XOP Options History — July 2010

In July 2010, XOP traded between $152.80 and $166.12. ATM implied volatility averaged 33.0%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.2% (HV 20d: 30.8%). Max pain ranged from $160.00 to $172.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 6.61.

Notable Days

  • 2010-07-01: Highest Volume — 5,952 contracts
  • 2010-07-12: Largest IV spike — 17.9% change
  • 2010-07-01: Highest IV Rank — 68.6%
  • 2010-07-01: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.39$152.80$166.12$154.08$162.32
Max Pain$162.48$160.00$172.00$172.00$160.00
ATM IV33.0%27.8%42.1%42.1%27.8%
Expected Move9.6%8.0%12.1%12.1%8.0%
HV 20d30.8%26.6%35.5%35.2%26.6%
HV 60d38.7%37.8%39.1%38.0%38.2%
IV Rank38.0%20.5%68.6%68.6%20.5%
IV Percentile47.5%23.0%91.7%91.7%23.0%
Term Structure1.7%0.6%3.5%1.4%3.5%
VWIV35.1%27.9%46.2%43.3%34.8%
Skew 25d8.9%7.0%11.3%11.0%7.4%
Skew 10d19.7%13.2%26.0%23.8%16.0%
Call IV 25d30.0%25.6%38.9%38.9%25.6%
Put IV 25d38.8%33.0%49.9%49.9%33.0%
Bid-Ask Spread %26.4915.2440.3630.8833.03
Gamma HHI0.280.220.410.320.25
Net GEX-5.0M-9.0M-1.7M-7.1M-2.4M
Net DEX78.4M14.0M162.1M149.1M23.4M
Net VEX-346.5K-411.5K-293.5K-391.3K-411.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.610.0142.068.0513.10
Total Volume876.238175,9525,95236
Total OI19,79612,96025,78923,98817,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$154.08$172.0042.1%12.1%35.2%68.6%43.3%11.0%1.4%-7.1M149.1M-391.3K8.0530.886585,2945,42518,563
2010-07-02$152.80$172.0040.5%11.6%31.9%63.1%34.3%10.0%2.0%-7.9M162.1M-407.3K0.5540.36177985,74619,697
2010-07-06$152.84$164.0041.1%11.7%31.9%65.2%39.2%11.3%0.8%-7.3M155.9M-354.6K6.2924.14191205,76418,250
2010-07-07$159.08$164.0034.0%10.1%35.0%41.2%33.3%10.2%1.8%-8.1M121.1M-370.9K9.2822.53433955,75518,119
2010-07-08$161.72$164.0033.1%10.2%35.5%38.3%46.2%9.8%1.0%-8.4M102.5M-372.3K18.4621.56376745,79018,492
2010-07-09$161.88$160.0030.8%10.0%30.4%30.7%32.8%9.5%1.3%-8.5M106.5M-381.3K1.7626.466115,79619,012
2010-07-12$160.92$160.0036.4%10.2%30.2%49.3%35.0%9.2%1.4%-9.0M111.7M-356.0K3.3133.884135,80219,023
2010-07-13$163.32$164.0031.8%9.8%30.8%33.8%39.2%9.1%0.6%-8.0M92.9M-342.1K5.9636.44945615,80319,030
2010-07-14$162.68$164.0029.8%9.6%28.7%27.1%31.9%9.0%1.1%-7.9M100.3M-335.9K42.0632.55331,3995,83419,298
2010-07-15$162.68$164.0032.4%9.3%28.6%36.0%33.8%8.9%2.2%-6.9M96.1M-323.1K7.6631.79886705,86719,248
2010-07-16$157.12$164.0035.6%10.2%30.6%46.7%39.1%9.4%2.3%-4.5M142.9M-303.0K4.9731.87673315,87919,910
2010-07-19$156.96$160.0034.5%9.9%30.5%43.1%38.2%9.1%1.0%-2.5M51.1M-293.5K1.8818.64711343,5279,433
2010-07-20$161.08$160.0032.3%9.3%32.4%35.7%32.7%9.2%1.8%-2.4M40.1M-303.4K2.9623.4533983,5879,506
2010-07-21$159.20$160.0033.3%9.6%30.1%39.1%32.8%8.4%0.9%-2.5M45.9M-297.4K0.1621.551,1691913,6119,591
2010-07-22$162.36$160.0030.3%8.7%31.1%29.0%37.2%8.0%1.9%-2.2M33.0M-314.7K9.3721.85262444,0459,543
2010-07-23$163.32$160.0029.8%8.5%30.5%27.1%30.1%7.8%2.1%-2.2M29.8M-320.1K0.0124.451,51984,2129,601
2010-07-26$166.12$160.0028.8%8.3%30.7%23.9%31.9%7.5%1.4%-1.7M14.0M-342.1K1.0619.1113144,9729,607
2010-07-27$163.24$160.0029.2%8.4%30.9%25.1%30.9%7.0%1.9%-2.0M24.2M-337.5K0.0620.731,631904,9689,608
2010-07-28$161.48$160.0030.9%8.9%27.0%30.9%27.9%7.6%2.2%-1.7M22.8M-369.7K0.8015.241296,0419,668
2010-07-29$162.96$160.0028.5%8.2%27.0%22.7%31.7%7.1%2.3%-2.0M22.0M-349.8K1.0025.851,1531,1585,4099,581
2010-07-30$162.32$160.0027.8%8.0%26.6%20.5%34.8%7.4%3.5%-2.4M23.4M-411.5K13.1033.033336,44810,655