XOP Options History — August 2012

In August 2012, XOP traded between $197.64 and $217.00. ATM implied volatility averaged 28.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.8% (HV 20d: 27.4%). Max pain ranged from $200.00 to $204.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 10.69.

Notable Days

  • 2012-08-20: Highest Volume — 38,634 contracts
  • 2012-08-16: Largest IV spike — 37.4% change
  • 2012-08-02: Highest IV Rank — 20.4%
  • 2012-08-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.09$197.64$217.00$205.24$210.96
Max Pain$201.39$200.00$204.00$200.00$204.00
ATM IV28.2%21.2%35.0%34.7%28.9%
Expected Move8.5%7.7%10.0%9.9%8.3%
HV 20d27.4%19.2%31.6%27.6%19.2%
HV 60d36.3%32.5%38.7%37.1%32.5%
IV Rank10.8%0.0%20.4%19.7%14.5%
IV Percentile11.0%0.0%37.3%33.7%15.1%
Term Structure2.8%0.5%4.5%0.5%3.1%
VWIV32.8%27.0%42.0%42.0%29.6%
Skew 25d6.9%5.8%8.1%7.0%6.5%
Skew 10d15.0%11.8%18.4%16.3%12.1%
Call IV 25d26.8%24.3%31.6%31.6%26.4%
Put IV 25d33.7%30.8%38.7%38.6%32.9%
Bid-Ask Spread %13.6811.0117.1915.6014.41
Gamma HHI0.130.110.160.140.12
Net GEX-21.7M-38.6M-8.7M-14.1M-34.9M
Net DEX103.9M-48.0M253.7M96.6M179.4M
Net VEX-2.1M-2.4M-1.7M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.690.19119.6413.030.63
Total Volume6,485.65220738,63411,081576
Total OI115,782.78391,246131,87591,246131,875

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$205.24$200.0034.7%9.9%27.6%19.7%42.0%7.0%0.5%-14.1M96.6M-1.9M13.0315.6079010,29123,54067,706
2012-08-02$197.64$200.0035.0%10.0%29.7%20.4%35.6%7.2%1.8%-20.8M253.7M-2.2M3.0317.198492,57324,13670,778
2012-08-03$203.44$200.0029.9%8.6%31.2%10.8%33.2%6.2%3.9%-16.1M137.1M-2.1M3.3913.734121,39824,48571,197
2012-08-06$206.40$200.0029.4%9.3%31.6%9.9%34.4%8.1%1.9%-12.8M66.2M-1.9M5.0415.6314773924,75671,958
2012-08-07$211.48$200.0028.8%9.1%29.8%8.7%36.6%7.0%2.0%-9.2M-16.9M-1.8M26.5612.571,34735,78124,83372,314
2012-08-08$211.48$200.0028.0%9.1%29.6%7.9%36.1%7.7%2.1%-18.6M89.4M-2.2M21.0011.011463,06124,97488,217
2012-08-09$214.24$200.0024.2%8.4%29.3%0.3%34.9%7.4%3.1%-15.0M20.0M-2.1M12.8613.685166,63225,05290,467
2012-08-10$213.40$200.0024.1%8.5%28.8%0.1%34.0%7.0%3.4%-19.5M61.1M-2.2M0.7112.5057840925,47195,730
2012-08-13$210.44$200.0026.0%8.5%29.4%3.9%34.0%7.4%3.4%-23.3M108.3M-2.2M2.0013.6820841725,80195,803
2012-08-14$213.24$200.0026.2%8.2%29.2%4.2%28.3%7.5%4.0%-17.1M48.3M-2.0M0.5114.301,58080825,44095,544
2012-08-15$214.28$200.0021.2%8.1%29.2%0.0%27.0%7.0%4.2%-15.2M17.8M-2.0M0.1915.901,77734126,35095,792
2012-08-16$217.00$200.0029.2%8.4%29.3%15.1%35.9%8.0%3.5%-10.8M-27.6M-2.0M8.3714.643062,56125,79095,324
2012-08-17$216.36$200.0028.0%8.0%29.4%12.8%32.1%7.3%4.5%-8.7M-48.0M-1.8M1.4815.1447971125,62597,213
2012-08-20$215.00$200.0028.0%8.0%27.9%12.8%33.9%7.1%2.3%-15.4M11.3M-1.7M119.6412.8932038,31422,37181,674
2012-08-21$214.20$200.0026.9%7.7%26.0%10.8%35.2%7.2%2.8%-21.5M97.5M-2.1M11.5213.191,15313,28322,47291,197
2012-08-22$214.52$204.0026.7%7.7%25.8%10.4%31.2%6.4%2.7%-25.8M122.8M-2.2M2.8013.134961,38622,884102,368
2012-08-23$209.52$204.0029.5%8.5%26.8%15.7%28.2%7.2%2.4%-34.7M247.1M-2.4M0.4612.882,4101,11723,044102,445
2012-08-24$210.84$204.0027.6%7.9%25.1%12.1%29.8%6.2%3.1%-33.8M209.3M-2.3M1.9111.3710920822,455102,833
2012-08-27$211.64$204.0028.2%8.1%25.0%13.2%31.0%5.8%2.7%-33.3M187.6M-2.2M1.4513.671,0951,59222,481102,846
2012-08-28$213.60$204.0028.8%8.3%24.4%14.4%30.0%6.0%2.6%-26.8M109.3M-1.9M2.4713.051,0692,63722,018103,104
2012-08-29$211.88$204.0028.3%8.1%24.6%13.4%30.2%5.9%2.7%-34.1M178.6M-2.1M5.0812.193417321,692104,544
2012-08-30$208.16$204.0030.2%8.7%21.2%17.0%30.9%6.0%2.3%-38.6M241.3M-2.1M1.6312.343,1745,16721,699104,706
2012-08-31$210.96$204.0028.9%8.3%19.2%14.5%29.6%6.5%3.1%-34.9M179.4M-2.1M0.6314.4135322323,335108,540