XOP Options History — August 2010

In August 2010, XOP traded between $152.12 and $171.40. ATM implied volatility averaged 31.1%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.3% (HV 20d: 25.8%). Max pain ranged from $160.00 to $172.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 9.67.

Notable Days

  • 2010-08-26: Highest Volume — 4,160 contracts
  • 2010-08-11: Largest IV spike — 11.7% change
  • 2010-08-24: Highest IV Rank — 43.0%
  • 2010-08-24: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.37$152.12$171.40$167.08$154.08
Max Pain$164.91$160.00$172.00$160.00$164.00
ATM IV31.1%25.8%34.5%27.5%32.7%
Expected Move9.1%7.4%9.9%7.9%9.4%
HV 20d25.8%24.1%29.4%27.8%24.1%
HV 60d33.9%28.3%38.0%38.0%28.3%
IV Rank31.4%13.6%43.0%19.4%36.9%
IV Percentile42.7%10.7%63.9%22.6%53.2%
Term Structure0.9%-0.2%2.7%2.2%0.9%
VWIV32.5%27.1%36.5%30.7%33.5%
Skew 25d7.3%4.6%10.2%7.3%5.3%
Skew 10d16.9%9.0%24.5%15.6%13.9%
Call IV 25d28.6%23.8%31.7%24.6%31.7%
Put IV 25d35.9%29.3%40.4%31.9%36.9%
Bid-Ask Spread %12.628.7320.818.7320.81
Gamma HHI0.230.200.360.260.20
Net GEX-4.8M-14.3M-1.2M-1.6M-6.9M
Net DEX57.3M-18.6M123.7M3.3M123.7M
Net VEX-483.1K-543.1K-405.1K-405.1K-486.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.670.3531.851.410.91
Total Volume1,192.091364,1601,607222
Total OI26,746.77317,10733,18917,10733,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$167.08$160.0027.5%7.9%27.8%19.4%30.7%7.3%2.2%-1.6M3.3M-405.1K1.418.736669416,44810,659
2010-08-03$167.64$160.0027.5%7.9%27.8%19.5%27.1%6.1%2.1%-1.7M849.8K-447.9K22.0411.31701,5437,07511,562
2010-08-04$171.00$160.0026.4%7.6%25.2%15.8%27.8%5.4%2.0%-1.2M-13.5M-447.0K30.4810.83431,3117,10712,833
2010-08-05$171.40$160.0025.8%7.4%24.7%13.6%0.0%5.5%2.7%-1.4M-18.6M-432.0K8.7710.35141257,12514,126
2010-08-06$169.20$172.0027.6%8.8%25.3%19.7%32.3%9.0%0.3%-1.6M-7.4M-461.7K15.1511.422133,2277,12414,248
2010-08-09$170.92$172.0026.3%8.5%25.3%15.3%34.2%8.2%0.4%-2.7M-2.7M-489.7K15.9210.38233627,26516,814
2010-08-10$169.20$172.0027.6%8.8%25.3%19.8%33.1%8.5%0.3%-3.3M8.3M-495.6K15.6510.071051,6447,28616,889
2010-08-11$162.72$172.0030.9%9.4%29.1%30.7%32.7%9.2%0.0%-4.6M51.6M-514.2K2.9810.409512,8407,34018,449
2010-08-12$160.80$164.0034.3%9.8%29.4%42.2%31.9%9.3%-0.1%-4.6M57.6M-543.1K0.4211.1574318,25620,355
2010-08-13$160.92$164.0034.3%9.8%26.5%42.4%34.2%10.2%-0.1%-4.2M59.5M-536.5K1.2910.0716208,27320,361
2010-08-16$159.88$164.0034.3%9.8%26.6%42.3%32.8%8.6%-0.2%-5.5M63.7M-510.3K8.1914.22383078,27720,365
2010-08-17$162.56$168.0031.4%9.0%25.7%32.5%30.4%7.7%1.0%-5.3M46.6M-513.9K6.4211.511408978,27820,544
2010-08-18$161.24$164.0032.9%9.4%25.5%37.7%33.0%7.7%0.5%-5.6M57.4M-529.2K0.3510.7647178,29021,298
2010-08-19$158.88$164.0034.1%9.8%25.0%41.8%35.8%8.5%0.4%-6.3M74.6M-509.9K7.3613.451178618,31121,302
2010-08-20$156.44$164.0033.2%9.5%25.3%38.7%32.8%8.3%1.3%-14.3M94.1M-473.8K9.8513.801041,0278,41721,585
2010-08-23$156.80$164.0032.3%9.3%24.4%35.7%32.7%6.6%1.1%-5.6M91.2M-477.3K1.0612.2428308,03219,539
2010-08-24$153.32$164.0034.5%9.9%24.8%43.0%33.3%7.0%0.5%-5.2M111.2M-436.8K3.3714.902809448,03919,551
2010-08-25$152.12$164.0033.2%9.5%24.7%38.5%30.5%6.9%1.3%-5.6M123.2M-428.6K31.8515.29652,0788,30720,295
2010-08-26$152.20$164.0033.2%9.5%24.4%38.6%36.5%5.0%1.4%-5.4M120.4M-447.6K14.4614.892693,8918,33320,657
2010-08-27$156.48$164.0031.2%8.9%26.8%31.8%34.3%5.2%1.1%-6.9M102.9M-541.3K3.7716.191043938,55924,519
2010-08-30$155.28$164.0032.3%9.3%24.2%35.7%32.9%4.6%1.3%-6.9M113.2M-500.6K11.0814.79121368,53724,610
2010-08-31$154.08$164.0032.7%9.4%24.1%36.9%33.5%5.3%0.9%-6.9M123.7M-486.3K0.9120.811161068,54424,645