XOP Options History — June 2011

In June 2011, XOP traded between $218.84 and $235.52. ATM implied volatility averaged 31.7%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.1% (HV 20d: 30.7%). Max pain ranged from $232.00 to $244.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 8.36.

Notable Days

  • 2011-06-27: Highest Volume — 9,613 contracts
  • 2011-06-30: Largest IV drop — 11.6% change
  • 2011-06-17: Highest IV Rank — 66.1%
  • 2011-06-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.20$218.84$235.52$235.52$235.12
Max Pain$235.27$232.00$244.00$236.00$232.00
ATM IV31.7%26.9%34.8%30.5%26.9%
Expected Move9.1%7.7%10.0%8.7%7.7%
HV 20d30.7%27.7%34.2%34.2%31.1%
HV 60d29.3%28.6%30.6%29.6%30.6%
IV Rank50.7%35.3%66.1%37.4%35.3%
IV Percentile81.0%56.7%95.2%75.0%56.7%
Term Structure0.7%-2.8%3.1%-0.9%3.1%
VWIV32.9%28.7%35.9%30.9%28.7%
Skew 25d4.8%1.1%5.9%1.1%4.2%
Skew 10d9.0%-0.7%11.9%-0.7%7.7%
Call IV 25d30.0%25.6%33.3%29.8%25.6%
Put IV 25d34.7%29.8%38.0%31.0%29.8%
Bid-Ask Spread %16.5710.2926.5624.3626.56
Gamma HHI0.120.090.410.120.11
Net GEX-15.6M-23.3M26.1M-16.8M-17.4M
Net DEX282.3M98.1M493.6M98.1M147.7M
Net VEX-2.4M-2.8M-2.1M-2.1M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.361.0045.611.005.78
Total Volume4,135.5913939,6138,5113,542
Total OI81,567.86466,69997,05271,85888,720

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$235.52$236.0030.5%8.7%34.2%37.4%30.9%1.1%-0.9%-16.8M98.1M-2.1M1.0024.364,2474,26418,29253,566
2011-06-02$234.80$244.0030.7%8.8%32.2%38.2%32.7%4.3%-1.4%-18.3M155.2M-2.3M7.1925.996304,52622,30856,970
2011-06-03$233.88$240.0030.4%8.5%31.2%37.2%32.5%5.8%1.1%-20.3M193.6M-2.5M4.6313.012241,03922,21757,969
2011-06-06$225.56$240.0033.9%9.9%33.6%48.2%35.6%4.8%-2.8%-16.8M302.2M-2.3M4.3014.833211,37922,30055,733
2011-06-07$226.28$240.0031.1%9.1%31.4%43.8%34.6%5.6%1.8%-18.2M294.4M-2.3M3.0411.242,2156,72322,46656,229
2011-06-08$225.96$240.0033.4%9.5%31.0%51.7%32.0%5.9%0.0%-17.4M311.8M-2.5M6.7111.701931,29324,54861,473
2011-06-09$229.84$240.0030.3%8.7%27.7%47.6%30.4%4.5%1.5%-21.3M258.6M-2.5M1.2612.4817421924,66362,318
2011-06-10$226.20$240.0032.1%9.2%28.1%54.9%32.6%5.0%0.9%-18.8M322.1M-2.4M1.3210.293,5484,67024,78862,432
2011-06-13$219.36$240.0033.7%9.7%30.0%61.6%34.0%4.6%0.9%-18.0M493.6M-2.3M1.1714.242,6273,08027,83765,273
2011-06-14$225.28$232.0031.6%9.1%31.4%53.1%31.6%4.8%1.7%-16.7M353.5M-2.4M7.9410.711941,53828,93665,379
2011-06-15$220.80$232.0034.3%9.8%32.2%63.9%34.8%4.5%0.4%-11.3M457.5M-2.3M7.3614.513312,43729,04764,902
2011-06-16$220.40$232.0034.8%10.0%29.4%65.7%35.9%5.0%0.8%-8.9M456.8M-2.3M7.6717.967365,64929,22264,652
2011-06-17$219.64$232.0034.8%10.0%29.3%66.1%35.6%4.7%0.7%26.1M489.6M-2.4M2.2915.5420346629,48267,570
2011-06-20$218.84$232.0033.5%9.6%29.1%60.7%35.1%5.5%0.7%-16.8M272.5M-2.3M4.8114.682091,00517,55749,142
2011-06-21$226.64$232.0030.0%8.6%31.1%46.6%34.6%5.3%1.4%-15.1M180.1M-2.3M35.1114.431435,00417,68849,545
2011-06-22$226.28$232.0029.4%8.4%30.6%43.8%31.8%4.4%1.4%-17.4M196.2M-2.4M2.7718.4717247617,76252,793
2011-06-23$224.64$232.0030.4%8.7%29.3%48.2%30.3%4.8%-1.8%-17.0M216.8M-2.3M12.4018.582372,93217,90151,254
2011-06-24$220.48$232.0032.5%9.3%29.5%56.4%34.3%4.3%0.0%-19.1M264.4M-2.3M12.2716.353944,83318,04552,724
2011-06-27$220.32$232.0032.5%9.3%29.3%56.6%33.6%4.4%1.1%-23.3M304.3M-2.4M45.6117.592069,40718,37957,265
2011-06-28$227.40$232.0030.6%8.8%31.6%48.7%32.5%5.9%1.9%-22.7M276.6M-2.7M4.4920.474812,15918,52364,111
2011-06-29$233.16$232.0030.4%8.7%31.0%49.5%30.5%5.7%2.1%-17.6M164.9M-2.6M4.8720.591,1675,69018,95063,562
2011-06-30$235.12$232.0026.9%7.7%31.1%35.3%28.7%4.2%3.1%-17.4M147.7M-2.8M5.7826.565223,02019,94068,780