XOP Options History — August 2011

In August 2011, XOP traded between $188.48 and $249.64. ATM implied volatility averaged 50.4%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 14.7% (HV 20d: 65.1%). Max pain ranged from $248.00 to $260.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 5.53.

Notable Days

2011-08-08: Highest Volume — 50,213 contracts
2011-08-04: Largest IV spike — 50.8% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$209.96	$188.48	$249.64	$249.64	$214.68
Max Pain	$249.91	$248.00	$260.00	$260.00	$248.00
ATM IV	50.4%	35.9%	77.8%	36.6%	44.4%
Expected Move	14.0%	10.3%	18.9%	10.5%	12.7%
HV 20d	65.1%	33.3%	80.0%	33.3%	79.4%
HV 60d	45.9%	31.5%	52.8%	31.5%	52.4%
IV Rank	65.0%	37.6%	100.0%	89.6%	43.6%
IV Percentile	97.7%	93.7%	100.0%	99.2%	93.7%
Term Structure	-3.8%	-13.5%	-0.4%	-1.7%	-0.5%
VWIV	50.7%	36.8%	66.1%	39.8%	50.0%
Skew 25d	11.5%	2.6%	15.8%	5.0%	9.7%
Skew 10d	23.0%	4.8%	37.3%	10.5%	20.7%
Call IV 25d	44.3%	34.8%	58.4%	34.8%	41.0%
Put IV 25d	55.8%	39.1%	71.1%	39.8%	50.6%
Bid-Ask Spread %	16.92	11.83	25.21	17.06	15.07
Gamma HHI	0.10	0.09	0.12	0.11	0.10
Net GEX	-34.7M	-52.8M	-23.8M	-25.0M	-36.4M
Net DEX	964.7M	195.2M	1.46B	195.2M	677.4M
Net VEX	-2.8M	-3.2M	-2.2M	-2.8M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.53	1.13	20.53	2.35	3.48
Total Volume	10,062.391	2,121	50,213	2,278	2,164
Total OI	123,375.391	93,769	142,225	93,769	121,956

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$249.64	$260.00	36.6%	10.5%	33.3%	89.6%	39.8%	5.0%	-1.7%	-25.0M	195.2M	-2.8M	2.35	17.06	680	1,598	20,895	72,874
2011-08-02	$239.84	$260.00	37.8%	10.8%	36.3%	95.6%	37.7%	2.6%	-2.1%	-28.6M	369.8M	-2.9M	3.19	20.34	1,205	3,841	21,105	73,368
2011-08-03	$238.92	$260.00	35.9%	10.3%	36.3%	86.1%	36.8%	4.4%	-0.4%	-32.4M	426.5M	-2.9M	3.83	19.93	1,918	7,343	22,525	75,687
2011-08-04	$219.04	$256.00	54.2%	15.5%	46.9%	100.0%	51.7%	6.9%	-11.3%	-27.7M	738.3M	-2.7M	14.03	25.21	2,713	38,045	22,179	76,312
2011-08-05	$212.44	$248.00	53.3%	13.8%	47.7%	97.5%	48.1%	11.2%	-3.6%	-36.2M	1.05B	-3.2M	7.85	23.84	1,692	13,274	23,947	97,366
2011-08-08	$188.48	$248.00	77.8%	18.9%	61.6%	100.0%	61.1%	12.7%	-13.5%	-23.8M	1.36B	-2.5M	10.79	17.57	4,261	45,952	24,551	104,479
2011-08-09	$199.32	$248.00	60.0%	15.3%	65.9%	69.9%	56.4%	15.8%	-5.1%	-39.5M	1.46B	-3.0M	4.77	25.03	4,396	20,971	22,519	119,638
2011-08-10	$195.64	$248.00	72.0%	17.2%	65.4%	90.3%	66.1%	15.8%	-6.0%	-33.8M	1.41B	-2.9M	1.99	18.74	1,523	3,032	22,936	116,817
2011-08-11	$210.28	$248.00	49.7%	14.2%	71.5%	52.5%	55.3%	14.0%	-5.9%	-43.4M	1.18B	-3.2M	1.57	13.41	4,397	6,883	23,624	115,074
2011-08-12	$211.00	$248.00	46.2%	13.3%	67.1%	46.7%	46.9%	12.6%	-4.2%	-44.5M	1.14B	-3.2M	17.20	13.15	197	3,384	25,414	113,640
2011-08-15	$220.08	$248.00	40.9%	11.7%	69.4%	37.6%	44.5%	10.6%	-1.5%	-52.8M	947.7M	-3.2M	3.93	14.50	1,143	4,493	25,491	114,520
2011-08-16	$211.92	$248.00	46.1%	13.2%	68.7%	46.4%	54.3%	11.0%	-2.6%	-47.3M	1.11B	-3.1M	20.53	19.55	404	8,294	26,198	113,059
2011-08-17	$213.52	$248.00	44.0%	12.6%	68.8%	43.0%	44.5%	9.8%	-2.3%	-50.6M	1.09B	-3.0M	2.41	11.83	671	1,620	26,204	116,021
2011-08-18	$198.52	$248.00	55.3%	15.9%	71.9%	62.0%	56.4%	14.7%	-8.1%	-32.8M	1.30B	-2.6M	4.61	14.89	1,571	7,240	26,626	110,947
2011-08-19	$194.72	$248.00	54.2%	15.5%	71.5%	60.1%	54.1%	13.8%	-6.0%	-28.3M	1.36B	-2.5M	4.78	15.31	975	4,661	27,178	111,583
2011-08-22	$188.56	$248.00	58.4%	16.7%	71.7%	67.2%	54.9%	13.4%	-3.6%	-24.5M	1.05B	-2.2M	2.85	15.44	2,710	7,735	20,244	90,128
2011-08-23	$198.68	$248.00	49.2%	14.1%	75.6%	51.7%	53.8%	14.0%	-0.8%	-30.2M	983.5M	-2.5M	2.66	13.59	733	1,946	22,150	93,419
2011-08-24	$200.52	$248.00	49.5%	14.2%	75.9%	52.2%	47.2%	13.5%	-0.9%	-31.6M	955.1M	-2.5M	2.15	12.59	2,369	5,098	22,645	93,819
2011-08-25	$195.80	$248.00	55.1%	15.8%	76.0%	61.7%	56.0%	14.1%	-4.4%	-28.0M	994.2M	-2.5M	1.13	15.05	1,302	1,472	24,588	94,550
2011-08-26	$201.76	$248.00	49.7%	14.3%	77.4%	52.6%	49.1%	14.9%	-1.2%	-31.5M	943.9M	-2.5M	2.73	18.64	777	2,119	25,002	94,828
2011-08-29	$211.48	$248.00	45.6%	13.1%	80.0%	45.7%	53.7%	12.7%	-1.0%	-34.6M	752.5M	-2.6M	3.41	13.90	481	1,640	25,257	95,506
2011-08-30	$214.20	$248.00	44.3%	12.7%	79.4%	43.4%	48.2%	11.8%	-0.4%	-35.5M	695.3M	-2.6M	4.88	14.59	427	2,085	25,335	95,430
2011-08-31	$214.68	$248.00	44.4%	12.7%	79.4%	43.6%	50.0%	9.7%	-0.5%	-36.4M	677.4M	-2.6M	3.48	15.07	483	1,681	25,415	96,541