XOP Options History — November 2011

In November 2011, XOP traded between $192.56 and $230.24. ATM implied volatility averaged 51.3%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 3.2% (HV 20d: 54.5%). Max pain ranged from $208.00 to $220.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.48.

Notable Days

  • 2011-11-23: Highest Volume — 31,875 contracts
  • 2011-11-09: Largest IV spike — 27.9% change
  • 2011-11-01: Highest IV Rank — 65.2%
  • 2011-11-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$215.02$192.56$230.24$207.92$220.68
Max Pain$217.90$208.00$220.00$208.00$220.00
ATM IV51.3%44.6%57.2%57.2%44.9%
Expected Move14.8%12.9%16.4%16.4%12.9%
HV 20d54.5%47.6%58.3%56.1%53.5%
HV 60d56.4%54.1%59.1%59.1%57.3%
IV Rank55.3%44.0%65.2%65.2%44.3%
IV Percentile83.9%70.2%93.7%93.7%70.2%
Term Structure-2.0%-4.1%1.1%-1.4%0.4%
VWIV55.0%48.8%63.7%63.7%54.1%
Skew 25d13.9%10.7%16.8%14.0%10.7%
Skew 10d26.4%21.9%29.8%26.3%22.9%
Call IV 25d45.3%40.2%51.4%51.4%40.2%
Put IV 25d59.2%50.9%65.4%65.4%50.9%
Bid-Ask Spread %11.219.2113.2512.9611.44
Gamma HHI0.090.070.260.070.08
Net GEX-21.4M-44.6M-10.4M-16.6M-22.2M
Net DEX248.7M-88.9M1.03B327.1M97.3M
Net VEX-2.8M-3.3M-2.2M-3.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.480.2927.366.4012.89
Total Volume6,8001,04931,8759,66223,018
Total OI141,814.714128,996166,627132,102141,407

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$207.92$208.0057.2%16.4%56.1%65.2%63.7%14.0%-1.4%-16.6M327.1M-3.1M6.4012.961,3068,35635,24096,862
2011-11-02$218.00$208.0054.9%15.7%56.6%61.3%58.3%14.5%-1.6%-15.5M164.2M-3.2M2.8113.252,1796,12836,087102,579
2011-11-03$224.32$212.0051.5%14.8%56.9%55.5%54.3%12.7%1.1%-14.2M62.3M-3.3M5.999.217164,29236,716105,870
2011-11-04$227.48$216.0048.2%14.6%55.4%50.0%56.4%14.0%-3.0%-12.9M-9.8M-3.1M2.4710.385521,36636,878105,486
2011-11-07$227.92$216.0049.4%14.5%51.1%52.0%54.5%16.0%-2.7%-11.6M-33.2M-2.9M1.899.361,4912,81937,144101,072
2011-11-08$230.24$216.0044.6%13.7%51.1%44.0%51.0%14.9%-1.9%-10.4M-88.9M-2.8M10.529.224184,40137,921102,758
2011-11-09$215.04$220.0057.1%16.0%58.0%65.0%60.5%16.2%-4.1%-17.0M224.5M-3.1M4.3312.349053,92237,875103,603
2011-11-10$220.00$220.0052.6%15.1%58.3%57.4%61.0%15.9%-3.2%-15.3M128.0M-3.0M3.1412.3328890538,182104,122
2011-11-11$224.12$220.0050.6%14.5%55.8%54.0%57.5%16.8%-2.3%-13.1M35.6M-2.9M10.769.601,05911,39138,211104,168
2011-11-14$220.24$220.0052.1%14.9%55.9%56.6%56.2%15.9%-2.9%-19.6M133.4M-2.8M4.7910.8318186838,813108,258
2011-11-15$223.12$220.0049.9%14.3%54.6%52.8%52.0%15.7%-2.5%-16.6M47.9M-2.7M5.819.734932,86238,801106,987
2011-11-16$220.44$220.0050.4%14.4%54.3%53.7%52.0%15.3%-2.4%-16.5M87.7M-2.7M3.0611.678942,73738,931104,969
2011-11-17$211.32$220.0053.0%15.2%56.7%58.2%54.7%14.6%-2.6%-27.8M323.1M-2.7M1.9912.661,1212,23339,138106,772
2011-11-18$211.00$220.0048.3%13.8%55.7%50.2%51.7%12.6%-0.7%-44.6M340.0M-2.6M18.0810.184107,40339,580107,228
2011-11-21$207.00$220.0051.1%14.6%55.4%54.9%57.6%13.2%-2.0%-21.8M392.8M-2.4M3.4811.661,3754,77934,01694,980
2011-11-22$205.16$220.0050.1%14.4%53.1%53.2%51.9%11.1%-1.1%-22.9M418.2M-2.4M7.2310.915163,72834,09795,931
2011-11-23$195.76$220.0053.3%15.3%54.3%58.6%52.2%12.2%-1.7%-23.3M583.8M-2.2M27.3612.721,12430,75134,13995,381
2011-11-25$192.56$220.0054.9%15.7%47.6%61.3%54.4%11.8%-2.2%-43.8M1.03B-2.8M2.0810.3436175034,522132,105
2011-11-28$204.92$220.0053.2%15.2%53.8%58.4%51.6%12.7%-2.0%-32.1M520.9M-2.4M0.7413.081,6481,21234,436111,095
2011-11-29$208.16$220.0050.3%14.4%50.9%53.6%48.8%11.4%-2.1%-32.5M436.3M-2.4M0.2911.471,42541734,523111,226
2011-11-30$220.68$220.0044.9%12.9%53.5%44.3%54.1%10.7%0.4%-22.2M97.3M-2.2M12.8911.441,65721,36135,137106,270