XOP Options History — December 2010

In December 2010, XOP traded between $197.60 and $211.00. ATM implied volatility averaged 22.0%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.9% (HV 20d: 18.1%). Max pain ranged from $188.00 to $200.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 20.44.

Notable Days

  • 2010-12-03: Highest Volume — 12,102 contracts
  • 2010-12-13: Largest IV spike — 20.2% change
  • 2010-12-01: Highest IV Rank — 14.2%
  • 2010-12-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$204.80$197.60$211.00$197.60$211.00
Max Pain$198.36$188.00$200.00$188.00$200.00
ATM IV22.0%19.5%24.8%24.8%21.9%
Expected Move6.4%5.6%7.2%7.1%6.3%
HV 20d18.1%11.0%22.7%22.0%11.0%
HV 60d18.5%17.1%19.2%18.8%17.1%
IV Rank6.4%0.0%14.2%14.2%7.5%
IV Percentile3.9%0.0%14.3%13.1%5.2%
Term Structure2.4%1.1%3.2%1.1%2.5%
VWIV24.1%19.6%31.4%26.8%21.9%
Skew 25d3.6%1.6%5.6%4.0%3.2%
Skew 10d9.0%4.8%12.9%10.2%7.1%
Call IV 25d21.2%18.4%23.2%23.2%21.1%
Put IV 25d24.9%21.4%28.2%27.2%24.3%
Bid-Ask Spread %29.449.1550.8141.8314.89
Gamma HHI0.280.140.480.480.28
Net GEX-4.1M-9.3M1.4M-9.3M-5.0M
Net DEX-97.2M-201.4M492.5K-136.5M-15.0M
Net VEX-737.6K-989.2K-339.6K-403.3K-989.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.440.3697.514.645.38
Total Volume2,661.9555412,10210,691333
Total OI49,955.22728,83972,99852,51933,456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$197.60$188.0024.8%7.1%22.0%14.2%26.8%4.0%1.1%-9.3M-136.5M-403.3K4.6441.831,8978,79411,58940,930
2010-12-02$201.80$188.0023.5%6.7%22.7%9.8%25.8%2.8%1.2%-7.0M-196.5M-339.6K11.4250.801011,15313,45342,646
2010-12-03$202.68$188.0022.2%6.4%21.2%5.8%31.4%3.2%1.5%-4.5M-193.9M-382.8K14.1934.7179711,30513,49543,502
2010-12-06$203.80$200.0023.4%6.8%21.2%9.6%24.1%5.6%2.4%-3.1M-201.4M-404.1K2.739.155311,45113,84145,464
2010-12-07$203.36$200.0023.7%7.0%21.2%10.6%28.5%4.4%1.9%-3.0M-190.8M-457.8K23.3214.062345,46314,05745,385
2010-12-08$200.92$200.0023.9%7.2%21.6%11.1%25.3%5.1%2.2%-6.5M-141.0M-617.5K1.9818.805481,08514,01350,776
2010-12-09$201.68$200.0022.7%7.0%21.0%7.2%24.0%5.1%2.2%-7.5M-134.9M-658.9K2.6716.624511914,26451,820
2010-12-10$202.32$200.0020.6%6.8%20.8%0.5%24.8%5.0%2.3%-5.1M-146.9M-639.9K26.3814.76719114,29951,843
2010-12-13$203.72$200.0024.7%6.9%19.5%13.9%24.5%4.0%2.4%-1.1M-170.3M-577.8K1.3617.2012917514,30652,025
2010-12-14$202.04$200.0024.0%6.8%19.7%11.4%25.5%5.1%2.8%-606.8K-155.3M-589.1K0.3614.634,8221,72714,42052,116
2010-12-15$201.12$200.0023.4%6.7%18.3%9.5%29.5%3.7%2.7%25.8K-163.1M-768.0K2.2320.881,5773,50916,79453,734
2010-12-16$202.60$200.0022.2%6.4%18.4%5.6%22.7%3.6%2.8%1.4M-182.3M-883.0K66.0924.15211,35518,35854,640
2010-12-17$202.44$200.0021.9%6.3%17.2%4.7%27.2%4.2%3.1%-4.5M-11.9M-914.5K1.3123.301,6392,1519,75255,823
2010-12-20$205.44$200.0019.7%5.6%17.6%0.0%20.6%3.6%3.2%-4.3M492.5K-977.2K7.6429.481138658,54720,292
2010-12-21$208.32$200.0019.5%5.6%18.0%0.0%19.7%3.0%3.0%-4.1M-16.4M-943.7K0.6238.32106658,56720,738
2010-12-22$208.68$200.0019.6%5.6%15.6%0.4%20.5%2.4%2.9%-3.7M-17.3M-927.1K9.2441.11363338,57420,777
2010-12-23$208.76$200.0019.7%5.7%14.8%0.7%19.6%2.5%2.7%-3.8M-17.6M-928.8K82.3445.55151,2568,59220,912
2010-12-27$207.60$200.0020.7%5.9%14.7%3.8%21.8%2.7%3.2%-4.5M-4.0M-957.3K33.8350.81217028,60722,167
2010-12-28$208.48$200.0021.1%6.1%14.7%5.1%22.4%2.8%2.7%-4.9M-5.9M-970.3K53.5346.3694558,62422,575
2010-12-29$210.84$200.0020.5%5.9%14.7%3.1%21.5%1.6%2.8%-4.2M-18.3M-952.6K0.9036.6328268,62522,991
2010-12-30$210.48$200.0021.2%6.1%12.9%5.4%21.9%2.2%2.2%-4.4M-19.4M-944.8K97.5143.64343,3408,64022,986
2010-12-31$211.00$200.0021.9%6.3%11.0%7.5%21.9%3.2%2.5%-5.0M-15.0M-989.2K5.3814.89522818,66624,790