XOP Options History — February 2012

In February 2012, XOP traded between $218.32 and $245.36. ATM implied volatility averaged 31.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.9% (HV 20d: 22.5%). Max pain ranged from $216.00 to $232.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 8.53.

Notable Days

  • 2012-02-14: Highest Volume — 15,752 contracts
  • 2012-02-09: Largest IV spike — 11.1% change
  • 2012-02-10: Highest IV Rank — 29.3%
  • 2012-02-10: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$235.01$218.32$245.36$218.32$237.28
Max Pain$222.20$216.00$232.00$216.00$232.00
ATM IV31.5%27.6%37.2%32.8%30.4%
Expected Move9.2%7.9%10.7%9.4%8.7%
HV 20d22.5%15.2%26.7%25.6%17.0%
HV 60d36.6%30.5%40.8%40.5%30.7%
IV Rank19.4%12.6%29.3%21.7%17.5%
IV Percentile36.2%17.5%58.3%45.6%29.0%
Term Structure1.7%0.3%4.3%1.8%1.4%
VWIV35.5%30.8%41.2%35.1%31.8%
Skew 25d6.9%4.1%9.7%6.2%4.1%
Skew 10d14.7%8.9%20.9%10.8%8.9%
Call IV 25d29.2%25.3%32.7%30.6%28.4%
Put IV 25d36.1%29.9%42.3%36.8%32.5%
Bid-Ask Spread %9.206.4014.7311.949.62
Gamma HHI0.100.100.130.130.11
Net GEX-11.0M-18.1M-7.3M-18.1M-15.4M
Net DEX233.1K-93.7M163.6M163.6M74.6M
Net VEX-1.8M-2.1M-1.7M-1.8M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.531.0628.276.982.17
Total Volume4,945.61,26715,7522,0681,637
Total OI84,824.9573,362103,40973,36278,232

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$218.32$216.0032.8%9.4%25.6%21.7%35.1%6.2%1.8%-18.1M163.6M-1.8M6.9811.942591,80917,24156,121
2012-02-02$219.60$216.0032.5%9.3%25.3%21.2%36.3%5.8%3.2%-16.9M144.4M-1.8M2.5912.861,0012,59117,36156,749
2012-02-03$223.64$216.0029.3%9.7%26.1%15.7%35.9%7.5%1.5%-13.5M69.1M-1.8M5.9114.731,1796,96718,08257,636
2012-02-06$228.32$216.0030.1%9.5%26.7%17.0%37.1%7.6%1.7%-10.7M7.1M-1.7M20.4110.333106,31718,74760,819
2012-02-07$230.88$216.0030.5%9.5%26.7%17.6%36.9%7.5%1.1%-10.6M-9.7M-1.8M5.388.541,0025,39018,84764,148
2012-02-08$231.16$216.0030.4%9.7%26.4%17.5%36.8%7.5%1.1%-7.8M-27.9M-1.7M5.029.782501,25419,32364,396
2012-02-09$231.24$220.0033.7%9.7%25.3%23.3%37.1%7.5%1.3%-7.4M-28.5M-1.7M1.0610.7461665119,39065,115
2012-02-10$229.68$220.0037.2%10.7%25.1%29.3%41.2%9.7%0.3%-9.2M7.8M-1.8M21.437.184309,21719,86565,479
2012-02-13$233.24$224.0035.3%10.1%24.3%26.1%38.5%9.2%0.6%-8.9M-26.5M-1.8M6.078.212611,58220,01173,455
2012-02-14$235.04$224.0034.0%9.7%24.2%23.8%37.0%8.8%2.2%-10.9M-27.8M-1.9M28.2710.8453815,21419,95674,555
2012-02-15$236.88$224.0036.0%10.3%23.2%27.2%36.6%8.9%0.7%-11.8M-4.0M-2.1M1.429.5961787620,13682,085
2012-02-16$241.40$224.0033.2%9.5%23.3%22.4%38.4%8.5%2.8%-8.8M-87.2M-2.0M4.138.163741,54120,28682,531
2012-02-17$242.08$224.0029.7%8.5%23.0%16.4%33.4%7.6%4.3%-9.1M-93.7M-2.0M4.996.697683,82820,15183,258
2012-02-21$243.72$224.0029.1%8.3%21.1%15.3%37.2%7.6%2.2%-11.7M2.9M-1.9M4.267.125662,41215,45563,021
2012-02-22$241.36$224.0029.3%8.4%21.5%15.6%34.1%5.3%1.9%-10.2M-13.1M-1.8M8.328.493843,19415,76363,973
2012-02-23$244.56$224.0027.7%7.9%20.1%12.8%32.2%5.1%2.3%-7.3M-57.4M-1.7M10.516.403854,04615,66663,973
2012-02-24$245.36$224.0027.6%7.9%15.3%12.6%32.7%4.5%2.2%-7.6M-61.3M-1.7M20.737.9272415,00715,77463,142
2012-02-27$244.68$228.0030.6%8.8%15.4%17.9%31.6%5.2%0.8%-11.5M-31.0M-1.8M4.068.115642,28616,07773,163
2012-02-28$241.80$232.0030.3%8.7%15.2%17.4%30.8%4.6%1.5%-12.2M3.2M-1.8M6.896.733632,50216,42260,095
2012-02-29$237.28$232.0030.4%8.7%17.0%17.5%31.8%4.1%1.4%-15.4M74.6M-1.9M2.179.625171,12016,51061,722