XOP Options History — May 2010

In May 2010, XOP traded between $154.28 and $182.52. ATM implied volatility averaged 39.8%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.7% (HV 20d: 36.1%). Max pain ranged from $168.00 to $180.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 43.99.

Notable Days

  • 2010-05-26: Highest Volume — 21,871 contracts
  • 2010-05-20: Largest IV spike — 26.4% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.21$154.28$182.52$182.52$163.88
Max Pain$174.60$168.00$180.00$180.00$168.00
ATM IV39.8%29.3%51.4%29.3%38.0%
Expected Move11.2%8.4%14.7%8.4%10.9%
HV 20d36.1%23.0%44.7%23.0%44.7%
HV 60d28.0%22.9%32.2%22.9%32.1%
IV Rank62.3%24.3%100.0%24.3%54.8%
IV Percentile77.7%26.6%100.0%26.6%77.4%
Term Structure-1.6%-4.8%0.8%-0.5%-1.8%
VWIV40.0%34.0%52.6%34.6%38.3%
Skew 25d9.9%4.7%16.6%5.5%9.5%
Skew 10d21.2%6.6%38.5%11.4%19.7%
Call IV 25d35.3%28.0%45.2%28.0%33.7%
Put IV 25d45.1%33.5%61.8%33.5%43.2%
Bid-Ask Spread %28.7519.6950.1931.8922.15
Gamma HHI0.280.180.340.290.18
Net GEX-6.4M-9.5M-3.8M-4.3M-4.9M
Net DEX101.7M18.7M239.6M18.7M77.9M
Net VEX-432.3K-685.1K-355.4K-399.0K-605.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio43.990.42317.802.261.09
Total Volume3,287.52221,87122221
Total OI20,712.2515,43137,67215,46632,241

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$182.52$180.0029.3%8.4%23.0%24.3%34.6%5.5%-0.5%-4.3M18.7M-399.0K2.2631.897153,56511,901
2010-05-04$177.72$180.0036.1%10.3%25.1%46.1%35.4%6.7%-2.4%-4.5M39.0M-423.4K3.8620.88793053,56411,912
2010-05-05$173.84$180.0036.1%10.3%26.1%46.1%36.2%7.0%-1.3%-4.7M52.5M-423.4K13.7427.28547453,57411,857
2010-05-06$167.76$180.0041.0%11.7%28.9%61.8%41.4%4.7%-4.8%-4.6M79.9M-411.4K3.2545.623161,0253,61712,120
2010-05-07$162.08$176.0043.9%11.8%30.1%71.2%41.9%7.8%-2.3%-3.8M94.5M-387.2K30.2550.191855,5883,81112,046
2010-05-10$170.52$176.0039.7%10.2%36.0%57.6%42.1%9.0%-0.0%-7.7M83.3M-451.2K35.0240.33812,8363,78817,297
2010-05-11$169.36$176.0040.7%10.5%36.0%61.0%37.2%8.9%-0.4%-8.3M92.4M-449.3K275.4332.1292,4103,80517,821
2010-05-12$174.56$176.0034.0%9.4%37.7%39.3%35.9%8.6%0.5%-6.0M53.3M-406.7K2.2026.512074563,80713,842
2010-05-13$173.72$176.0034.7%9.9%37.7%41.6%34.0%8.8%-0.2%-6.0M53.8M-405.4K1.3619.6940543,82414,027
2010-05-14$170.00$176.0038.8%11.1%37.7%67.1%37.5%9.7%-1.2%-6.0M73.5M-400.8K5.0327.161165833,84714,079
2010-05-17$166.52$176.0038.2%11.0%38.2%66.7%38.8%11.1%-1.3%-6.5M96.5M-381.2K11.8523.46657653,92514,312
2010-05-18$165.68$172.0041.5%11.9%37.3%80.8%42.8%11.3%-2.3%-6.9M102.6M-377.6K3.3424.771545133,93014,759
2010-05-19$163.44$172.0040.6%11.7%37.5%77.4%39.8%11.8%0.8%-7.1M111.7M-355.4K129.5635.398611,1434,04014,529
2010-05-20$154.80$172.0051.4%14.7%41.2%100.0%52.6%16.6%-4.8%-8.7M239.6M-453.6K23.9033.531212,8984,07723,407
2010-05-21$157.92$172.0048.9%14.0%40.3%91.6%48.7%15.6%-4.0%-8.9M182.0M-420.7K12.3223.501541,9014,13419,660
2010-05-24$154.28$172.0045.2%12.9%40.6%79.0%45.7%13.3%-2.1%-5.5M146.0M-386.4K3.8622.38772983,26716,175
2010-05-25$154.92$172.0042.6%12.2%39.7%70.3%40.9%13.2%-0.7%-5.7M152.7M-362.9K317.8025.063210,0903,32316,132
2010-05-26$156.16$172.0040.4%11.6%39.8%62.9%41.3%10.2%-1.4%-9.5M182.7M-460.0K3.3122.155,08016,7913,32621,232
2010-05-27$164.48$168.0035.2%10.1%44.7%45.4%34.7%7.8%-1.1%-8.3M101.4M-685.1K0.4220.94176748,37129,301
2010-05-28$163.88$168.0038.0%10.9%44.7%54.8%38.3%9.5%-1.8%-4.9M77.9M-605.6K1.0922.151061158,47923,762