XOP Options History — April 2011

In April 2011, XOP traded between $239.68 and $259.88. ATM implied volatility averaged 23.7%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.0% (HV 20d: 24.7%). Max pain ranged from $240.00 to $260.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 12.11.

Notable Days

  • 2011-04-06: Highest Volume — 7,710 contracts
  • 2011-04-11: Largest IV spike — 37.0% change
  • 2011-04-11: Highest IV Rank — 28.2%
  • 2011-04-12: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$250.09$239.68$259.88$258.96$254.88
Max Pain$255.80$240.00$260.00$240.00$256.00
ATM IV23.7%20.3%27.8%22.2%21.9%
Expected Move7.0%6.2%7.8%6.4%6.3%
HV 20d24.7%20.4%27.6%27.6%24.0%
HV 60d25.4%24.0%26.7%24.1%25.4%
IV Rank15.6%5.2%28.2%11.0%10.1%
IV Percentile27.3%3.6%60.3%14.3%13.5%
Term Structure1.4%-0.1%2.8%1.6%2.7%
VWIV25.1%22.6%29.3%23.0%22.6%
Skew 25d4.4%3.8%5.0%4.5%4.5%
Skew 10d9.6%6.6%12.5%12.4%12.5%
Call IV 25d22.7%20.4%25.6%21.5%20.4%
Put IV 25d27.2%24.9%29.8%26.0%24.9%
Bid-Ask Spread %40.5315.5467.2667.2639.47
Gamma HHI0.150.120.190.120.17
Net GEX-6.1M-12.4M-1.4M-3.1M-2.3M
Net DEX-86.9M-216.3M61.7M-195.2M-149.0M
Net VEX-1.2M-1.5M-1.0M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.110.1767.093.5439.20
Total Volume1,867.251447,7101446,592
Total OI43,606.537,94549,35844,13138,795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$258.96$240.0022.2%6.4%27.6%11.0%23.0%4.5%1.6%-3.1M-195.2M-1.1M3.5467.263211214,26329,868
2011-04-04$259.40$256.0022.9%6.9%27.0%13.2%26.4%4.6%0.6%-2.1M-207.0M-1.1M0.9846.5427927414,27329,903
2011-04-05$259.88$256.0021.9%6.9%25.7%10.1%24.1%4.6%0.3%-2.0M-216.3M-1.0M0.1747.991,02416914,40629,980
2011-04-06$256.28$260.0023.6%7.0%26.6%15.3%23.4%3.8%0.8%-2.3M-201.9M-1.1M51.9956.861467,56414,79130,112
2011-04-07$256.20$260.0020.4%6.9%21.7%5.6%24.2%4.3%1.0%-5.0M-157.1M-1.2M4.7651.055512,62114,52431,161
2011-04-08$255.96$260.0020.3%6.9%20.4%5.2%25.1%4.6%2.2%-6.4M-145.6M-1.2M11.4355.412362,70014,78232,792
2011-04-11$248.56$256.0027.8%7.7%23.2%28.2%26.9%4.9%0.7%-7.2M-68.9M-1.3M3.1421.683741,17414,99032,778
2011-04-12$239.68$256.0025.6%7.8%26.8%21.4%27.6%4.0%0.0%-12.4M61.7M-1.5M6.7249.931591,06815,28933,559
2011-04-13$242.96$256.0026.3%7.7%26.9%23.3%29.3%4.9%-0.1%-9.4M22.6M-1.5M3.5549.496422715,29234,066
2011-04-14$243.40$256.0025.8%7.4%24.8%22.0%27.6%5.0%1.4%-9.6M17.4M-1.5M67.0954.81392,63315,32233,994
2011-04-15$246.12$256.0024.3%7.0%24.9%17.4%26.3%4.8%1.7%-1.4M-25.9M-1.3M2.6326.765614815,32432,411
2011-04-18$240.56$256.0026.5%7.6%23.7%24.0%27.4%4.4%1.2%-8.4M16.2M-1.4M5.8244.459856812,76425,181
2011-04-19$242.20$256.0024.6%7.0%23.8%18.2%25.3%4.9%2.1%-8.5M-3.3M-1.2M1.1428.7215617812,83525,507
2011-04-20$248.56$256.0023.7%6.8%25.6%15.6%23.3%4.3%1.2%-8.2M-56.0M-1.4M0.5437.151,63889212,92125,470
2011-04-21$249.56$256.0023.5%6.7%25.6%14.9%23.6%4.5%1.7%-6.2M-79.6M-1.2M0.8917.0716314514,42626,048
2011-04-25$249.40$256.0023.8%6.8%24.6%15.9%23.5%4.2%1.5%-6.3M-84.7M-1.2M0.7228.0617312514,56026,151
2011-04-26$249.92$256.0023.7%6.8%24.4%15.5%23.1%3.8%1.6%-6.6M-96.5M-1.1M10.3315.545152214,58226,221
2011-04-27$249.16$256.0023.7%6.8%23.9%15.5%23.7%4.0%1.9%-7.2M-79.2M-1.2M0.7134.581017214,61726,724
2011-04-28$250.12$256.0021.7%6.2%22.9%9.5%25.0%4.2%2.8%-6.9M-89.1M-1.2M26.8137.691524,06914,68726,761
2011-04-29$254.88$256.0021.9%6.3%24.0%10.1%22.6%4.5%2.7%-2.3M-149.0M-1.1M39.2039.471646,42814,71524,080