XOP Options History — March 2010

In March 2010, XOP traded between $162.68 and $174.76. ATM implied volatility averaged 26.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.3% (HV 20d: 22.1%). Max pain ranged from $168.00 to $176.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 34.37.

Notable Days

  • 2010-03-22: Highest Volume — 4,389 contracts
  • 2010-03-05: Largest IV drop — 9.1% change
  • 2010-03-15: Highest IV Rank — 12.6%
  • 2010-03-15: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$169.59$162.68$174.76$166.52$168.52
Max Pain$171.83$168.00$176.00$168.00$176.00
ATM IV26.4%23.9%28.3%27.8%24.8%
Expected Move7.7%7.1%8.1%8.0%7.1%
HV 20d22.1%18.1%31.7%31.7%22.9%
HV 60d26.0%25.0%27.0%26.6%25.2%
IV Rank7.2%0.9%12.6%8.4%3.6%
IV Percentile6.8%0.4%13.5%7.9%2.4%
Term Structure1.9%1.1%2.9%1.1%2.5%
VWIV27.6%19.5%30.7%27.7%23.4%
Skew 25d4.9%4.0%5.8%4.6%4.7%
Skew 10d10.1%-0.9%17.4%16.3%2.0%
Call IV 25d24.9%22.5%26.3%26.0%22.5%
Put IV 25d29.8%27.2%31.6%30.6%27.2%
Bid-Ask Spread %21.1716.6929.5724.0417.14
Gamma HHI0.350.270.490.340.27
Net GEX-11.2M-17.2M-8.4M-11.0M-10.5M
Net DEX80.0M34.1M170.7M79.0M82.9M
Net VEX-273.2K-358.5K-218.2K-269.5K-263.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.370.90216.965.102.83
Total Volume1,228.957334,3891,5391,424
Total OI23,029.82614,62331,83221,15014,623

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$166.52$168.0027.8%8.0%31.7%8.4%27.7%4.6%1.1%-11.0M79.0M-269.5K5.1024.042521,2871,34719,803
2010-03-02$167.96$168.0027.5%7.9%28.2%7.7%30.7%4.1%1.7%-10.9M72.7M-281.2K76.3329.57128781,50421,080
2010-03-03$169.28$168.0027.4%7.8%27.5%7.9%28.1%4.7%1.4%-10.4M64.2M-268.4K10.0920.261251,2611,51421,259
2010-03-04$167.88$168.0026.3%7.5%26.9%5.7%29.1%5.7%1.7%-11.8M75.2M-283.1K20.1822.47621,2561,57322,069
2010-03-05$171.16$168.0023.9%7.8%21.4%0.9%28.0%5.4%2.8%-10.7M58.9M-277.0K19.9628.87651,2871,63523,327
2010-03-08$170.36$168.0025.6%7.9%21.6%4.4%30.2%5.8%1.9%-12.0M71.0M-296.5K0.9022.7427241,69924,572
2010-03-09$171.32$168.0026.3%7.9%21.2%5.8%28.8%5.3%1.9%-11.1M59.8M-269.3K167.2022.5481,2541,72424,591
2010-03-10$174.08$168.0025.4%7.9%20.9%4.3%29.0%4.4%1.5%-9.1M41.9M-253.0K10.4522.63252641,72425,845
2010-03-11$174.36$168.0027.4%7.9%20.7%9.3%28.5%5.5%2.1%-9.7M45.5M-256.1K1.7822.8712211,73826,099
2010-03-12$174.76$168.0027.0%7.7%20.1%9.2%30.5%5.7%2.5%-8.5M36.0M-229.3K74.4918.95129131,74526,119
2010-03-15$172.80$172.0028.3%8.1%20.8%12.6%29.2%5.4%1.1%-11.1M54.4M-249.5K216.9621.0261,3021,75126,930
2010-03-16$174.08$172.0027.2%7.8%18.2%9.7%29.6%5.3%2.3%-9.0M44.7M-240.9K4.1120.57251041,75428,220
2010-03-17$174.76$172.0026.3%7.5%18.1%7.4%30.1%5.3%1.9%-8.4M34.1M-218.2K1.4318.91721031,77328,048
2010-03-18$169.80$172.0028.2%8.1%21.1%12.5%26.1%5.4%1.5%-12.3M71.8M-246.7K47.4921.02482,2921,77628,113
2010-03-19$167.48$176.0026.6%7.6%21.6%8.2%28.8%4.9%2.6%-17.2M122.9M-297.3K7.8220.732602,0331,72030,112
2010-03-22$166.60$176.0026.8%7.7%20.2%8.6%27.3%4.7%1.8%-12.1M115.8M-298.5K77.3821.64564,33368815,284
2010-03-23$169.16$176.0026.3%7.5%18.5%7.4%26.6%4.9%1.8%-11.8M96.1M-282.2K8.2820.381651,36472814,674
2010-03-24$168.88$176.0027.2%7.8%18.4%9.7%27.2%4.3%1.4%-12.1M105.8M-328.6K17.1618.132344,01687715,902
2010-03-25$163.88$176.0026.5%7.6%21.6%7.9%19.5%4.5%1.7%-15.2M170.7M-358.5K1.1820.922683171,08218,660
2010-03-26$162.68$176.0025.4%7.3%21.7%5.1%27.2%4.2%2.9%-11.8M145.5M-284.5K2.4616.7532791,34315,169
2010-03-29$167.00$176.0025.1%7.2%23.1%4.3%24.7%4.9%2.3%-10.9M98.3M-263.9K1.8016.692183931,36013,466
2010-03-30$167.20$176.0025.1%7.2%22.9%4.4%25.2%4.0%1.7%-10.4M91.8M-267.9K15.0517.995721,56513,101
2010-03-31$168.52$176.0024.8%7.1%22.9%3.6%23.4%4.7%2.5%-10.5M82.9M-263.6K2.8317.143721,0521,56813,055