XOP Options History — September 2011

In September 2011, XOP traded between $171.44 and $213.88. ATM implied volatility averaged 54.0%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 0.9% (HV 20d: 53.1%). Max pain ranged from $204.00 to $248.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.80.

Notable Days

  • 2011-09-06: Highest Volume — 12,563 contracts
  • 2011-09-28: Largest IV spike — 15.1% change
  • 2011-09-30: Highest IV Rank — 79.2%
  • 2011-09-30: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.85$171.44$213.88$211.52$171.44
Max Pain$212.76$204.00$248.00$248.00$212.00
ATM IV54.0%45.6%65.5%45.6%65.5%
Expected Move15.5%13.1%18.8%13.1%18.8%
HV 20d53.1%42.0%73.8%73.5%52.3%
HV 60d54.6%52.5%58.0%52.5%58.0%
IV Rank59.8%45.6%79.2%45.6%79.2%
IV Percentile95.9%91.3%99.2%93.7%99.2%
Term Structure-1.9%-4.0%0.1%-1.1%-1.9%
VWIV56.5%46.6%68.3%46.6%63.9%
Skew 25d13.6%9.7%15.4%9.7%14.8%
Skew 10d25.2%18.5%30.4%18.5%25.9%
Call IV 25d48.0%41.5%58.1%42.2%58.1%
Put IV 25d61.6%51.9%72.9%51.9%72.9%
Bid-Ask Spread %12.257.0014.6214.6212.94
Gamma HHI0.110.070.380.100.08
Net GEX-23.1M-40.3M-5.6M-36.2M-9.1M
Net DEX591.1M140.2M974.7M738.2M427.0M
Net VEX-2.0M-2.5M-1.6M-2.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.800.9516.621.2610.14
Total Volume4,857.8164512,5636453,341
Total OI102,827.76259,531144,168122,26880,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$211.52$248.0045.6%13.1%73.5%45.6%46.6%9.7%-1.1%-36.2M738.2M-2.5M1.2614.6228536025,60996,659
2011-09-02$204.24$248.0050.1%14.4%73.8%53.2%48.9%12.1%-1.2%-34.1M897.7M-2.4M16.6213.164437,35425,68796,868
2011-09-06$202.92$204.0052.8%14.6%59.3%57.7%61.9%15.2%-2.7%-36.5M943.3M-2.3M14.9710.4378711,77625,863101,506
2011-09-07$213.88$204.0047.6%13.7%59.0%49.0%50.3%13.6%-1.6%-40.2M728.4M-2.5M5.897.005062,97725,981106,842
2011-09-08$210.20$204.0048.6%13.5%58.9%50.8%51.3%13.9%-2.5%-39.4M799.4M-2.4M1.8813.809271,74426,146106,128
2011-09-09$202.72$204.0054.8%15.6%54.6%61.1%59.2%15.1%-4.0%-38.2M958.1M-2.3M13.0611.504235,51726,777106,957
2011-09-12$202.76$204.0057.9%16.0%54.5%66.4%61.4%15.4%-4.0%-38.6M974.7M-2.1M1.4912.176911,02826,949106,295
2011-09-13$204.60$204.0053.2%15.6%52.2%58.4%59.0%14.4%-3.6%-40.3M933.0M-2.1M2.9212.791,0863,17326,991106,514
2011-09-14$207.32$204.0047.3%14.7%50.9%48.5%51.2%14.2%-3.7%-38.2M876.2M-2.0M1.2913.613,8404,96927,659107,639
2011-09-15$212.80$212.0048.4%13.9%51.7%50.3%60.9%12.3%-0.7%-33.2M712.0M-2.0M8.6611.589227,98030,437109,675
2011-09-16$212.00$212.0047.1%13.5%44.1%48.1%48.1%12.1%0.0%-29.5M774.4M-2.0M2.408.538912,13328,669115,499
2011-09-19$207.00$212.0049.6%14.2%44.5%52.3%50.6%12.1%-0.6%-5.6M140.2M-1.8M0.9713.5284681619,87739,654
2011-09-20$204.36$212.0049.0%14.0%42.9%51.4%48.4%11.9%-1.1%-6.0M157.6M-1.8M0.9513.7361658720,27140,053
2011-09-21$195.84$212.0054.5%15.6%42.0%60.7%53.4%13.0%-2.0%-6.6M220.5M-1.7M1.8713.233,6076,74420,60140,156
2011-09-22$181.32$212.0061.9%17.8%49.7%73.2%60.1%13.2%-2.1%-8.4M355.6M-1.8M2.9311.412,1076,18023,49545,975
2011-09-23$177.64$212.0063.4%18.2%49.6%75.6%63.6%15.4%-2.5%-8.7M383.5M-1.8M1.6011.138021,27924,99448,131
2011-09-26$184.44$212.0058.1%16.7%50.3%66.7%63.3%13.4%0.1%-9.2M347.5M-1.8M5.2213.255432,83125,21348,407
2011-09-27$190.04$212.0054.9%15.7%48.4%61.4%57.0%14.1%-0.8%-8.9M290.6M-1.9M2.9913.896051,81325,36048,203
2011-09-28$179.32$212.0063.2%18.1%51.3%75.4%68.3%14.4%-2.7%-8.9M366.6M-1.7M2.5712.871,3343,42525,66048,374
2011-09-29$178.56$212.0061.0%17.5%51.1%71.6%58.6%14.5%-1.2%-9.8M387.7M-1.8M1.1912.032,1572,56926,76850,743
2011-09-30$171.44$212.0065.5%18.8%52.3%79.2%63.9%14.8%-1.9%-9.1M427.0M-1.6M10.1412.943003,04128,53651,562