XOP Options History — January 2011

In January 2011, XOP traded between $211.00 and $227.00. ATM implied volatility averaged 22.0%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 9.1% (HV 20d: 12.9%). Max pain ranged from $200.00 to $216.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 9.70.

Notable Days

2011-01-04: Highest Volume — 4,514 contracts
2011-01-31: Largest IV spike — 39.6% change
2011-01-31: Highest IV Rank — 34.9%
2011-01-31: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$215.64	$211.00	$227.00	$213.20	$227.00
Max Pain	$210.60	$200.00	$216.00	$200.00	$216.00
ATM IV	22.0%	18.6%	30.0%	21.2%	30.0%
Expected Move	6.5%	5.7%	8.6%	6.1%	8.6%
HV 20d	12.9%	10.7%	20.5%	11.4%	20.5%
HV 60d	16.8%	15.6%	18.6%	17.1%	18.6%
IV Rank	9.4%	0.0%	34.9%	5.3%	34.9%
IV Percentile	10.7%	0.0%	66.7%	3.6%	66.7%
Term Structure	1.5%	0.4%	3.5%	2.4%	0.4%
VWIV	24.2%	21.4%	28.2%	22.8%	26.9%
Skew 25d	4.5%	2.1%	6.1%	2.3%	5.7%
Skew 10d	11.5%	5.4%	17.3%	5.4%	17.3%
Call IV 25d	20.8%	18.3%	23.3%	20.7%	21.8%
Put IV 25d	25.3%	22.2%	28.4%	23.0%	27.4%
Bid-Ask Spread %	47.89	23.29	66.05	27.66	23.29
Gamma HHI	0.25	0.23	0.28	0.28	0.23
Net GEX	-7.6M	-10.5M	-4.3M	-4.3M	-4.8M
Net DEX	-18.6M	-75.2M	21.8M	-34.2M	-75.2M
Net VEX	-1.0M	-1.1M	-815.7K	-932.6K	-815.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.70	0.59	66.31	6.45	0.99
Total Volume	851.5	66	4,514	717	1,139
Total OI	39,689.45	33,701	43,144	33,701	38,981

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$213.20	$200.00	21.2%	6.1%	11.4%	5.3%	22.8%	2.3%	2.4%	-4.3M	-34.2M	-932.6K	6.45	27.66	96	621	8,696	25,005
2011-01-04	$211.32	$200.00	22.9%	6.6%	12.0%	10.5%	24.5%	2.6%	2.3%	-5.6M	-12.6M	-986.1K	54.38	40.53	82	4,432	8,717	25,495
2011-01-05	$212.04	$204.00	20.1%	5.8%	11.9%	1.9%	21.6%	2.1%	3.5%	-8.8M	7.0M	-1.1M	1.08	63.11	33	36	8,767	29,877
2011-01-06	$211.00	$204.00	21.1%	6.0%	11.0%	4.9%	23.3%	2.1%	3.2%	-9.1M	12.6M	-1.1M	11.18	39.26	128	1,434	8,787	29,803
2011-01-07	$211.76	$208.00	20.2%	6.8%	11.0%	2.0%	23.9%	5.0%	1.1%	-9.2M	11.8M	-1.1M	0.59	34.83	157	93	8,913	31,197
2011-01-10	$212.64	$208.00	20.9%	6.9%	11.0%	4.5%	25.3%	5.5%	0.9%	-9.0M	11.9M	-1.1M	66.31	37.53	9	580	9,063	31,280
2011-01-11	$215.00	$208.00	19.1%	6.4%	11.3%	0.0%	24.1%	5.3%	1.2%	-7.8M	-18.2M	-1.0M	0.84	47.30	190	159	9,065	31,494
2011-01-12	$217.04	$208.00	18.6%	6.3%	10.8%	0.0%	23.1%	4.3%	1.5%	-6.7M	-33.0M	-1.0M	2.35	42.37	650	1,529	9,117	31,601
2011-01-13	$216.40	$212.00	22.5%	6.5%	10.7%	11.9%	24.1%	4.5%	1.3%	-7.3M	-32.2M	-1.0M	2.51	55.49	139	348	9,492	32,999
2011-01-14	$218.36	$212.00	21.2%	6.1%	10.7%	8.0%	28.2%	6.1%	2.0%	-6.3M	-43.4M	-1.0M	12.80	62.73	21	272	9,609	33,192
2011-01-18	$220.20	$216.00	22.6%	6.5%	10.7%	12.3%	23.9%	6.0%	1.0%	-5.6M	-58.9M	-960.5K	0.64	37.82	61	39	9,616	33,454
2011-01-19	$217.12	$216.00	23.4%	6.7%	11.8%	14.8%	24.8%	4.3%	1.1%	-6.6M	-41.8M	-981.1K	0.88	39.48	35	31	9,641	33,477
2011-01-20	$213.48	$216.00	25.5%	7.3%	13.0%	21.1%	27.1%	5.1%	0.6%	-8.3M	-5.6M	-1.1M	10.50	62.98	38	396	9,647	33,497
2011-01-21	$213.20	$216.00	23.5%	6.8%	13.0%	15.1%	24.5%	5.0%	0.7%	-7.5M	-9.8M	-1.0M	1.73	53.49	397	689	9,661	33,370
2011-01-24	$214.92	$212.00	21.3%	6.1%	13.2%	8.2%	23.7%	5.7%	1.5%	-9.4M	9.2M	-1.0M	7.15	63.64	40	282	8,129	29,092
2011-01-25	$212.68	$212.00	22.9%	6.6%	13.7%	13.0%	25.8%	5.3%	0.6%	-10.5M	21.8M	-1.0M	4.03	57.18	94	380	8,147	29,236
2011-01-26	$218.76	$212.00	20.0%	5.7%	16.7%	4.3%	23.6%	4.0%	1.4%	-7.9M	-27.8M	-916.2K	1.60	59.32	739	1,181	8,178	29,365
2011-01-27	$217.92	$216.00	21.0%	6.0%	16.5%	7.3%	21.4%	4.2%	1.9%	-8.8M	-26.5M	-952.8K	6.95	66.05	49	341	8,852	30,351
2011-01-28	$218.84	$216.00	21.5%	6.2%	16.5%	8.9%	21.9%	4.3%	1.3%	-8.3M	-27.5M	-950.6K	1.14	43.83	42	48	8,859	30,067
2011-01-31	$227.00	$216.00	30.0%	8.6%	20.5%	34.9%	26.9%	5.7%	0.4%	-4.8M	-75.2M	-815.7K	0.99	23.29	572	567	8,893	30,088