XOP Options History — October 2010

In October 2010, XOP traded between $168.68 and $180.24. ATM implied volatility averaged 25.1%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.1% (HV 20d: 19.0%). Max pain ranged from $164.00 to $172.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 23.58.

Notable Days

  • 2010-10-08: Highest Volume — 2,308 contracts
  • 2010-10-14: Largest IV spike — 32.2% change
  • 2010-10-14: Highest IV Rank — 21.3%
  • 2010-10-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.38$168.68$180.24$170.88$175.40
Max Pain$171.62$164.00$172.00$164.00$172.00
ATM IV25.1%20.4%27.0%22.9%26.8%
Expected Move7.5%6.6%7.9%6.6%7.7%
HV 20d19.0%17.7%20.8%18.7%17.7%
HV 60d22.9%21.4%24.4%23.7%21.5%
IV Rank13.5%0.0%21.3%3.8%20.6%
IV Percentile15.4%0.0%32.1%0.4%32.1%
Term Structure1.0%0.3%2.6%2.6%0.3%
VWIV28.6%25.6%32.6%27.6%30.1%
Skew 25d4.7%2.5%6.5%2.9%5.5%
Skew 10d8.7%3.0%11.6%3.0%10.2%
Call IV 25d24.9%22.6%26.3%22.6%25.1%
Put IV 25d29.6%25.5%31.2%25.5%30.6%
Bid-Ask Spread %20.236.1253.9419.1431.69
Gamma HHI0.270.230.310.310.24
Net GEX967.9K151.2K1.7M1.5M1.2M
Net DEX-64.4M-99.1M-36.5M-55.1M-60.6M
Net VEX-488.1K-524.0K-433.8K-506.5K-471.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.580.00161.0010.749.67
Total Volume719112,30856139
Total OI35,489.71433,65337,94733,87135,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$170.88$164.0022.9%6.6%18.7%3.8%27.6%2.9%2.6%1.5M-55.1M-506.5K10.7419.1455110,50423,367
2010-10-04$168.68$172.0025.5%7.9%18.8%12.7%29.3%4.6%1.3%915.3K-36.5M-521.4K7.836.123930710,50623,384
2010-10-05$172.92$172.0024.3%7.6%18.9%8.6%28.2%3.1%0.8%1.5M-62.1M-511.7K90.007.74763010,52123,661
2010-10-06$174.20$172.0023.5%7.5%18.8%6.0%26.8%3.1%1.1%1.3M-67.0M-518.4K6.338.274226310,52824,287
2010-10-07$173.32$172.0024.0%7.6%19.0%7.7%29.2%4.2%2.0%1.2M-61.1M-524.0K2.027.425681,14910,55724,525
2010-10-08$176.12$172.0022.4%7.8%19.3%2.1%29.9%3.3%1.1%1.7M-85.3M-494.8K161.0011.06142,29410,61224,642
2010-10-11$176.80$172.0024.6%7.7%19.1%9.8%30.1%2.9%1.3%795.6K-82.9M-491.3K1.987.955210310,61326,612
2010-10-12$176.56$172.0024.4%7.7%19.0%8.8%31.4%3.4%1.3%912.9K-81.9M-491.5K5.018.333215810,65126,706
2010-10-13$179.28$172.0020.4%7.4%18.9%0.0%26.7%2.5%1.0%1.1M-99.1M-448.9K0.3910.9914510,64626,775
2010-10-14$178.92$172.0027.0%7.7%18.7%21.3%31.0%5.8%0.5%1.0M-96.2M-453.5K19.2016.852852810,65226,779
2010-10-15$178.84$172.0026.6%7.6%18.3%19.8%32.6%6.5%0.9%762.0K-93.1M-465.6K3.6318.254491,62910,67327,274
2010-10-18$180.24$172.0025.4%7.3%17.8%15.9%25.6%5.9%1.7%867.2K-72.2M-433.8K93.8653.94181,6668,90624,747
2010-10-19$175.48$172.0026.2%7.5%20.8%18.7%27.0%5.3%1.1%151.2K-42.9M-482.7K0.1423.561,0211428,91924,966
2010-10-20$176.64$172.0025.7%7.4%20.2%17.0%25.7%5.0%1.1%962.6K-58.1M-481.8K55.2922.65126649,61325,077
2010-10-21$174.76$172.0025.9%7.4%20.4%17.8%28.6%6.0%0.9%583.7K-45.7M-491.8K22.9825.64398859,62025,108
2010-10-22$175.24$172.0025.4%7.3%19.3%16.2%26.7%6.2%0.9%518.5K-48.2M-483.2K0.0020.962009,65225,347
2010-10-25$175.56$172.0026.6%7.6%19.2%20.0%27.2%5.7%0.3%722.5K-52.6M-467.3K0.0036.372,03179,66325,347
2010-10-26$174.88$172.0026.4%7.6%19.3%19.4%30.7%5.9%0.3%912.9K-53.4M-511.1K3.3031.143810,59225,349
2010-10-27$174.12$172.0026.4%7.6%17.9%19.2%30.1%6.2%0.5%789.2K-48.2M-505.2K1.8830.70132410,59425,352
2010-10-28$174.16$172.0026.2%7.5%17.9%18.6%26.2%5.4%0.7%865.0K-50.4M-494.2K0.0126.1540010,60125,358
2010-10-29$175.40$172.0026.8%7.7%17.7%20.6%30.1%5.5%0.3%1.2M-60.6M-471.5K9.6731.691312610,64025,358