XOP Options History — January 2012

In January 2012, XOP traded between $210.68 and $227.00. ATM implied volatility averaged 33.9%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 0.3% (HV 20d: 33.6%). Max pain ranged from $208.00 to $216.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 9.20.

Notable Days

  • 2012-01-10: Highest Volume — 19,397 contracts
  • 2012-01-12: Largest IV spike — 18.8% change
  • 2012-01-12: Highest IV Rank — 32.2%
  • 2012-01-09: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$218.53$210.68$227.00$218.60$218.32
Max Pain$214.00$208.00$216.00$208.00$216.00
ATM IV33.9%30.0%37.7%34.9%34.1%
Expected Move10.0%8.6%11.2%10.0%9.8%
HV 20d33.6%24.7%44.2%44.2%28.7%
HV 60d46.3%40.9%50.5%50.5%40.9%
IV Rank24.7%17.3%32.2%27.5%24.0%
IV Percentile50.6%32.5%60.3%57.1%50.8%
Term Structure2.0%0.6%4.7%4.0%1.4%
VWIV37.4%31.4%48.7%37.1%35.8%
Skew 25d8.0%5.9%10.0%7.8%5.9%
Skew 10d16.5%11.8%20.5%15.4%11.8%
Call IV 25d31.9%27.7%34.6%32.7%32.1%
Put IV 25d39.8%34.7%44.7%40.5%38.0%
Bid-Ask Spread %11.657.9917.4412.3910.72
Gamma HHI0.160.120.210.180.13
Net GEX-19.4M-35.0M-12.4M-15.2M-17.7M
Net DEX146.5M65.2M322.8M73.7M167.6M
Net VEX-1.9M-2.2M-1.6M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.200.5151.2051.202.87
Total Volume4,930.542919,39711,328715
Total OI90,279.7566,434112,71682,68873,230

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$218.60$208.0034.9%10.0%44.2%27.5%37.1%7.8%4.0%-15.2M73.7M-1.6M51.2012.3921711,11117,05065,638
2012-01-04$221.16$208.0034.8%10.0%44.1%27.4%38.4%7.4%4.1%-16.5M76.5M-1.7M3.5113.2521776117,13870,894
2012-01-05$220.76$208.0033.9%9.7%44.1%25.8%40.1%7.4%4.7%-17.2M84.2M-1.7M25.8017.441323,40617,13371,076
2012-01-06$218.36$212.0032.5%11.0%43.8%23.4%43.3%10.0%0.6%-19.2M114.1M-1.7M2.5313.6237594717,19073,136
2012-01-09$217.28$212.0034.5%11.2%40.3%26.9%48.7%10.0%0.6%-20.1M116.9M-1.6M7.3610.481,1618,54817,39473,052
2012-01-10$220.24$212.0031.3%10.7%38.6%21.5%42.8%9.6%1.2%-20.1M112.1M-1.8M24.0610.9177418,62318,49280,068
2012-01-11$216.24$212.0031.7%10.8%36.8%22.2%38.7%9.4%1.3%-25.4M199.1M-2.1M8.1712.301,0988,96618,94984,759
2012-01-12$214.28$216.0037.7%10.8%35.5%32.2%39.0%9.2%1.3%-27.4M237.5M-2.2M3.1412.633481,09319,80190,364
2012-01-13$210.68$216.0037.7%10.8%31.9%30.7%38.0%9.2%1.6%-35.0M322.8M-2.2M2.7214.291,8164,93620,00392,050
2012-01-17$213.04$216.0036.5%10.5%32.0%28.6%37.3%8.6%2.2%-31.3M254.3M-2.0M1.5713.201,4592,29318,96290,600
2012-01-18$218.12$216.0036.4%10.4%32.3%28.3%37.3%8.7%0.8%-19.7M147.1M-1.9M0.517.993,1271,59219,73590,773
2012-01-19$216.48$216.0035.4%10.2%30.1%26.7%35.5%8.2%2.0%-18.3M150.8M-1.9M1.089.979911,06720,73090,802
2012-01-20$215.16$216.0032.7%9.4%24.7%22.0%34.3%7.2%2.9%-15.9M163.1M-1.9M2.1811.381,2972,82621,21691,500
2012-01-23$221.72$216.0032.7%9.4%26.3%21.9%34.9%7.4%1.8%-14.1M121.1M-1.8M4.549.709784,44014,66151,773
2012-01-24$220.88$216.0031.6%9.1%25.9%20.1%34.8%6.8%1.9%-15.5M128.1M-1.8M32.369.241484,78215,15252,892
2012-01-25$227.00$216.0030.0%8.6%27.4%17.3%32.9%7.0%2.5%-12.4M65.2M-1.8M0.9310.602,0981,94115,24757,571
2012-01-26$220.04$216.0033.5%9.6%29.8%23.3%31.4%6.8%1.3%-15.6M139.9M-1.9M0.8111.081,02582716,52854,639
2012-01-27$222.60$216.0031.8%9.1%28.2%20.0%34.2%6.2%2.1%-14.3M104.9M-1.9M5.0410.513391,70717,07055,248
2012-01-30$219.68$216.0034.4%9.9%28.5%24.4%34.6%6.4%1.1%-16.6M151.3M-1.9M3.6711.309233717,16555,914
2012-01-31$218.32$216.0034.1%9.8%28.7%24.0%35.8%5.9%1.4%-17.7M167.6M-1.9M2.8710.7218553017,17156,059