XOP Options History — December 2011

In December 2011, XOP traded between $194.44 and $225.44. ATM implied volatility averaged 43.6%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 5.7% (HV 20d: 49.3%). 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 18 of 21 days. Put/call ratio averaged 15.87.

Notable Days

  • 2011-12-14: Highest Volume — 32,295 contracts
  • 2011-12-09: Largest IV drop — 19.3% change
  • 2011-12-13: Highest IV Rank — 58.3%
  • 2011-12-08: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.78$194.44$225.44$219.36$210.76
Max Pain$211.43$208.00$220.00$220.00$208.00
ATM IV43.6%34.6%53.1%46.0%37.4%
Expected Move12.3%9.9%14.2%13.2%10.7%
HV 20d49.3%42.1%54.3%50.9%42.1%
HV 60d55.3%50.2%58.1%56.3%50.2%
IV Rank42.3%27.0%58.3%46.3%31.7%
IV Percentile68.2%57.1%85.7%71.0%59.5%
Term Structure2.0%-1.9%4.5%-0.8%4.4%
VWIV46.2%37.7%52.8%51.0%39.7%
Skew 25d10.2%7.5%12.8%11.2%7.5%
Skew 10d20.4%15.6%24.2%22.9%15.6%
Call IV 25d38.4%31.6%43.7%41.7%34.7%
Put IV 25d48.6%39.2%56.6%52.9%42.2%
Bid-Ask Spread %12.088.2019.0612.569.11
Gamma HHI0.190.080.780.080.20
Net GEX-29.6M-121.5M-16.5M-22.5M-21.1M
Net DEX304.1M-10.4M1.01B138.7M196.6M
Net VEX-1.9M-2.6M-1.7M-2.3M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.871.23121.4735.494.86
Total Volume7,081.61942632,29516,684426
Total OI120,407.85767,056169,333142,29382,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$219.36$220.0046.0%13.2%50.9%46.3%51.0%11.2%-0.8%-22.5M138.7M-2.3M35.4912.5645716,22735,489106,804
2011-12-02$221.28$220.0046.9%13.5%49.9%47.9%52.8%10.9%-1.9%-21.3M149.0M-2.6M5.0913.531,4587,41635,793111,969
2011-12-05$224.16$212.0047.9%13.0%49.9%49.5%52.5%12.7%0.8%-20.1M66.9M-2.3M18.3617.0055910,26636,655113,898
2011-12-06$225.44$212.0046.5%13.0%49.9%47.1%50.4%12.2%1.1%-16.5M-10.4M-2.1M2.1312.7745496536,828110,063
2011-12-07$221.68$212.0048.5%13.3%50.1%50.6%52.3%12.2%0.5%-20.1M78.2M-2.1M7.0211.326374,47336,943110,296
2011-12-08$211.48$212.0052.5%14.2%46.8%57.3%50.4%12.8%-0.5%-31.0M380.9M-2.2M4.1819.066312,63737,078113,355
2011-12-09$219.16$212.0042.4%12.8%47.9%40.2%48.9%11.6%2.0%-26.5M146.2M-2.0M2.0318.361,0612,15237,271114,362
2011-12-12$211.36$212.0050.0%13.7%49.0%53.1%49.4%12.1%0.7%-35.3M371.0M-1.9M19.6611.354518,87338,045114,773
2011-12-13$205.64$212.0053.1%13.7%49.5%58.3%47.7%11.7%0.7%-43.1M573.5M-1.9M4.6812.925012,34638,163119,768
2011-12-14$196.76$212.0051.4%14.0%51.1%55.5%49.1%11.4%1.2%-40.3M836.3M-1.7M38.1112.0982631,46938,328117,189
2011-12-15$196.68$212.0048.3%13.9%51.1%50.2%49.2%10.9%1.2%-50.2M1.01B-1.8M1.2315.334,0104,94238,632130,701
2011-12-16$200.36$212.0044.3%12.7%49.9%43.5%47.4%10.8%2.5%-121.5M784.1M-1.8M7.9910.476675,32938,083126,064
2011-12-19$194.44$212.0043.9%12.6%50.8%42.8%48.4%10.3%2.3%-17.7M337.9M-1.7M11.9111.834575,44515,31151,745
2011-12-20$204.80$212.0038.7%11.1%54.2%34.0%41.7%9.0%3.2%-19.4M239.6M-1.7M4.929.361,1465,63215,44756,087
2011-12-21$207.96$208.0036.6%10.5%54.3%30.4%42.5%8.2%3.7%-18.4M195.1M-1.8M20.369.263136,36416,26158,051
2011-12-22$211.40$208.0034.8%10.0%51.6%27.4%37.7%8.1%4.0%-17.9M159.3M-1.7M6.429.572081,33316,48360,228
2011-12-23$211.36$208.0034.6%9.9%51.0%27.0%42.2%7.6%4.5%-18.0M159.1M-1.8M121.478.2011413,78716,60160,624
2011-12-27$213.56$208.0036.0%10.3%46.4%29.4%40.0%7.6%3.6%-18.3M147.8M-1.8M1.9810.1016131916,60363,447
2011-12-28$208.04$208.0038.6%11.1%47.1%33.7%38.8%8.3%3.9%-21.2M226.9M-1.8M3.5710.726242,23116,70663,612
2011-12-29$210.68$208.0037.4%10.7%42.1%31.8%38.2%8.1%4.4%-20.7M199.6M-1.8M11.768.791061,24117,01965,204
2011-12-30$210.76$208.0037.4%10.7%42.1%31.7%39.7%7.5%4.4%-21.1M196.6M-1.8M4.869.117335317,03265,554