XOP Options History — June 2010

In June 2010, XOP traded between $155.96 and $176.92. ATM implied volatility averaged 39.0%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 6.8% (HV 20d: 45.8%). Max pain ranged from $164.00 to $180.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 10.17.

Notable Days

  • 2010-06-02: Highest Volume — 5,132 contracts
  • 2010-06-04: Largest IV spike — 22.4% change
  • 2010-06-07: Highest IV Rank — 96.6%
  • 2010-06-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.34$155.96$176.92$157.72$155.96
Max Pain$171.64$164.00$180.00$168.00$172.00
ATM IV39.0%29.8%50.3%46.2%42.4%
Expected Move11.0%8.5%13.2%13.2%12.2%
HV 20d45.8%36.7%51.1%45.2%36.7%
HV 60d36.8%32.8%37.9%32.8%37.9%
IV Rank58.1%27.0%96.6%82.5%69.8%
IV Percentile75.2%29.0%99.6%99.2%93.3%
Term Structure0.1%-3.6%2.3%-3.6%1.2%
VWIV41.1%32.4%48.8%46.4%41.8%
Skew 25d8.6%6.2%11.2%11.0%10.3%
Skew 10d19.6%13.9%35.5%20.8%25.2%
Call IV 25d35.8%28.3%41.1%41.1%38.1%
Put IV 25d44.4%35.1%52.1%52.1%48.4%
Bid-Ask Spread %26.5112.1340.1536.6725.91
Gamma HHI0.220.170.310.170.31
Net GEX-4.7M-7.6M34.7K-6.0M-7.6M
Net DEX48.2M-77.8M142.3M127.3M142.3M
Net VEX-485.3K-591.8K-416.2K-548.9K-416.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.170.0163.241.766.18
Total Volume1,202965,13296349
Total OI31,076.520,74840,35632,13924,436

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$157.72$168.0046.2%13.2%45.2%82.5%46.4%11.0%-3.6%-6.0M127.3M-548.9K1.7636.6735618,52623,613
2010-06-02$166.68$168.0037.9%10.9%49.7%54.4%38.0%8.8%-1.9%-4.4M53.4M-542.3K0.0122.845,062708,55723,640
2010-06-03$171.00$168.0037.5%10.8%50.2%53.3%41.3%7.4%-2.3%34.7K-32.0M-591.8K1.8921.9410620013,46223,672
2010-06-04$163.48$168.0045.9%12.3%51.1%81.7%46.0%10.8%-1.3%-5.1M82.7M-541.7K17.0317.081732,9508,54923,825
2010-06-07$161.76$168.0050.3%13.0%49.7%96.6%47.0%11.2%-2.1%-6.1M111.6M-564.0K0.6812.83112768,68525,930
2010-06-08$163.56$164.0044.8%12.2%46.2%77.8%43.5%9.6%-0.4%-5.6M89.8M-530.0K3.8412.131274868,67425,616
2010-06-09$162.44$164.0047.2%12.5%46.2%85.9%44.4%10.9%-1.5%-6.0M101.5M-533.0K0.2415.24317758,76725,857
2010-06-10$170.60$164.0037.7%10.8%48.4%54.0%44.8%6.9%0.1%-3.8M13.2M-503.9K0.3618.904601649,22025,831
2010-06-11$172.00$168.0036.9%10.6%48.5%51.0%40.9%6.2%0.1%-3.1M-1.6M-473.0K2.1621.414138929,08825,978
2010-06-14$171.76$168.0039.0%11.2%47.9%58.4%40.5%6.9%-1.2%-2.3M-5.5M-457.1K1.9123.161703239,37826,673
2010-06-15$176.60$168.0035.7%10.2%48.1%47.2%38.0%7.2%0.8%-2.7M-57.0M-418.1K0.9724.421,8811,8249,52327,038
2010-06-16$176.92$168.0035.5%10.2%48.0%46.5%48.8%6.8%0.7%-2.7M-77.8M-449.8K55.0933.511264711,19928,756
2010-06-17$175.52$168.0033.2%9.5%47.8%38.6%32.4%6.5%2.2%-4.0M-73.3M-441.4K14.2633.733853811,20129,155
2010-06-18$175.96$180.0029.8%8.5%42.6%27.0%33.9%6.8%2.3%-2.3M3.8M-421.6K27.0329.96297845,90529,673
2010-06-21$174.04$180.0031.4%9.0%42.7%32.4%33.5%7.9%1.9%-2.9M20.0M-428.7K63.2425.39422,6404,95815,790
2010-06-22$167.64$180.0036.2%10.4%44.3%48.8%36.2%8.5%0.9%-6.0M74.2M-489.5K0.6629.962281514,99718,398
2010-06-23$167.16$180.0034.6%9.9%44.3%43.4%37.9%9.2%1.4%-6.2M76.4M-487.4K2.9433.15431265,18118,503
2010-06-24$163.96$180.0038.4%11.0%45.0%56.0%42.4%9.1%0.3%-6.6M97.1M-481.3K0.2931.7494285,22318,492
2010-06-25$166.16$180.0036.1%10.3%41.3%48.4%39.6%8.9%2.1%-6.4M82.6M-480.8K1.0240.1579805,31218,509
2010-06-28$163.68$180.0037.5%10.7%41.7%53.1%42.6%9.4%1.6%-7.0M98.4M-454.9K8.0634.551751,4105,35818,574
2010-06-29$156.96$172.0043.2%12.4%42.1%72.3%44.2%9.2%0.2%-7.0M134.0M-420.6K14.2138.511962,7785,52518,436
2010-06-30$155.96$172.0042.4%12.2%36.7%69.8%41.8%10.3%1.2%-7.6M142.3M-416.2K6.1825.91493005,40819,028