XOP Options History — March 2012

In March 2012, XOP traded between $226.48 and $245.32. ATM implied volatility averaged 28.2%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.5% (HV 20d: 23.7%). Max pain ranged from $232.00 to $244.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 9.39.

Notable Days

  • 2012-03-06: Highest Volume — 13,208 contracts
  • 2012-03-15: Largest IV spike — 24.1% change
  • 2012-03-06: Highest IV Rank — 21.3%
  • 2012-03-06: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$235.42$226.48$245.32$241.40$227.64
Max Pain$240.00$232.00$244.00$232.00$240.00
ATM IV28.2%24.1%32.6%28.9%28.8%
Expected Move8.4%7.5%9.7%8.3%8.2%
HV 20d23.7%17.5%28.3%17.5%26.7%
HV 60d26.7%23.5%31.3%30.9%24.0%
IV Rank13.6%6.5%21.3%15.0%14.7%
IV Percentile19.8%7.1%41.7%19.8%20.2%
Term Structure2.4%1.4%4.0%2.1%2.0%
VWIV31.4%27.2%38.8%31.3%30.2%
Skew 25d6.4%4.2%7.8%4.3%6.4%
Skew 10d13.4%7.6%16.3%8.9%13.5%
Call IV 25d26.6%23.5%30.4%26.7%26.1%
Put IV 25d33.0%29.0%37.4%31.0%32.5%
Bid-Ask Spread %11.308.7215.989.0410.79
Gamma HHI0.120.110.140.110.14
Net GEX-20.1M-29.4M-10.7M-10.7M-29.1M
Net DEX180.2M-1.2M367.0M-1.2M350.5M
Net VEX-2.0M-2.3M-1.7M-1.7M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.391.1744.232.283.30
Total Volume4,100.555813,2085581,612
Total OI81,309.04562,216101,64878,36677,747

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$241.40$232.0028.9%8.3%17.5%15.0%31.3%4.3%2.1%-10.7M-1.2M-1.7M2.289.0417038816,62961,737
2012-03-02$236.20$232.0029.5%8.5%19.9%16.0%31.8%4.2%2.1%-15.7M82.8M-1.8M21.478.723176,81216,71961,918
2012-03-05$232.96$244.0031.1%9.2%20.0%18.8%33.4%6.6%2.4%-20.0M161.2M-1.9M12.1512.882583,13416,92864,608
2012-03-06$228.56$244.0032.6%9.7%20.1%21.3%38.8%7.0%2.2%-19.9M219.6M-1.9M44.2311.0629212,91616,97863,216
2012-03-07$232.84$244.0030.2%9.4%20.8%17.2%33.0%7.8%2.5%-20.7M187.4M-2.1M3.1112.055151,60216,99873,612
2012-03-08$237.00$244.0028.2%9.1%21.7%13.8%35.3%7.3%2.7%-13.8M86.8M-1.9M5.5412.052381,31517,31672,901
2012-03-09$238.56$240.0025.8%8.7%21.8%9.5%32.5%7.1%3.1%-15.4M69.4M-1.9M13.219.321451,91917,37473,713
2012-03-12$235.20$240.0028.4%8.9%22.3%14.0%34.8%7.4%2.7%-17.0M126.6M-1.8M4.2911.045162,21217,37074,334
2012-03-13$239.24$240.0025.9%8.3%22.4%9.6%31.8%6.7%2.8%-16.6M63.7M-1.9M2.3215.984701,08917,45676,032
2012-03-14$236.16$240.0024.1%8.7%22.9%6.5%33.3%6.8%2.7%-15.8M107.8M-1.8M28.6011.273489,94617,51076,293
2012-03-15$237.92$240.0029.9%8.6%22.8%16.7%30.6%6.5%2.6%-20.0M102.3M-2.0M1.2512.0631639517,66383,985
2012-03-16$242.56$240.0026.6%7.6%22.9%10.9%29.6%6.2%4.0%-19.4M110.3M-1.8M6.5411.806414,19212,82782,977
2012-03-19$245.32$240.0026.0%7.5%23.2%9.9%27.8%5.5%2.3%-15.0M123.8M-1.9M1.1811.233243828,91553,301
2012-03-20$239.52$240.0027.2%7.8%24.6%12.0%27.2%6.9%2.3%-17.5M173.9M-2.0M4.579.498323,7999,14753,406
2012-03-21$238.04$240.0026.8%7.7%24.5%11.3%27.6%6.3%2.0%-19.7M205.5M-2.1M3.3612.445941,9959,81156,713
2012-03-22$230.12$240.0029.4%8.4%26.6%15.8%34.8%5.5%1.4%-22.8M292.2M-2.2M22.1610.6455312,24910,27056,777
2012-03-23$235.12$240.0027.9%8.0%27.9%13.2%31.6%6.4%1.9%-24.5M261.1M-2.3M12.3210.545016,17010,45165,419
2012-03-26$236.40$240.0027.1%7.8%28.0%11.8%29.4%6.3%2.2%-25.2M253.1M-2.3M7.8612.912171,70510,79067,884
2012-03-27$233.52$240.0028.0%8.0%28.1%13.4%28.4%7.0%2.0%-26.0M274.2M-2.2M1.3610.7227938110,89365,604
2012-03-28$228.40$240.0028.7%8.2%28.3%14.6%28.7%6.7%2.2%-28.5M347.3M-2.3M4.2511.291,1825,02511,05565,613
2012-03-29$226.48$240.0028.4%8.1%27.5%14.1%29.8%6.3%1.9%-29.4M367.0M-2.3M1.1711.191,0451,22012,10565,804
2012-03-30$227.64$240.0028.8%8.2%26.7%14.7%30.2%6.4%2.0%-29.1M350.5M-2.2M3.3010.793751,23711,58666,161