XOP Options History — September 2010

In September 2010, XOP traded between $159.28 and $169.04. ATM implied volatility averaged 26.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.6% (HV 20d: 23.7%). Max pain ranged from $148.00 to $164.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 14.34.

Notable Days

  • 2010-09-14: Highest Volume — 6,547 contracts
  • 2010-09-07: Largest IV spike — 14.4% change
  • 2010-09-07: Highest IV Rank — 27.7%
  • 2010-09-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.75$159.28$169.04$159.28$169.04
Max Pain$161.71$148.00$164.00$164.00$164.00
ATM IV26.4%24.0%30.0%29.9%25.1%
Expected Move7.6%6.9%8.6%8.6%7.2%
HV 20d23.7%18.7%27.9%26.2%18.7%
HV 60d26.5%23.8%29.1%29.0%23.8%
IV Rank15.5%7.5%27.7%27.6%11.3%
IV Percentile15.7%2.0%36.1%34.9%9.1%
Term Structure2.2%1.0%3.3%1.1%1.9%
VWIV27.3%24.8%34.4%30.2%26.8%
Skew 25d5.1%3.9%6.6%4.7%3.9%
Skew 10d10.6%6.3%16.8%8.9%7.9%
Call IV 25d24.6%22.1%28.1%27.9%23.6%
Put IV 25d29.7%26.5%33.2%32.6%27.5%
Bid-Ask Spread %15.225.7627.0110.0818.92
Gamma HHI0.320.230.570.230.30
Net GEX-7.6M-29.7M1.3M-7.2M1.3M
Net DEX28.0M-39.3M81.7M80.4M-39.3M
Net VEX-541.7K-633.4K-448.6K-502.1K-540.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.340.10117.941.8617.10
Total Volume1,264.714366,547421322
Total OI37,062.42929,57750,08333,34933,581

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$159.28$164.0029.9%8.6%26.2%27.6%30.2%4.7%1.1%-7.2M80.4M-502.1K1.8610.081472748,65424,695
2010-09-02$161.00$164.0029.5%8.5%26.7%26.3%29.1%5.0%1.0%-7.0M63.3M-505.6K1.7212.80951648,89424,746
2010-09-03$163.80$148.0026.2%8.1%27.3%15.0%29.1%4.8%1.6%-6.3M38.3M-492.3K2.798.591584408,76824,750
2010-09-07$160.76$152.0030.0%8.5%27.6%27.7%34.4%5.1%1.1%-8.0M63.1M-450.9K16.995.763145,3358,78124,765
2010-09-08$162.40$152.0026.1%7.9%27.9%14.7%25.9%6.6%1.6%-13.4M79.9M-486.5K12.7617.031021,2998,96129,250
2010-09-09$162.20$160.0027.3%7.8%24.2%18.7%28.9%6.2%1.9%-17.4M81.7M-457.2K0.1817.47147269,05729,510
2010-09-10$164.00$160.0027.2%7.8%24.1%18.5%27.2%5.9%1.9%-13.1M48.7M-448.6K38.5516.131345,1478,99629,278
2010-09-13$166.00$164.0027.1%7.8%24.4%18.0%26.6%5.7%1.8%-12.3M40.3M-515.7K5.3914.59452418,99334,367
2010-09-14$165.60$164.0026.8%7.7%24.3%17.1%27.6%5.1%2.0%-13.5M33.3M-481.2K0.8613.893,5213,0268,98434,298
2010-09-15$164.16$164.0026.9%7.7%23.9%17.3%29.6%6.3%2.2%-16.0M33.0M-633.4K41.4514.70834212,49637,295
2010-09-16$163.28$164.0026.3%7.5%23.8%15.3%25.6%5.7%2.8%-21.6M43.1M-615.9K1.1115.6128030912,47037,298
2010-09-17$162.08$164.0025.9%7.4%23.3%14.0%26.3%5.1%3.1%-29.7M69.0M-607.5K3.6727.019133412,51437,569
2010-09-20$164.76$164.0024.9%7.1%23.0%10.6%24.9%4.9%3.0%461.2K-4.4M-569.9K0.9416.861,4751,3838,71120,866
2010-09-21$164.04$164.0025.0%7.2%23.2%10.9%25.6%4.8%2.9%631.0K1.1M-624.0K1.9614.03203910,18522,221
2010-09-22$162.32$164.0024.8%7.1%21.8%10.1%24.8%5.0%3.2%161.1K8.0M-590.1K0.1016.432462510,20522,241
2010-09-23$161.00$164.0026.2%7.5%21.8%15.0%27.5%5.1%2.8%100.5K15.3M-603.0K1.8915.358115310,39722,256
2010-09-24$164.60$164.0024.0%6.9%22.9%7.5%24.9%4.4%3.3%689.7K-7.3M-601.0K1.4313.89152110,41322,379
2010-09-27$164.16$164.0024.8%7.1%21.1%10.3%28.1%4.8%2.9%1.0M-10.8M-529.3K117.9413.00450110,42822,387
2010-09-28$165.20$164.0024.3%7.0%20.8%8.5%25.9%4.4%2.6%728.3K-12.2M-565.0K30.0018.6525310,43122,869
2010-09-29$169.00$164.0025.1%7.2%21.5%11.2%25.0%4.3%1.7%1.3M-35.8M-556.1K2.3418.767216810,43122,921
2010-09-30$169.04$164.0025.1%7.2%18.7%11.3%26.8%3.9%1.9%1.3M-39.3M-540.4K17.1018.921830410,49223,089