XOP Options History — November 2010

In November 2010, XOP traded between $177.84 and $195.72. ATM implied volatility averaged 26.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.4% (HV 20d: 18.6%). Max pain ranged from $172.00 to $188.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 96.69.

Notable Days

  • 2010-11-24: Highest Volume — 6,563 contracts
  • 2010-11-11: Largest IV spike — 17.6% change
  • 2010-11-01: Highest IV Rank — 30.4%
  • 2010-11-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.88$177.84$195.72$177.84$192.96
Max Pain$181.14$172.00$188.00$172.00$188.00
ATM IV26.0%21.3%29.8%29.8%28.7%
Expected Move7.6%6.5%8.6%8.6%8.2%
HV 20d18.6%15.8%21.1%17.4%21.0%
HV 60d20.1%18.9%21.5%21.4%18.9%
IV Rank17.9%2.9%30.4%30.4%26.9%
IV Percentile26.9%0.4%52.0%50.4%50.4%
Term Structure1.0%-1.8%3.3%-1.8%-0.6%
VWIV28.2%24.7%31.8%30.6%28.4%
Skew 25d4.6%2.9%6.8%6.7%5.4%
Skew 10d9.6%4.7%15.4%10.5%9.7%
Call IV 25d24.7%22.2%27.5%26.4%26.6%
Put IV 25d29.3%26.5%33.1%33.1%32.1%
Bid-Ask Spread %36.4125.4169.5334.7733.79
Gamma HHI0.360.240.470.240.44
Net GEX-5.5M-12.6M2.8M1.5M-11.8M
Net DEX-99.9M-156.4M-30.0M-76.2M-86.6M
Net VEX-441.2K-589.1K-294.1K-451.2K-466.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio96.690.011393.2024.734.71
Total Volume1,893276,563650536
Total OI46,571.04836,13256,68336,13252,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$177.84$172.0029.8%8.6%17.4%30.4%30.6%6.7%-1.8%1.5M-76.2M-451.2K24.7334.772562510,64825,484
2010-11-02$180.24$172.0027.4%7.9%15.9%22.6%29.3%6.8%-0.3%1.7M-92.7M-417.9K0.0125.4127010,67026,073
2010-11-03$181.00$172.0026.6%7.6%15.8%19.9%30.2%5.6%0.1%1.8M-99.2M-396.6K14.7134.442028710,68126,073
2010-11-04$186.04$172.0022.9%6.5%18.0%7.8%24.7%4.9%0.7%2.4M-132.0M-328.4K0.6757.8597064710,68726,332
2010-11-05$186.52$172.0021.3%6.7%17.3%2.9%26.5%4.3%2.8%2.8M-141.5M-331.1K192.0034.75586411,15526,896
2010-11-08$188.48$172.0022.6%6.9%17.6%6.9%24.9%4.2%2.8%2.3M-149.2M-309.1K1.5932.4253184611,15627,049
2010-11-09$190.88$172.0022.9%7.1%17.8%7.9%25.1%3.1%1.5%1.7M-155.2M-294.1K14.3338.382123,04111,15527,769
2010-11-10$194.08$172.0021.9%7.0%17.9%4.8%25.5%2.9%2.2%-1.3M-148.2M-345.6K0.5229.0823412111,33530,611
2010-11-11$195.72$172.0025.8%7.4%17.8%17.3%27.6%4.4%1.9%-913.8K-156.4M-328.0K82.9629.80786,45111,40730,682
2010-11-12$192.16$188.0027.6%7.9%19.5%23.3%31.6%4.3%1.2%-6.2M-92.5M-489.3K56.8729.91844,79111,45037,112
2010-11-15$191.00$188.0027.8%8.0%19.7%23.7%30.3%3.5%1.1%-9.2M-72.4M-541.6K0.5630.661468211,49041,737
2010-11-16$187.64$188.0028.8%8.2%18.1%27.0%31.8%3.8%1.6%-10.0M-30.0M-589.1K2.5132.119022511,58541,777
2010-11-17$188.76$188.0028.7%8.2%18.1%26.7%30.6%3.8%1.4%-9.8M-46.5M-562.0K0.8032.8528122411,68141,842
2010-11-18$192.76$188.0026.5%7.6%18.4%19.5%27.8%4.0%2.1%-9.5M-101.0M-474.1K7.2538.404303,11911,81641,898
2010-11-19$194.56$188.0024.5%7.0%18.4%13.3%26.3%3.9%3.3%-11.0M-112.0M-464.4K3.7526.582861,07512,06844,615
2010-11-22$194.92$188.0024.9%7.1%18.4%14.5%28.8%4.6%0.5%-11.0M-95.5M-471.8K1.0069.5328929011,20740,127
2010-11-23$190.84$188.0025.9%7.4%20.5%17.6%27.7%4.3%0.9%-12.6M-57.0M-513.0K0.5933.621156811,41540,276
2010-11-24$194.28$188.0024.1%6.9%20.7%12.0%27.0%5.1%0.9%-11.9M-88.6M-503.0K190.6344.18346,52911,47440,291
2010-11-26$193.00$188.0027.8%8.0%21.1%23.8%27.1%4.8%-0.2%-12.1M-79.3M-508.1K37.0241.542282411,49241,354
2010-11-29$193.76$188.0029.0%8.3%21.1%27.9%31.0%5.3%-0.9%-12.4M-84.9M-480.9K1393.2034.5245,22511,50641,786
2010-11-30$192.96$188.0028.7%8.2%21.0%26.9%28.4%5.4%-0.6%-11.8M-86.6M-466.6K4.7133.799444211,50940,621