XOP Options History — May 2011

In May 2011, XOP traded between $224.44 and $250.56. ATM implied volatility averaged 30.1%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.8% (HV 20d: 32.0%). Max pain ranged from $236.00 to $256.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 12.60.

Notable Days

  • 2011-05-11: Highest Volume — 13,792 contracts
  • 2011-05-05: Largest IV spike — 20.4% change
  • 2011-05-13: Highest IV Rank — 49.1%
  • 2011-05-13: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$234.71$224.44$250.56$250.56$243.60
Max Pain$239.62$236.00$256.00$256.00$236.00
ATM IV30.1%23.6%34.7%23.6%27.9%
Expected Move8.6%6.8%9.9%6.8%8.0%
HV 20d32.0%24.6%35.3%24.6%34.4%
HV 60d28.7%25.6%30.2%25.6%28.9%
IV Rank35.6%15.4%49.1%15.4%29.4%
IV Percentile69.4%27.0%86.1%27.0%64.3%
Term Structure0.5%-1.6%2.8%1.4%1.3%
VWIV30.7%24.3%35.0%24.3%29.9%
Skew 25d3.6%-1.5%5.8%3.1%2.1%
Skew 10d8.2%3.3%13.2%5.9%8.2%
Call IV 25d29.2%23.0%36.5%23.0%27.1%
Put IV 25d32.8%26.1%37.3%26.1%29.2%
Bid-Ask Spread %48.4817.4270.7938.5726.35
Gamma HHI0.120.100.160.160.11
Net GEX-15.7M-22.5M-4.8M-4.8M-15.1M
Net DEX172.8M-101.2M438.7M-101.2M2.2M
Net VEX-2.1M-2.6M-1.2M-1.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.600.2298.173.252.79
Total Volume4,201.57154413,792544747
Total OI67,502.28645,15282,59545,15271,298

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$250.56$256.0023.6%6.8%24.6%15.4%24.3%3.1%1.4%-4.8M-101.2M-1.2M3.2538.5712841614,77130,381
2011-05-03$241.80$256.0027.7%7.9%27.4%27.8%27.2%4.2%0.6%-6.6M-7.2M-1.3M18.6838.862614,88014,83230,467
2011-05-04$234.16$252.0028.1%8.0%29.1%28.8%28.4%3.6%1.0%-10.3M119.2M-1.4M27.9966.9945912,84214,91033,219
2011-05-05$229.16$252.0033.8%9.7%29.5%46.3%33.6%3.5%-1.6%-13.5M221.8M-1.6M4.2763.411,5936,79415,05838,763
2011-05-06$231.88$240.0030.9%8.7%30.1%37.5%31.1%3.3%0.4%-17.3M216.1M-1.8M1.4465.0551774416,45343,032
2011-05-09$239.20$236.0029.0%8.2%32.7%31.7%29.5%5.3%-0.5%-18.5M104.3M-1.7M2.1660.141,1012,38216,69743,127
2011-05-10$241.92$236.0027.8%8.2%31.6%28.1%29.2%4.5%0.3%-19.2M63.5M-1.7M6.9325.424953,42617,51643,953
2011-05-11$231.36$236.0031.4%9.1%32.9%39.1%31.2%2.4%-0.5%-18.9M239.3M-1.8M4.8761.252,34911,44317,76347,200
2011-05-12$229.64$236.0032.6%9.4%32.5%42.8%33.5%3.0%0.5%-22.5M327.6M-2.5M2.5562.701,7154,37820,01956,975
2011-05-13$228.08$236.0034.7%9.9%32.4%49.1%35.0%2.3%-0.7%-20.2M346.0M-2.6M3.7463.216142,29621,29558,449
2011-05-16$225.56$236.0033.4%9.6%32.1%45.3%35.0%-1.5%0.9%-20.5M395.8M-2.5M1.8664.056051,12621,54659,520
2011-05-17$224.44$236.0033.1%9.5%31.3%44.2%32.8%4.2%0.7%-20.9M438.7M-2.5M42.8563.711496,38521,81559,782
2011-05-18$232.32$236.0031.7%9.1%34.0%39.9%32.2%5.2%0.8%-21.0M268.3M-2.5M0.2250.061,72838321,85459,570
2011-05-19$232.40$236.0030.0%8.6%32.4%34.8%30.8%4.0%1.6%-13.0M244.8M-2.5M8.0470.752672,14423,30259,104
2011-05-20$234.00$236.0031.4%9.0%32.5%40.2%31.8%5.8%0.9%-10.5M203.5M-2.4M3.9870.792541,01122,56060,035
2011-05-23$228.68$236.0032.8%9.4%33.2%44.7%33.6%4.9%-0.6%-15.4M209.5M-2.3M9.6717.427572117,19550,571
2011-05-24$232.24$236.0030.2%8.7%33.9%36.5%29.4%4.2%1.3%-16.4M169.4M-2.4M0.3629.4455119717,23850,884
2011-05-25$237.52$236.0029.3%8.4%35.1%33.8%29.9%5.5%-0.7%-16.3M98.0M-2.3M0.3726.7967024517,37851,040
2011-05-26$239.52$236.0027.1%7.8%35.3%26.8%27.9%3.2%0.9%-15.1M50.8M-2.1M98.1728.13848,27118,01551,188
2011-05-27$240.84$236.0026.5%7.6%34.5%25.0%28.2%2.9%2.8%-13.1M18.5M-2.1M20.3724.951773,61018,07250,701
2011-05-31$243.60$236.0027.9%8.0%34.4%29.4%29.9%2.1%1.3%-15.1M2.2M-2.1M2.7926.3519755018,16153,137