XOP Options History — September 2012

In September 2012, XOP traded between $210.72 and $237.40. ATM implied volatility averaged 28.1%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.4% (HV 20d: 22.8%). Max pain ranged from $204.00 to $224.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 8.48.

Notable Days

2012-09-14: Highest Volume — 40,337 contracts
2012-09-07: Largest IV drop — 13.2% change
2012-09-05: Highest IV Rank — 17.3%
2012-09-05: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$224.31	$210.72	$237.40	$210.72	$222.76
Max Pain	$218.74	$204.00	$224.00	$204.00	$224.00
ATM IV	28.1%	24.0%	30.3%	29.9%	28.1%
Expected Move	8.2%	7.8%	8.7%	8.6%	8.1%
HV 20d	22.8%	16.5%	26.9%	18.7%	25.9%
HV 60d	29.1%	25.7%	32.5%	32.5%	25.7%
IV Rank	13.1%	5.3%	17.3%	16.5%	13.1%
IV Percentile	14.1%	0.4%	27.0%	21.4%	13.9%
Term Structure	1.7%	0.5%	2.8%	2.4%	0.7%
VWIV	32.5%	28.9%	44.8%	33.3%	29.8%
Skew 25d	6.9%	5.3%	8.4%	7.0%	5.3%
Skew 10d	14.8%	11.3%	18.8%	15.5%	11.3%
Call IV 25d	25.8%	24.2%	27.4%	27.2%	26.2%
Put IV 25d	32.7%	31.0%	34.6%	34.1%	31.4%
Bid-Ask Spread %	11.99	9.98	15.00	11.51	12.05
Gamma HHI	0.15	0.10	0.24	0.11	0.18
Net GEX	-11.6M	-37.8M	8.8M	-37.8M	-20.7M
Net DEX	-30.0M	-311.4M	225.3M	195.2M	148.1M
Net VEX	-1.6M	-2.0M	-1.3M	-2.0M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.48	0.34	33.22	1.38	2.98
Total Volume	5,895.474	178	40,337	178	1,639
Total OI	123,636.105	62,600	154,024	132,279	70,039

Daily Data (19 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
2012-09-04	$210.72	$204.00	29.9%	8.6%	18.7%	16.5%	33.3%	7.0%	2.4%	-37.8M	195.2M	-2.0M	1.38	11.51	75	103	23,590	108,689
2012-09-05	$211.36	$204.00	30.3%	8.7%	16.5%	17.3%	31.3%	6.9%	2.2%	-36.9M	174.8M	-1.9M	12.19	12.97	134	1,628	23,575	108,748
2012-09-06	$216.96	$204.00	27.7%	7.9%	19.0%	12.2%	30.0%	6.0%	2.8%	-23.4M	42.7M	-1.8M	6.03	13.17	1,580	9,524	23,649	110,240
2012-09-07	$222.76	$216.00	24.0%	7.9%	20.6%	5.3%	33.7%	6.7%	2.4%	-15.8M	-56.8M	-1.6M	0.34	15.00	1,375	469	23,888	115,761
2012-09-10	$220.68	$216.00	26.3%	8.1%	20.9%	9.6%	36.5%	6.3%	2.3%	-17.4M	-42.4M	-1.6M	19.04	11.31	237	4,508	24,377	115,798
2012-09-11	$225.32	$216.00	25.8%	7.9%	21.1%	8.7%	34.7%	6.9%	2.2%	-9.2M	-133.6M	-1.4M	7.44	10.65	470	3,494	24,502	119,733
2012-09-12	$226.56	$216.00	25.7%	8.0%	20.8%	8.5%	30.1%	7.2%	2.1%	-7.1M	-152.5M	-1.4M	1.53	12.92	431	661	24,789	122,879
2012-09-13	$231.40	$220.00	27.5%	7.9%	21.8%	11.8%	28.9%	7.4%	2.1%	-3.4M	-222.2M	-1.4M	15.11	12.55	452	6,820	25,041	123,370
2012-09-14	$237.40	$220.00	29.3%	8.4%	22.9%	15.3%	44.8%	8.4%	1.2%	1.7M	-311.4M	-1.3M	33.22	14.35	1,179	39,158	25,153	128,871
2012-09-17	$233.76	$224.00	30.0%	8.6%	23.9%	16.6%	33.9%	7.7%	1.2%	3.7M	-259.6M	-1.5M	5.23	12.08	697	3,648	25,536	121,040
2012-09-18	$229.16	$224.00	30.0%	8.6%	25.1%	16.7%	34.2%	6.7%	1.5%	4.5M	-189.0M	-1.6M	9.70	10.08	800	7,754	25,830	124,000
2012-09-19	$226.96	$224.00	30.3%	8.7%	25.4%	17.2%	33.5%	7.2%	1.1%	4.3M	-132.9M	-1.6M	4.44	10.75	984	4,364	25,226	124,521
2012-09-20	$227.84	$224.00	27.9%	8.0%	25.4%	12.7%	30.1%	6.9%	1.7%	8.8M	-164.2M	-1.5M	1.55	9.98	604	938	25,503	125,698
2012-09-21	$228.48	$224.00	27.3%	7.8%	23.4%	11.5%	30.1%	6.9%	2.7%	1.2M	-52.3M	-1.4M	7.70	10.91	592	4,562	18,729	125,435
2012-09-24	$225.60	$224.00	28.7%	8.2%	24.1%	14.1%	30.6%	7.1%	0.5%	-13.0M	86.5M	-1.5M	23.92	14.91	77	1,848	12,354	50,246
2012-09-25	$222.32	$224.00	29.1%	8.3%	24.9%	14.9%	31.7%	8.1%	0.6%	-16.2M	134.3M	-1.6M	5.23	11.88	1,182	6,180	12,415	50,626
2012-09-26	$218.24	$224.00	29.1%	8.3%	25.9%	14.9%	31.1%	6.4%	0.9%	-23.0M	225.3M	-1.8M	1.77	9.98	1,099	1,942	13,529	55,984
2012-09-27	$223.60	$224.00	27.7%	7.9%	26.9%	12.3%	29.5%	6.4%	0.7%	-20.2M	139.4M	-1.7M	2.40	10.75	237	569	13,715	56,007
2012-09-28	$222.76	$224.00	28.1%	8.1%	25.9%	13.1%	29.8%	5.3%	0.7%	-20.7M	148.1M	-1.7M	2.98	12.05	412	1,227	13,758	56,281