XOP Options History — October 2012

In October 2012, XOP traded between $212.40 and $229.48. ATM implied volatility averaged 28.5%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.0% (HV 20d: 23.5%). Max pain ranged from $224.00 to $224.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 8.28.

Notable Days

  • 2012-10-31: Highest Volume — 30,301 contracts
  • 2012-10-04: Largest IV drop — 9.1% change
  • 2012-10-24: Highest IV Rank — 30.5%
  • 2012-10-24: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.70$212.40$229.48$224.72$215.08
Max Pain$224.00$224.00$224.00$224.00$224.00
ATM IV28.5%25.1%32.2%29.4%31.5%
Expected Move8.3%7.2%9.2%8.4%9.0%
HV 20d23.5%21.1%27.3%25.7%22.0%
HV 60d24.5%22.4%25.5%25.5%22.4%
IV Rank19.0%9.7%30.5%15.4%28.6%
IV Percentile20.3%2.0%44.4%23.8%42.9%
Term Structure1.2%-0.1%3.0%0.6%-0.1%
VWIV31.1%27.9%36.2%32.9%33.1%
Skew 25d5.8%4.4%6.7%5.9%5.8%
Skew 10d12.5%9.3%15.1%12.3%11.5%
Call IV 25d26.6%23.8%30.2%26.7%29.4%
Put IV 25d32.4%28.1%35.3%32.6%35.2%
Bid-Ask Spread %11.216.9815.6512.1812.26
Gamma HHI0.210.130.340.170.29
Net GEX-20.2M-31.7M-6.4M-19.5M-21.4M
Net DEX138.7M7.2M239.3M124.2M214.6M
Net VEX-1.5M-1.7M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.280.5451.725.2451.72
Total Volume5,217.57187930,3011,09830,301
Total OI71,243.1953,87385,41371,03857,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$224.72$224.0029.4%8.4%25.7%15.4%32.9%5.9%0.6%-19.5M124.2M-1.6M5.2412.1817692213,83657,202
2012-10-02$224.96$224.0028.4%8.1%25.7%13.6%29.9%5.9%1.1%-19.8M118.6M-1.6M16.0811.852353,77113,89957,361
2012-10-03$219.92$224.0027.6%7.9%27.3%14.1%27.9%4.6%2.5%-26.4M209.1M-1.7M6.6811.681,0206,82013,93259,250
2012-10-04$223.12$224.0025.1%7.2%26.2%9.7%29.1%4.4%3.0%-22.0M150.8M-1.7M10.7812.156266,74214,82562,737
2012-10-05$221.56$224.0025.2%8.1%24.6%10.7%32.4%6.5%1.5%-24.2M177.0M-1.7M15.9915.654847,73614,90262,727
2012-10-08$221.76$224.0027.0%8.3%24.4%15.4%32.3%6.4%1.1%-24.4M157.3M-1.5M10.3510.473964,09414,88760,867
2012-10-09$225.36$224.0026.8%8.3%23.9%15.0%28.3%6.6%0.9%-22.2M90.9M-1.4M0.8011.821,07385614,79658,377
2012-10-10$221.52$224.0028.2%8.7%24.6%18.5%34.1%6.7%0.7%-22.9M145.6M-1.5M4.8212.033081,48115,62658,987
2012-10-11$224.40$224.0028.7%8.2%23.7%19.9%31.5%5.8%1.4%-19.4M86.2M-1.4M7.6611.735023,84615,62659,575
2012-10-12$222.28$224.0028.4%8.1%21.6%19.2%29.4%5.9%1.3%-25.0M141.9M-1.5M0.5415.101,11460215,50462,517
2012-10-15$222.12$224.0028.0%8.0%21.1%18.2%31.2%6.2%1.3%-26.7M135.8M-1.4M4.5113.111,4146,38516,21562,342
2012-10-16$226.40$224.0026.9%7.7%21.4%15.2%28.6%5.8%1.7%-16.2M53.1M-1.4M7.488.941,0257,66916,28663,642
2012-10-17$229.48$224.0027.0%7.7%21.7%15.3%30.0%6.2%1.9%-7.9M7.2M-1.5M2.537.061,2153,07716,75568,244
2012-10-18$228.92$224.0027.5%7.9%21.7%16.7%27.9%5.9%1.6%-6.4M11.4M-1.5M2.428.606381,54316,95868,455
2012-10-19$224.56$224.0028.5%8.2%22.7%19.5%28.0%5.8%1.6%-31.7M95.1M-1.5M1.7410.431,2082,10016,87068,535
2012-10-22$221.56$224.0029.0%8.3%22.8%21.5%33.3%5.4%1.3%-14.3M122.5M-1.5M4.3210.623031,30912,69441,179
2012-10-23$215.84$224.0031.4%9.0%24.0%28.3%31.6%4.7%0.6%-16.6M193.9M-1.5M1.7110.868551,46112,75741,986
2012-10-24$212.40$224.0032.2%9.2%23.8%30.5%32.9%5.2%0.6%-18.4M239.3M-1.5M2.6911.6723864112,53042,753
2012-10-25$214.16$224.0030.6%8.8%22.1%25.9%31.6%5.3%1.1%-18.7M221.5M-1.5M10.696.983133,34012,46642,994
2012-10-26$215.64$224.0030.9%8.9%22.4%27.0%36.2%6.5%0.8%-19.4M216.1M-1.5M5.1810.202801,45012,61044,430
2012-10-31$215.08$224.0031.5%9.0%22.0%28.6%33.1%5.8%-0.1%-21.4M214.6M-1.4M51.7212.2657529,72612,78645,187