XOP Options History — May 2012

In May 2012, XOP traded between $189.00 and $227.96. ATM implied volatility averaged 37.2%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.3% (HV 20d: 28.9%). Max pain ranged from $216.00 to $232.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 9.50.

Notable Days

2012-05-23: Highest Volume — 33,046 contracts
2012-05-30: Largest IV spike — 11.8% change
2012-05-30: Highest IV Rank — 36.0%
2012-05-30: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$202.62	$189.00	$227.96	$227.96	$191.72
Max Pain	$224.73	$216.00	$232.00	$232.00	$216.00
ATM IV	37.2%	28.2%	42.6%	28.2%	42.4%
Expected Move	10.7%	8.1%	12.2%	8.1%	12.2%
HV 20d	28.9%	25.0%	32.9%	27.6%	32.1%
HV 60d	26.8%	24.8%	29.4%	24.8%	29.2%
IV Rank	26.1%	9.8%	36.0%	9.8%	35.7%
IV Percentile	52.8%	11.9%	62.7%	11.9%	61.9%
Term Structure	0.2%	-0.9%	2.0%	2.0%	-0.0%
VWIV	37.8%	28.6%	43.7%	28.6%	42.1%
Skew 25d	8.4%	4.7%	10.3%	6.2%	7.3%
Skew 10d	17.6%	9.7%	23.4%	13.9%	15.0%
Call IV 25d	33.5%	26.0%	40.0%	26.0%	40.0%
Put IV 25d	41.9%	32.1%	47.8%	32.1%	47.3%
Bid-Ask Spread %	10.39	8.58	13.02	8.85	11.55
Gamma HHI	0.14	0.13	0.19	0.13	0.14
Net GEX	-40.9M	-49.8M	-27.3M	-27.3M	-39.7M
Net DEX	786.1M	240.8M	1.18B	240.8M	940.2M
Net VEX	-2.5M	-3.1M	-1.9M	-1.9M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.50	1.14	89.85	4.76	1.72
Total Volume	10,317.409	2,796	33,046	9,351	10,438
Total OI	111,982.5	81,108	139,069	81,108	137,924

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-05-01	$227.96	$232.00	28.2%	8.1%	27.6%	9.8%	28.6%	6.2%	2.0%	-27.3M	240.8M	-1.9M	4.76	8.85	1,625	7,726	13,748	67,360
2012-05-02	$221.60	$232.00	31.1%	8.9%	29.2%	15.0%	31.9%	6.2%	1.2%	-32.7M	391.7M	-2.1M	2.47	10.12	985	2,437	14,564	72,293
2012-05-03	$215.68	$232.00	30.4%	8.7%	29.7%	13.9%	31.3%	4.7%	1.8%	-37.3M	505.6M	-2.1M	23.50	10.35	627	14,728	14,300	72,917
2012-05-04	$210.32	$232.00	33.0%	9.7%	30.7%	18.6%	35.1%	7.8%	-0.1%	-43.9M	695.9M	-2.3M	7.03	8.97	932	6,549	14,554	83,293
2012-05-07	$210.00	$232.00	36.2%	10.1%	30.3%	24.3%	38.0%	9.1%	-0.8%	-39.9M	621.2M	-2.1M	89.85	8.74	308	27,698	15,055	76,638
2012-05-08	$209.88	$232.00	34.4%	10.1%	28.8%	21.2%	36.1%	9.1%	-0.4%	-44.2M	693.7M	-2.5M	5.59	8.64	1,752	9,784	15,216	88,740
2012-05-09	$209.56	$232.00	36.6%	10.3%	28.7%	25.1%	38.0%	8.0%	-0.6%	-41.9M	670.8M	-2.5M	6.19	8.79	1,147	7,102	16,473	89,263
2012-05-10	$208.80	$232.00	36.3%	10.4%	25.8%	24.6%	36.2%	8.3%	-0.5%	-40.5M	666.7M	-2.4M	10.51	8.98	243	2,553	16,676	86,863
2012-05-11	$206.48	$232.00	35.0%	10.0%	25.0%	22.1%	35.4%	8.3%	0.4%	-44.0M	746.0M	-2.5M	4.30	12.69	1,474	6,340	16,722	88,850
2012-05-14	$201.60	$228.00	36.8%	10.6%	25.7%	25.5%	34.8%	8.8%	0.0%	-49.8M	914.6M	-2.4M	1.14	10.17	2,253	2,566	17,493	93,502
2012-05-15	$195.68	$224.00	37.6%	10.8%	26.4%	26.8%	36.5%	10.0%	-0.7%	-46.1M	1.04B	-2.2M	2.52	8.58	1,600	4,039	18,645	92,659
2012-05-16	$193.68	$224.00	39.2%	11.2%	26.3%	29.9%	38.2%	8.9%	-0.9%	-43.4M	1.07B	-2.1M	2.72	13.02	3,831	10,409	19,816	92,840
2012-05-17	$190.52	$224.00	40.8%	11.7%	26.2%	32.8%	41.2%	9.9%	-0.0%	-42.8M	1.15B	-2.3M	14.84	11.33	1,022	15,167	22,515	98,264
2012-05-18	$189.00	$224.00	42.5%	12.2%	26.3%	35.8%	41.8%	9.3%	-0.6%	-42.0M	1.18B	-2.3M	4.16	10.61	1,261	5,245	23,214	100,575
2012-05-21	$198.28	$220.00	37.5%	10.7%	32.4%	26.7%	39.5%	8.1%	0.9%	-41.3M	803.3M	-2.4M	1.99	11.22	3,394	6,743	18,440	89,227
2012-05-22	$195.64	$216.00	39.4%	11.3%	32.3%	30.1%	40.2%	9.2%	-0.3%	-38.6M	830.1M	-2.4M	3.84	10.81	2,369	9,097	21,342	89,855
2012-05-23	$197.68	$216.00	39.9%	11.4%	30.1%	31.1%	40.9%	9.8%	-0.1%	-40.7M	785.1M	-2.5M	3.20	10.33	7,874	25,172	22,617	91,990
2012-05-24	$194.52	$216.00	40.2%	11.5%	29.1%	31.6%	39.8%	10.3%	0.5%	-39.8M	884.2M	-3.0M	3.06	9.16	1,575	4,816	29,040	105,648
2012-05-25	$195.20	$216.00	39.3%	11.3%	29.0%	30.0%	43.7%	8.1%	1.1%	-40.4M	852.9M	-3.1M	6.49	12.09	687	4,454	30,273	106,870
2012-05-29	$200.92	$216.00	38.1%	10.9%	31.2%	27.8%	39.8%	8.3%	0.7%	-43.0M	679.9M	-3.0M	1.71	10.92	1,171	2,004	30,610	108,459
2012-05-30	$192.88	$216.00	42.6%	12.2%	32.9%	36.0%	41.6%	9.8%	0.6%	-40.4M	929.3M	-2.9M	7.34	12.56	694	5,092	31,165	107,107
2012-05-31	$191.72	$216.00	42.4%	12.2%	32.1%	35.7%	42.1%	7.3%	-0.0%	-39.7M	940.2M	-2.8M	1.72	11.55	3,834	6,604	31,611	106,313