XOP Options History — March 2011

In March 2011, XOP traded between $228.48 and $257.76. ATM implied volatility averaged 27.4%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.5% (HV 20d: 29.0%). Max pain ranged from $204.00 to $240.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 6.52.

Notable Days

  • 2011-03-17: Highest Volume — 18,787 contracts
  • 2011-03-16: Largest IV spike — 17.8% change
  • 2011-03-16: Highest IV Rank — 51.1%
  • 2011-03-16: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$243.33$228.48$257.76$239.72$257.68
Max Pain$235.48$204.00$240.00$204.00$240.00
ATM IV27.4%23.0%35.3%27.8%24.2%
Expected Move7.9%6.6%10.1%8.0%6.9%
HV 20d29.0%24.6%33.3%24.7%27.7%
HV 60d22.1%19.3%24.2%19.3%24.1%
IV Rank27.0%13.3%51.1%28.2%17.1%
IV Percentile51.7%19.8%84.5%63.1%28.6%
Term Structure-0.2%-3.0%3.6%-1.9%0.3%
VWIV28.5%23.6%35.0%29.3%24.6%
Skew 25d4.8%0.8%10.4%0.8%4.0%
Skew 10d8.8%-1.8%14.2%-1.8%10.5%
Call IV 25d25.8%22.3%33.3%28.8%22.3%
Put IV 25d30.6%25.9%37.6%29.6%26.3%
Bid-Ask Spread %47.0525.1983.3583.3545.53
Gamma HHI0.140.110.170.160.15
Net GEX-237.6K-4.4M3.9M2.4M-1.9M
Net DEX-144.6M-213.7M-63.9M-181.7M-193.8M
Net VEX-1.4M-1.5M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.520.0425.091.6614.65
Total Volume1,87410718,787935724
Total OI49,204.43537,57758,86749,43843,549

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$239.72$204.0027.8%8.0%24.7%28.2%29.3%0.8%-1.9%2.4M-181.7M-1.3M1.6683.3535258316,74032,698
2011-03-02$240.76$212.0026.7%7.7%24.6%24.8%28.1%4.7%-0.5%2.2M-175.8M-1.4M1.6481.43528516,80933,158
2011-03-03$245.00$212.0024.5%7.0%25.2%18.1%23.6%5.9%1.2%3.0M-213.7M-1.3M2.7282.04297816,83033,216
2011-03-04$244.08$236.0024.8%7.1%25.2%19.0%25.6%6.7%0.9%2.8M-206.6M-1.3M0.5832.461,44383416,83033,294
2011-03-07$241.04$240.0028.7%8.2%25.8%31.0%28.3%7.2%0.3%3.9M-196.6M-1.3M1.0230.6611611818,14833,959
2011-03-08$236.72$240.0029.4%8.5%26.8%33.0%32.1%5.5%-0.9%2.9M-161.9M-1.4M25.0928.441112,77918,16034,033
2011-03-09$237.20$240.0027.8%8.1%26.8%28.0%28.8%5.7%-1.4%1.1M-136.2M-1.5M5.2526.075026318,14036,713
2011-03-10$228.48$240.0031.6%9.1%29.6%39.8%31.4%3.9%-2.7%-1.4M-63.9M-1.5M13.4653.952433,27518,17236,769
2011-03-11$234.60$236.0031.1%8.9%30.8%38.1%31.9%6.8%-3.0%-1.4M-93.0M-1.5M2.3854.787818518,31639,595
2011-03-14$238.08$236.0029.8%8.5%31.2%34.0%32.2%10.4%-1.3%733.0K-131.6M-1.4M2.8954.6917350018,34739,627
2011-03-15$236.12$240.0030.0%8.6%30.4%34.8%32.3%7.2%-0.9%-416.5K-105.8M-1.5M15.6363.726195018,49539,950
2011-03-16$234.24$240.0035.3%10.1%30.3%51.1%35.0%4.3%-2.5%-781.9K-92.9M-1.5M1.2457.0016720718,52140,346
2011-03-17$241.36$240.0030.8%8.8%31.6%37.3%30.8%5.4%-1.3%2.8M-168.4M-1.4M0.0455.6018,05273518,59140,258
2011-03-18$239.52$240.0029.1%8.3%31.6%32.0%30.3%2.7%0.9%98.3K-100.2M-1.3M4.2954.8120889316,04540,840
2011-03-21$247.12$240.0025.6%7.3%33.3%21.4%28.0%3.9%0.4%-1.6M-125.0M-1.4M5.6431.7511967213,76724,060
2011-03-22$247.44$240.0025.2%7.2%33.0%20.2%27.4%3.0%0.2%-1.5M-136.1M-1.4M22.2134.70841,87213,86024,335
2011-03-23$246.52$240.0025.6%7.3%31.8%21.4%27.6%3.6%0.1%-1.3M-130.1M-1.4M8.4933.284804,07613,85823,719
2011-03-24$247.64$240.0025.0%7.2%31.1%19.5%25.9%4.2%1.0%-4.4M-106.4M-1.5M3.4836.355519314,11627,750
2011-03-25$252.52$240.0024.9%7.1%29.2%19.3%24.2%3.6%0.4%-3.3M-139.3M-1.4M0.8335.5330525413,95427,893
2011-03-28$249.96$240.0026.1%7.5%29.5%22.9%26.5%1.1%0.2%-3.6M-133.0M-1.4M7.5341.278866314,07428,081
2011-03-29$253.04$240.0023.8%6.8%27.6%16.0%25.0%5.2%2.1%-3.3M-145.3M-1.4M7.3339.497856814,14128,607
2011-03-30$257.76$240.0023.0%6.6%28.1%13.3%25.5%3.7%3.6%-2.5M-189.5M-1.1M1.8825.198716414,18129,157
2011-03-31$257.68$240.0024.2%6.9%27.7%17.1%24.6%4.0%0.3%-1.9M-193.8M-1.1M14.6545.534667814,23929,310