XOP Options History — October 2011

In October 2011, XOP traded between $159.96 and $227.60. ATM implied volatility averaged 54.4%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 7.6% (HV 20d: 62.0%). Max pain ranged from $200.00 to $212.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 7.47.

Notable Days

  • 2011-10-18: Highest Volume — 34,458 contracts
  • 2011-10-31: Largest IV spike — 17.4% change
  • 2011-10-03: Highest IV Rank — 93.4%
  • 2011-10-03: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.18$159.96$227.60$159.96$215.40
Max Pain$204.76$200.00$212.00$212.00$208.00
ATM IV54.4%43.7%73.9%73.9%51.3%
Expected Move15.8%12.5%21.2%21.2%14.7%
HV 20d62.0%55.4%68.9%55.8%55.4%
HV 60d62.4%59.4%65.5%59.4%63.7%
IV Rank60.4%42.4%93.4%93.4%55.2%
IV Percentile89.9%76.6%99.6%99.6%86.1%
Term Structure-0.3%-4.5%2.5%-4.5%-0.1%
VWIV57.2%46.8%72.9%72.9%51.6%
Skew 25d12.4%9.5%14.5%13.9%10.1%
Skew 10d23.3%18.4%25.8%24.0%18.4%
Call IV 25d49.4%39.6%67.1%67.1%46.7%
Put IV 25d61.9%49.2%81.0%81.0%56.8%
Bid-Ask Spread %8.875.9712.5912.2512.59
Gamma HHI0.070.060.090.090.07
Net GEX-10.3M-15.9M-4.8M-8.6M-10.2M
Net DEX206.6M-97.0M500.8M500.8M84.4M
Net VEX-2.5M-2.8M-1.4M-1.4M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.470.7923.123.5915.49
Total Volume12,853.0951,70834,45830,71416,447
Total OI121,337.33381,352136,93781,352122,873

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$159.96$212.0073.9%21.2%55.8%93.4%72.9%13.9%-4.5%-8.6M500.8M-1.4M3.5912.256,69724,01728,71252,640
2011-10-04$168.88$212.0066.2%19.0%60.6%80.5%68.8%11.7%-1.1%-11.5M492.2M-2.0M1.3410.429,16212,28334,64267,331
2011-10-05$175.88$212.0060.8%17.4%59.1%71.2%62.4%12.0%0.1%-12.5M420.7M-2.2M2.7910.837,00819,56035,14473,543
2011-10-06$179.60$208.0058.0%16.6%60.0%66.5%62.9%10.7%1.8%-13.6M405.9M-2.7M2.907.323,0768,91139,77689,797
2011-10-07$175.36$200.0056.0%17.1%59.4%63.2%60.1%13.4%0.0%-15.9M491.1M-2.5M4.558.198954,06937,89590,705
2011-10-10$188.20$200.0053.0%16.6%65.5%58.1%57.5%12.7%0.2%-14.1M327.1M-2.6M0.799.498,5336,75437,84392,213
2011-10-11$189.32$200.0052.0%16.0%65.4%56.5%54.7%12.7%0.9%-14.4M318.1M-2.5M16.138.9267810,94337,03492,612
2011-10-12$192.04$200.0049.3%15.2%65.4%51.8%56.7%11.9%0.4%-13.4M270.4M-2.5M8.469.479568,08836,80788,406
2011-10-13$192.60$200.0053.0%15.2%64.6%58.2%54.8%11.7%0.3%-13.7M279.4M-2.5M3.417.314441,51436,83292,758
2011-10-14$203.40$200.0049.7%14.3%67.9%52.6%52.1%11.2%0.0%-8.7M110.4M-2.5M10.477.946727,03636,52292,476
2011-10-17$200.60$200.0055.0%15.8%67.6%61.4%55.0%12.5%-1.0%-9.3M137.8M-2.4M2.657.041,1803,12636,46289,888
2011-10-18$208.48$204.0053.9%15.4%68.9%59.6%57.9%13.7%-1.4%-5.3M36.1M-2.4M17.675.971,84532,61336,31291,396
2011-10-19$204.68$204.0057.0%16.4%67.4%65.0%59.6%13.3%-1.6%-10.0M151.2M-2.7M1.216.782,0922,52237,16099,777
2011-10-20$205.04$204.0058.6%16.8%60.6%67.5%58.6%14.0%-1.9%-9.1M134.9M-2.7M2.107.975511,15738,55394,270
2011-10-21$211.20$204.0053.0%15.2%60.3%58.1%51.2%13.3%-1.1%-8.1M42.8M-2.6M4.656.941,5667,27938,59793,957
2011-10-24$216.28$204.0048.9%14.0%59.6%51.3%52.6%13.0%0.0%-4.8M7.1M-2.6M17.188.6291215,66933,41474,390
2011-10-25$206.76$204.0053.6%15.4%61.8%59.2%56.6%14.5%-1.0%-9.6M187.6M-2.8M7.946.871,2339,79033,50380,630
2011-10-26$213.04$208.0050.3%14.4%57.8%53.6%55.0%14.0%0.4%-10.8M133.8M-2.8M23.1210.151423,28333,35983,641
2011-10-27$227.60$208.0044.2%12.7%61.0%43.3%53.9%11.3%1.6%-6.7M-95.8M-2.6M9.3310.851,65115,41033,37484,614
2011-10-28$227.56$208.0043.7%12.5%58.0%42.4%46.8%9.5%2.5%-6.0M-97.0M-2.6M1.1410.294,7465,40534,13284,094
2011-10-31$215.40$208.0051.3%14.7%55.4%55.2%51.6%10.1%-0.1%-10.2M84.4M-2.8M15.4912.5999815,44935,69587,178