XOP Options History — July 2012

In July 2012, XOP traded between $194.92 and $209.52. ATM implied volatility averaged 34.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 4.2% (HV 20d: 38.5%). Max pain ranged from $192.00 to $200.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 8.18.

Notable Days

  • 2012-07-06: Highest Volume — 14,848 contracts
  • 2012-07-23: Largest IV spike — 11.9% change
  • 2012-07-24: Highest IV Rank — 24.2%
  • 2012-07-10: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.31$194.92$209.52$202.48$204.92
Max Pain$197.52$192.00$200.00$192.00$200.00
ATM IV34.3%30.6%37.0%33.5%35.5%
Expected Move9.9%8.8%10.8%9.6%10.2%
HV 20d38.5%29.7%44.4%43.7%30.3%
HV 60d37.4%37.0%37.8%37.2%37.1%
IV Rank19.5%12.1%24.2%19.4%21.2%
IV Percentile33.3%16.7%46.0%30.6%38.5%
Term Structure1.1%-0.3%2.6%1.5%0.2%
VWIV39.4%34.7%46.2%38.4%38.9%
Skew 25d7.5%5.5%8.8%6.8%7.3%
Skew 10d15.7%12.7%20.0%13.4%15.2%
Call IV 25d31.3%28.1%34.5%31.5%32.5%
Put IV 25d38.8%35.5%41.6%38.3%39.8%
Bid-Ask Spread %11.228.3017.129.2017.12
Gamma HHI0.120.100.150.110.14
Net GEX-14.0M-25.4M-5.7M-14.0M-11.8M
Net DEX94.1M-54.5M240.3M68.4M82.5M
Net VEX-1.9M-2.2M-1.7M-2.2M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.180.7555.792.494.08
Total Volume5,209.42951814,8483,1977,351
Total OI110,208.1974,262128,413120,28183,567

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$202.48$192.0033.5%9.6%43.7%19.4%38.4%6.8%1.5%-14.0M68.4M-2.2M2.499.209172,28028,43091,851
2012-07-03$209.52$192.0032.6%9.3%44.4%17.8%39.1%6.8%1.2%-6.9M-54.5M-2.1M4.3310.229414,07428,57692,070
2012-07-05$205.04$192.0034.2%9.8%43.7%20.7%35.9%5.5%1.4%-9.5M13.3M-2.1M0.7511.611,5241,14729,28593,291
2012-07-06$201.96$196.0034.0%10.5%43.9%20.4%40.6%7.8%0.3%-13.7M75.6M-2.1M0.899.967,8477,00129,75093,250
2012-07-09$201.48$196.0035.7%10.6%43.9%23.5%39.7%7.6%-0.3%-17.0M94.3M-2.1M6.1310.878034,92227,62593,530
2012-07-10$194.92$196.0036.7%10.8%44.1%23.5%38.6%7.1%0.1%-24.8M226.5M-2.2M4.9310.766773,33927,37895,092
2012-07-11$197.56$200.0035.2%10.5%43.7%20.7%37.1%7.5%0.1%-22.0M174.2M-2.1M2.8116.783621,01927,40195,430
2012-07-12$195.40$196.0036.6%10.5%42.4%23.3%40.7%7.2%0.4%-25.4M218.7M-2.1M55.7912.731568,71727,54895,674
2012-07-13$199.52$196.0035.0%10.0%42.1%20.4%38.4%7.5%0.6%-17.6M110.3M-1.9M0.9814.4052251127,58094,701
2012-07-16$200.60$196.0035.3%10.1%41.0%20.9%37.5%7.1%0.7%-12.4M71.1M-1.8M22.349.504369,74727,66594,340
2012-07-17$204.08$196.0034.0%9.8%40.2%18.5%37.9%7.6%1.1%-9.6M16.0M-1.8M3.2810.651,7135,61827,741100,672
2012-07-18$205.52$200.0033.6%9.6%39.4%17.7%43.3%8.4%0.9%-9.7M9.8M-1.8M16.5512.652253,71528,46199,188
2012-07-19$207.36$200.0031.9%9.1%39.2%14.6%36.9%8.0%1.6%-6.1M-27.9M-1.8M2.049.465581,13728,20293,048
2012-07-20$207.28$200.0031.2%8.9%32.6%13.2%34.7%7.6%2.1%-5.7M-18.0M-1.8M3.728.3011040828,15995,106
2012-07-23$202.32$200.0034.9%10.0%33.6%20.1%41.6%8.8%1.4%-12.8M143.8M-1.8M1.8710.673,0355,68318,02356,239
2012-07-24$197.32$200.0037.0%10.6%33.6%24.2%46.2%7.7%1.5%-16.7M220.3M-1.9M17.9810.813356,02420,61761,087
2012-07-25$196.32$200.0036.7%10.5%33.5%23.6%40.4%7.9%1.2%-18.6M240.3M-1.9M4.129.854021,65720,73164,435
2012-07-26$200.56$200.0033.9%9.7%31.5%18.2%38.7%8.2%2.3%-16.1M174.8M-1.9M3.628.872,0017,23920,84865,046
2012-07-27$206.16$200.0030.6%8.8%32.6%12.1%45.9%7.5%2.6%-13.8M94.3M-1.9M9.7910.784294,20222,66770,662
2012-07-30$208.12$200.0032.2%9.2%29.7%15.2%37.1%7.4%1.5%-10.7M42.4M-1.8M3.2810.4314347122,67166,735
2012-07-31$204.92$200.0035.5%10.2%30.3%21.2%38.9%7.3%0.2%-11.8M82.5M-1.7M4.0817.121,4485,90321,94161,626