XOP Options History — April 2012

In April 2012, XOP traded between $209.80 and $231.40. ATM implied volatility averaged 31.8%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.6% (HV 20d: 27.1%). Max pain ranged from $232.00 to $240.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 6.02.

Notable Days

  • 2012-04-04: Highest Volume — 20,258 contracts
  • 2012-04-10: Largest IV spike — 11.9% change
  • 2012-04-16: Highest IV Rank — 29.7%
  • 2012-04-16: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$217.49$209.80$231.40$231.40$225.48
Max Pain$233.80$232.00$240.00$240.00$232.00
ATM IV31.8%26.1%38.4%27.4%28.2%
Expected Move9.2%7.5%11.0%7.9%8.1%
HV 20d27.1%24.7%29.3%27.1%28.0%
HV 60d24.9%24.0%26.0%24.2%25.0%
IV Rank18.5%7.9%29.7%12.4%11.2%
IV Percentile34.1%4.0%60.7%14.7%11.9%
Term Structure1.3%-0.6%2.9%2.3%1.8%
VWIV32.9%28.6%38.6%31.0%28.6%
Skew 25d7.2%5.5%8.3%6.6%5.9%
Skew 10d15.2%11.6%17.4%14.3%12.4%
Call IV 25d28.8%23.4%34.4%25.1%25.5%
Put IV 25d36.0%30.3%42.1%31.6%31.4%
Bid-Ask Spread %10.648.0313.7910.288.03
Gamma HHI0.160.130.250.130.14
Net GEX-34.4M-44.6M-28.0M-28.0M-29.6M
Net DEX512.1M295.0M703.8M296.1M295.0M
Net VEX-2.2M-2.5M-2.0M-2.1M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.020.2637.895.820.26
Total Volume5,180.451,12120,2582,8651,610
Total OI84,895.7574,53595,89478,62180,117

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$231.40$240.0027.4%7.9%27.1%12.4%31.0%6.6%2.3%-28.0M296.1M-2.1M5.8210.284202,44511,69266,929
2012-04-03$229.32$240.0029.4%8.4%26.4%15.7%29.9%6.3%2.0%-29.5M329.7M-2.2M6.8611.823072,10211,81967,898
2012-04-04$224.24$240.0029.3%8.4%26.6%15.6%29.1%6.3%2.9%-33.7M424.4M-2.2M17.5013.371,09519,16311,89968,885
2012-04-05$222.04$236.0029.1%8.3%25.7%15.3%29.3%5.5%2.7%-37.9M492.2M-2.5M3.0311.3627884312,81578,665
2012-04-09$218.72$236.0032.2%9.6%25.8%20.6%32.6%7.7%0.9%-39.4M548.2M-2.4M37.8910.491796,78213,02479,098
2012-04-10$212.80$236.0036.0%10.5%26.8%27.3%35.6%7.8%0.1%-37.3M622.9M-2.3M4.2711.962,0588,78313,04173,201
2012-04-11$211.08$232.0034.6%10.4%25.5%23.1%38.6%8.3%0.3%-43.4M682.7M-2.3M2.9913.797652,28913,88779,852
2012-04-12$218.16$232.0033.8%9.7%28.9%21.6%35.5%8.0%0.8%-39.1M527.5M-2.3M1.949.715381,04414,51880,894
2012-04-13$213.44$232.0036.4%10.4%29.3%26.3%37.8%7.8%0.1%-43.2M635.4M-2.3M1.7813.559081,61614,35180,990
2012-04-16$209.80$232.0038.4%11.0%28.0%29.7%36.7%7.7%-0.6%-44.6M703.8M-2.2M15.7510.511,14918,09514,78681,108
2012-04-17$213.48$232.0034.8%10.0%28.6%23.3%31.4%7.6%0.5%-32.2M581.6M-2.1M2.2310.691,5403,43514,73466,845
2012-04-18$210.64$232.0034.2%9.8%28.0%22.3%37.1%7.5%0.6%-31.4M637.8M-2.1M3.659.794501,63915,52967,472
2012-04-19$212.24$232.0032.7%9.4%28.5%19.6%30.9%7.9%1.5%-31.5M619.6M-2.1M2.909.299812,84215,77168,110
2012-04-20$210.72$232.0031.4%9.0%26.5%17.2%30.6%7.4%1.7%-32.4M667.0M-2.0M1.3010.8355071515,82570,276
2012-04-23$209.96$232.0033.9%9.7%24.7%21.6%34.5%7.4%1.1%-30.3M544.5M-2.0M4.928.931,4877,32112,67161,864
2012-04-24$211.84$232.0031.6%9.1%24.9%17.6%33.3%7.2%0.9%-32.3M529.1M-2.1M0.8611.071,01887413,26465,403
2012-04-25$218.44$232.0028.6%8.2%27.8%12.2%32.6%7.8%1.5%-31.7M421.7M-2.1M2.729.407141,94413,77465,856
2012-04-26$222.40$232.0027.1%7.8%27.9%9.6%33.2%6.7%2.0%-30.7M351.2M-2.1M1.139.161,6771,90314,02267,345
2012-04-27$223.52$232.0026.1%7.5%27.8%7.9%30.4%7.0%2.5%-30.6M330.9M-2.0M2.648.815641,48612,75966,926
2012-04-30$225.48$232.0028.2%8.1%28.0%11.2%28.6%5.9%1.8%-29.6M295.0M-2.0M0.268.031,27333712,89867,219