	10.4%	30.2%	22.2%	37.1%	7.0%	0.8%	-11.8M	164.4M	-421.4K	7.08	42.33	190	1,347	673	22,088
2010-02-08	$156.88	$168.00	36.4%	10.7%	29.8%	24.8%	42.2%	6.8%	0.3%	-11.8M	162.5M	-398.0K	0.42	31.88	26	11	855	21,952
2010-02-09	$160.12	$168.00	33.8%	10.2%	31.1%	19.8%	34.4%	6.8%	0.7%	-12.5M	141.3M	-396.6K	0.75	35.57	72	54	879	21,969
2010-02-10	$159.72	$168.00	32.1%	10.1%	30.2%	16.7%	34.6%	7.0%	1.6%	-13.1M	145.7M	-391.2K	0.25	33.83	2	1	950	22,023
2010-02-11	$162.60	$168.00	32.9%	9.4%	30.8%	18.1%	34.7%	6.0%	1.9%	-13.3M	123.0M	-373.2K	56.00	33.19	1	70	949	22,019
2010-02-12	$163.20	$168.00	32.8%	9.4%	30.6%	18.0%	34.0%	5.7%	1.4%	-13.7M	116.6M	-365.4K	1290.25	45.30	1	1,290	949	22,072
2010-02-16	$168.20	$168.00	32.2%	9.2%	32.7%	16.8%	31.7%	5.6%	2.1%	-11.7M	82.0M	-317.5K	2.29	38.61	21	48	950	23,354
2010-02-17	$167.44	$168.00	31.4%	9.0%	32.5%	15.4%	34.0%	5.8%	2.8%	-11.7M	83.3M	-308.9K	110.12	22.26	11	1,156	963	23,309
2010-02-18	$168.24	$168.00	30.1%	8.6%	32.5%	12.8%	34.4%	6.0%	3.3%	-10.0M	72.9M	-288.3K	0.08	35.39	13	1	968	23,110
2010-02-19	$169.16	$168.00	29.4%	8.4%	32.1%	11.4%	31.7%	5.5%	3.8%	-8.4M	62.9M	-266.9K	1.05	26.82	265	279	961	23,110
2010-02-22	$165.56	$168.00	30.5%	8.7%	32.2%	13.5%	31.4%	5.2%	1.3%	-10.4M	78.5M	-264.7K	221.26	52.56	12	2,545	838	18,725
2010-02-23	$161.48	$168.00	32.0%	9.2%	33.2%	16.4%	32.1%	5.7%	-0.7%	-12.0M	119.4M	-307.7K	61.64	33.88	23	1,387	847	19,809
2010-02-24	$163.08	$168.00	29.4%	8.4%	33.0%	11.5%	31.1%	5.4%	0.7%	-11.9M	104.4M	-289.6K	456.59	44.73	6	2,511	858	19,487
2010-02-25	$163.40	$168.00	28.8%	8.3%	32.9%	10.4%	36.8%	4.9%	0.8%	-12.1M	103.4M	-295.4K	7.11	21.83	109	775	861	19,587
2010-02-26	$164.12	$168.00	27.3%	7.8%	32.7%	7.3%	28.2%	3.7%	2.1%	-12.6M	99.6M	-295.1K	4.56	28.71	455	2,073	967	20,355