XOP Options History — February 2011

In February 2011, XOP traded between $228.08 and $246.76. ATM implied volatility averaged 22.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.5% (HV 20d: 21.3%). Max pain ranged from $200.00 to $224.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.55.

Notable Days

2011-02-15: Highest Volume — 7,260 contracts
2011-02-25: Largest IV drop — 22.3% change
2011-02-24: Highest IV Rank — 24.3%
2011-02-24: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$234.91	$228.08	$246.76	$229.24	$246.76
Max Pain	$203.37	$200.00	$224.00	$216.00	$200.00
ATM IV	22.9%	20.6%	26.6%	22.0%	23.5%
Expected Move	6.6%	5.9%	7.6%	6.3%	6.8%
HV 20d	21.3%	19.9%	24.6%	20.5%	24.6%
HV 60d	17.6%	16.8%	18.9%	18.0%	18.5%
IV Rank	13.1%	6.2%	24.3%	10.3%	15.1%
IV Percentile	19.2%	4.8%	51.2%	10.7%	23.0%
Term Structure	1.4%	-0.2%	3.8%	0.9%	0.8%
VWIV	25.4%	21.5%	36.7%	25.6%	25.8%
Skew 25d	4.5%	3.5%	8.1%	3.5%	4.4%
Skew 10d	9.2%	1.0%	14.2%	10.4%	6.8%
Call IV 25d	21.2%	17.4%	24.6%	21.3%	23.1%
Put IV 25d	25.7%	24.1%	28.9%	24.7%	27.5%
Bid-Ask Spread %	46.41	16.71	86.37	21.82	82.40
Gamma HHI	0.16	0.13	0.22	0.22	0.17
Net GEX	-214.6K	-4.7M	4.6M	-3.9M	3.3M
Net DEX	-142.0M	-227.6M	-76.2M	-91.9M	-227.6M
Net VEX	-1.1M	-1.4M	-726.9K	-775.0K	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.55	0.01	24.27	2.80	0.18
Total Volume	2,609.053	68	7,260	3,071	764
Total OI	46,801.895	39,481	52,743	39,481	49,359

Daily Data (19 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
2011-02-01	$229.24	$216.00	22.0%	6.3%	20.5%	10.3%	25.6%	3.5%	0.9%	-3.9M	-91.9M	-775.0K	2.80	21.82	809	2,262	9,116	30,365
2011-02-02	$230.44	$224.00	21.5%	6.2%	20.0%	8.9%	23.1%	3.9%	1.2%	-4.7M	-98.1M	-780.1K	3.88	16.71	107	414	9,641	32,556
2011-02-03	$229.76	$224.00	21.6%	6.2%	20.2%	9.1%	21.5%	4.0%	1.0%	-4.4M	-91.7M	-799.3K	0.16	17.65	1,229	199	9,716	31,695
2011-02-04	$230.04	$200.00	20.7%	6.5%	19.9%	6.5%	23.9%	5.1%	1.4%	-3.7M	-101.5M	-836.5K	1.17	66.86	265	310	10,267	31,783
2011-02-07	$231.04	$200.00	21.5%	6.4%	19.9%	8.7%	30.9%	4.5%	1.7%	-2.0M	-124.4M	-726.9K	6.25	65.83	929	5,804	10,495	32,068
2011-02-08	$231.64	$200.00	21.0%	6.5%	19.9%	7.3%	22.0%	4.3%	1.7%	-2.5M	-108.0M	-858.7K	0.26	37.90	1,812	472	10,866	33,010
2011-02-09	$228.08	$200.00	21.6%	6.4%	20.9%	9.0%	23.2%	3.5%	1.7%	-3.5M	-89.2M	-929.4K	0.91	62.51	3,147	2,866	12,256	33,461
2011-02-10	$230.88	$200.00	22.4%	6.4%	21.1%	11.7%	26.6%	4.5%	1.7%	-3.6M	-76.2M	-1.2M	0.76	62.77	49	37	13,054	36,050
2011-02-11	$231.20	$200.00	22.2%	6.4%	21.0%	11.0%	23.6%	4.0%	2.1%	-2.2M	-94.7M	-1.1M	2.35	45.34	20	48	13,062	36,060
2011-02-14	$236.16	$200.00	22.8%	6.5%	21.8%	12.9%	23.9%	3.6%	1.6%	1.7M	-140.9M	-1.0M	0.80	37.08	424	338	13,068	36,087
2011-02-15	$233.64	$200.00	24.3%	7.0%	22.4%	17.4%	23.9%	4.0%	-0.2%	783.4K	-124.3M	-1.0M	0.01	39.27	7,216	44	13,123	36,364
2011-02-16	$237.48	$200.00	23.4%	6.7%	21.9%	14.6%	23.5%	3.8%	1.2%	3.8M	-193.1M	-1.3M	0.46	44.42	138	63	16,354	36,343
2011-02-17	$239.52	$200.00	23.9%	6.9%	20.4%	16.2%	24.1%	4.2%	1.7%	3.9M	-212.0M	-1.3M	1.07	31.15	2,512	2,676	16,378	36,365
2011-02-18	$237.60	$200.00	23.1%	6.6%	20.8%	13.7%	36.7%	4.8%	1.7%	4.6M	-192.5M	-1.3M	24.27	29.68	261	6,322	17,180	34,128
2011-02-22	$234.92	$200.00	25.5%	7.3%	21.6%	21.0%	27.4%	4.4%	0.5%	2.0M	-157.4M	-1.3M	14.32	28.01	281	4,029	16,055	27,806
2011-02-23	$241.24	$200.00	26.5%	7.6%	22.2%	24.2%	26.5%	4.3%	1.1%	1.4M	-185.3M	-1.4M	0.57	45.94	1,089	624	16,261	31,761
2011-02-24	$237.40	$200.00	26.6%	7.6%	22.0%	24.3%	25.6%	8.1%	1.1%	2.8M	-173.1M	-1.3M	6.94	86.37	99	689	16,414	31,775
2011-02-25	$246.16	$200.00	20.6%	5.9%	24.5%	6.2%	25.4%	6.3%	3.8%	2.2M	-217.0M	-1.3M	0.25	60.11	981	243	16,478	32,416
2011-02-28	$246.76	$200.00	23.5%	6.8%	24.6%	15.1%	25.8%	4.4%	0.8%	3.3M	-227.6M	-1.3M	0.18	82.40	645	119	16,746	32,613