XOP Options History — June 2012

In June 2012, XOP traded between $180.80 and $201.60. ATM implied volatility averaged 40.7%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 1.4% (HV 20d: 42.1%). Max pain ranged from $188.00 to $216.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 4.94.

Notable Days

  • 2012-06-01: Highest Volume — 17,344 contracts
  • 2012-06-11: Largest IV spike — 24.7% change
  • 2012-06-01: Highest IV Rank — 48.5%
  • 2012-06-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.86$180.80$201.60$181.88$201.60
Max Pain$191.62$188.00$216.00$216.00$192.00
ATM IV40.7%34.8%49.5%49.5%34.8%
Expected Move11.7%10.0%14.2%14.2%10.0%
HV 20d42.1%34.8%46.9%35.3%43.9%
HV 60d33.3%30.3%37.2%30.6%37.2%
IV Rank32.6%21.8%48.5%48.5%21.8%
IV Percentile56.7%37.7%75.4%75.4%37.7%
Term Structure-0.5%-1.9%1.2%-1.1%1.2%
VWIV42.6%33.9%49.1%47.0%33.9%
Skew 25d9.4%6.4%12.7%9.1%7.3%
Skew 10d18.4%12.2%25.4%17.4%14.4%
Call IV 25d36.0%31.3%45.2%45.2%31.4%
Put IV 25d45.4%38.7%54.3%54.3%38.7%
Bid-Ask Spread %10.938.5213.3712.0310.97
Gamma HHI0.160.120.600.140.12
Net GEX-37.7M-99.2M-17.4M-33.1M-17.4M
Net DEX770.7M101.6M1.35B1.15B101.6M
Net VEX-2.5M-2.8M-2.2M-2.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.940.2414.3413.170.24
Total Volume9,479.5712,07117,34417,34413,350
Total OI134,268.76297,571180,922138,291115,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$181.88$216.0049.5%14.2%35.3%48.5%47.0%9.1%-1.1%-33.1M1.15B-2.5M13.1712.031,22416,12032,309105,982
2012-06-04$180.80$192.0047.6%13.1%34.8%45.0%47.7%12.3%-1.5%-36.7M1.28B-2.5M4.5113.372,73612,32532,563112,905
2012-06-05$185.24$192.0045.2%12.5%36.5%40.7%49.1%12.7%-0.7%-39.7M1.17B-2.6M2.3612.511,5523,66034,587116,506
2012-06-06$192.52$188.0041.5%12.0%39.8%34.0%43.4%11.5%-1.1%-44.8M947.5M-2.8M5.6312.962,17812,25435,596118,762
2012-06-07$190.52$188.0037.7%11.5%39.9%27.0%45.3%10.3%-0.7%-50.8M1.03B-2.7M2.428.523,5468,57336,036125,237
2012-06-08$189.92$188.0037.9%11.8%39.9%27.4%44.9%10.5%-1.0%-47.7M1.06B-2.7M5.0212.148784,40636,402120,554
2012-06-11$184.04$188.0047.2%12.8%40.9%44.4%47.7%9.7%-1.9%-42.3M1.24B-2.4M14.348.696319,05036,589121,649
2012-06-12$187.88$188.0041.3%12.3%41.4%33.7%40.2%10.9%-1.3%-48.8M1.18B-2.5M0.3111.474,3821,34136,874128,331
2012-06-13$182.32$188.0046.3%12.6%41.4%42.8%42.5%10.7%-0.7%-44.4M1.35B-2.4M1.3510.454,1245,58438,706128,026
2012-06-14$186.84$188.0042.6%12.2%42.5%35.9%46.4%10.5%-0.6%-49.7M1.23B-2.4M6.4310.672,28614,70341,787128,721
2012-06-15$192.44$188.0038.6%11.1%43.5%28.8%43.0%11.3%0.3%-99.2M954.3M-2.4M6.1011.811,93211,77743,131137,791
2012-06-18$187.92$192.0038.8%11.1%44.2%29.0%40.0%9.6%0.0%-22.5M367.0M-2.4M1.579.469341,47121,65075,921
2012-06-19$192.80$192.0036.2%10.4%41.6%24.3%36.5%9.3%-0.3%-21.1M277.4M-2.4M1.319.899571,24922,17576,387
2012-06-20$191.16$192.0036.6%10.5%41.5%25.0%42.3%9.3%0.3%-21.8M305.5M-2.4M4.5010.681,5126,80222,74076,888
2012-06-21$181.04$192.0040.6%11.6%45.3%32.3%40.4%7.2%0.0%-26.0M492.7M-2.4M7.309.061,2028,77622,29877,913
2012-06-22$185.68$192.0038.8%11.1%46.3%29.0%40.6%7.3%0.2%-26.8M418.8M-2.4M9.219.298617,92222,21481,934
2012-06-25$181.16$192.0040.7%11.7%46.9%32.5%41.5%6.4%-0.6%-33.4M557.2M-2.5M2.6212.265721,49922,67789,297
2012-06-26$184.08$192.0039.2%11.3%45.9%29.9%41.5%6.7%-0.7%-32.7M484.4M-2.4M2.3110.887351,70022,99289,691
2012-06-27$191.44$192.0036.6%10.5%46.2%25.2%39.3%7.3%-0.2%-28.1M313.5M-2.4M3.4110.572,0847,10623,49390,244
2012-06-28$193.76$192.0037.6%10.8%46.4%27.0%42.3%8.2%-0.1%-25.7M268.1M-2.5M9.5711.971,42713,65023,99692,958
2012-06-29$201.60$192.0034.8%10.0%43.9%21.8%33.9%7.3%1.2%-17.4M101.6M-2.2M0.2410.9710,7352,61523,91591,217