XOP Options History — July 2011

In July 2011, XOP traded between $233.68 and $260.84. ATM implied volatility averaged 30.2%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 1.8% (HV 20d: 32.0%). Max pain ranged from $228.00 to $260.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 18.50.

Notable Days

  • 2011-07-20: Highest Volume — 25,006 contracts
  • 2011-07-11: Largest IV spike — 39.5% change
  • 2011-07-28: Highest IV Rank — 100.0%
  • 2011-07-29: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$247.03$233.68$260.84$238.60$248.80
Max Pain$246.00$228.00$260.00$232.00$260.00
ATM IV30.2%22.8%38.7%25.3%38.7%
Expected Move9.0%7.3%11.1%7.3%11.1%
HV 20d32.0%28.0%36.2%31.5%33.6%
HV 60d31.8%29.5%33.3%30.6%31.8%
IV Rank66.0%23.7%100.0%30.0%100.0%
IV Percentile72.8%19.4%100.0%41.3%100.0%
Term Structure0.8%-1.9%4.2%4.2%-1.9%
VWIV32.8%27.5%39.3%27.5%39.3%
Skew 25d5.5%4.0%7.4%4.6%6.4%
Skew 10d11.8%9.2%17.0%14.5%14.4%
Call IV 25d29.0%23.8%36.0%23.8%36.0%
Put IV 25d34.5%28.4%42.3%28.4%42.3%
Bid-Ask Spread %17.5211.0822.2222.2221.49
Gamma HHI0.130.090.380.110.10
Net GEX-15.1M-27.9M23.8M-14.5M-24.9M
Net DEX82.6M-93.3M259.6M95.0M223.5M
Net VEX-2.6M-2.9M-2.3M-2.7M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.500.27203.551.910.63
Total Volume5,546.7588225,0062,2675,236
Total OI89,456.0574,512101,95689,62293,692

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$238.60$232.0025.3%7.3%31.5%30.0%27.5%4.6%4.2%-14.5M95.0M-2.7M1.9122.227791,48820,39369,229
2011-07-05$241.32$228.0026.6%8.4%28.4%35.8%28.3%5.8%1.1%-9.5M27.3M-2.5M0.2716.6884923321,01770,157
2011-07-06$240.84$228.0026.3%8.4%28.5%43.4%33.6%6.0%1.6%-11.6M41.3M-2.5M15.0317.672343,51321,02269,942
2011-07-07$245.12$236.0023.5%8.0%28.9%27.6%30.6%4.9%0.9%-3.9M-38.2M-2.4M1.8414.648791,61521,07672,230
2011-07-08$242.72$236.0022.8%8.0%28.8%23.7%31.4%5.5%1.2%-7.0M10.1M-2.5M203.5518.818817,96321,33670,886
2011-07-11$233.92$236.0031.8%9.0%31.5%74.5%30.9%5.6%0.7%-27.9M259.6M-2.9M4.2219.374962,09421,37280,584
2011-07-12$234.36$236.0029.2%9.0%29.1%62.6%33.0%5.4%0.6%-20.8M177.6M-2.5M2.0818.075081,05521,75469,694
2011-07-13$238.00$236.0027.0%8.9%28.1%49.7%32.1%6.1%0.7%-12.8M99.7M-2.5M11.3314.93971,09621,91869,935
2011-07-14$233.68$240.0033.3%9.5%28.0%86.2%34.8%6.0%0.3%-21.7M182.2M-2.5M1.6117.5233854421,94970,745
2011-07-15$248.60$236.0033.8%9.7%34.8%89.5%34.5%7.4%0.8%23.8M-93.3M-2.4M3.5720.772,3478,38722,08671,047
2011-07-18$246.40$248.0032.1%9.2%35.1%80.7%35.9%5.6%1.1%-14.1M75.5M-2.5M3.6811.087322,69216,33858,174
2011-07-19$254.60$248.0030.5%8.8%36.2%71.3%30.4%5.1%1.7%-11.5M-14.9M-2.3M54.9018.9726414,48116,37858,221
2011-07-20$255.96$260.0030.9%8.9%34.7%73.5%32.2%5.0%1.5%-20.2M82.4M-2.8M35.0616.0669424,31216,48171,944
2011-07-21$259.16$260.0030.9%8.9%34.6%73.5%31.5%4.6%1.2%-16.8M19.4M-2.5M19.2815.363126,01616,99164,878
2011-07-22$260.84$260.0029.1%8.3%34.2%62.8%32.8%4.4%2.0%-19.6M25.4M-2.6M1.7115.701,2172,08717,21868,327
2011-07-25$259.40$260.0030.2%8.7%33.2%69.4%31.7%5.0%1.2%-20.2M38.3M-2.6M2.3415.965921,38218,28669,950
2011-07-26$257.64$260.0030.4%8.7%33.5%70.5%30.0%4.0%-0.8%-20.6M54.8M-2.6M1.6117.6941066118,74871,166
2011-07-27$251.28$260.0034.5%9.9%34.2%95.1%35.5%6.1%-0.4%-23.7M178.8M-2.9M0.7521.072,0621,54119,13271,679
2011-07-28$249.44$260.0037.7%10.8%33.6%100.0%39.0%5.9%-1.3%-24.2M207.1M-2.9M4.6216.332921,34920,51072,636
2011-07-29$248.80$260.0038.7%11.1%33.6%100.0%39.3%6.4%-1.9%-24.9M223.5M-2.9M0.6321.493,2072,02920,62973,063