XOP Options History — November 2012

In November 2012, XOP traded between $202.76 and $219.16. ATM implied volatility averaged 28.4%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.8% (HV 20d: 24.6%). Max pain ranged from $208.00 to $224.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 7.44.

Notable Days

  • 2012-11-27: Highest Volume — 21,286 contracts
  • 2012-11-19: Largest IV drop — 9.7% change
  • 2012-11-15: Highest IV Rank — 29.9%
  • 2012-11-08: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.41$202.76$219.16$217.36$212.04
Max Pain$211.05$208.00$224.00$224.00$208.00
ATM IV28.4%24.2%31.5%29.5%25.1%
Expected Move8.2%6.9%9.3%8.5%7.2%
HV 20d24.6%21.6%26.5%22.5%25.4%
HV 60d23.7%22.1%24.7%22.3%24.4%
IV Rank20.8%8.7%29.9%22.9%12.1%
IV Percentile24.3%1.6%45.6%31.3%2.8%
Term Structure0.2%-0.6%0.9%0.5%0.3%
VWIV30.7%24.1%36.5%31.8%28.2%
Skew 25d5.4%4.1%7.3%4.7%4.6%
Skew 10d10.3%7.0%13.8%11.1%7.1%
Call IV 25d26.3%22.3%29.7%27.3%23.0%
Put IV 25d31.7%27.2%36.9%31.9%27.6%
Bid-Ask Spread %10.006.2716.2414.846.27
Gamma HHI0.300.190.410.210.37
Net GEX-33.9M-55.1M-24.8M-24.9M-29.2M
Net DEX293.3M116.9M576.2M204.1M158.2M
Net VEX-1.5M-1.7M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.440.7123.663.3217.37
Total Volume5,030.85764621,2869401,015
Total OI81,722.85772,29793,82372,29784,176

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$217.36$224.0029.5%8.5%22.5%22.9%31.8%4.7%0.5%-24.9M204.1M-1.5M3.3214.8421872213,04259,255
2012-11-02$213.44$224.0030.3%8.7%22.0%25.2%30.7%4.2%0.4%-26.9M264.3M-1.6M1.3910.7653073413,15459,530
2012-11-05$215.72$212.0031.4%8.8%21.6%28.2%31.8%5.8%-0.1%-26.2M226.2M-1.5M23.6610.602796,59413,17459,731
2012-11-06$219.16$212.0029.9%8.5%22.4%24.2%30.5%5.7%0.0%-25.8M174.9M-1.5M2.037.7234469913,26862,155
2012-11-07$210.88$212.0030.8%9.1%26.1%26.6%36.5%6.8%-0.4%-33.6M322.2M-1.6M9.959.539279,21813,38662,451
2012-11-08$206.52$212.0030.3%9.3%25.9%25.2%35.1%7.3%-0.6%-37.9M434.9M-1.7M2.019.8947595513,55068,030
2012-11-09$206.80$212.0030.4%9.1%25.5%25.6%32.1%6.6%0.0%-40.0M427.4M-1.6M2.049.791,6293,32913,72368,115
2012-11-12$205.72$212.0031.5%9.0%24.8%28.6%32.1%6.1%0.2%-44.1M455.8M-1.5M17.9916.242614,70114,64069,416
2012-11-13$205.64$212.0030.8%8.7%24.8%28.3%32.9%6.4%0.6%-46.2M461.1M-1.5M10.8111.291,48916,09614,76771,219
2012-11-14$204.04$212.0030.3%8.8%24.8%26.9%31.4%5.7%0.1%-54.6M576.2M-1.7M2.349.141,7614,11315,69878,125
2012-11-15$202.76$208.0031.3%9.0%23.2%29.9%32.6%4.4%-0.1%-45.6M535.2M-1.6M4.1711.141,1924,96416,65173,736
2012-11-16$204.56$208.0030.0%8.6%22.7%25.9%31.2%4.1%0.3%-55.1M496.6M-1.6M4.518.055192,34217,41274,444
2012-11-19$211.32$208.0027.1%7.8%26.5%17.3%29.8%5.9%0.3%-24.8M182.5M-1.4M4.699.867353,44513,00861,185
2012-11-20$210.60$208.0026.0%7.4%25.9%14.1%32.2%5.4%0.5%-27.0M200.8M-1.5M10.6910.737908,44013,42563,827
2012-11-21$212.28$208.0025.3%7.3%25.9%12.2%27.6%5.5%0.8%-27.7M181.8M-1.6M3.519.3814350314,09969,573
2012-11-23$215.52$208.0024.2%6.9%24.9%8.7%24.1%4.9%0.9%-25.5M116.9M-1.4M0.718.2051336614,18169,616
2012-11-26$210.84$208.0025.4%7.3%25.5%12.4%27.2%5.1%0.4%-30.0M194.4M-1.5M2.598.174771,23414,51069,750
2012-11-27$209.20$208.0026.9%7.7%25.4%16.9%31.4%4.8%-0.4%-31.8M222.4M-1.5M21.257.7995720,32914,36269,809
2012-11-28$211.16$208.0025.6%7.3%25.5%12.8%29.3%4.9%0.3%-29.0M180.4M-1.4M5.027.322321,16314,87267,763
2012-11-29$213.00$208.0025.4%7.3%25.7%13.0%26.4%4.8%0.1%-25.7M143.2M-1.4M6.2313.321681,04715,02568,327
2012-11-30$212.04$208.0025.1%7.2%25.4%12.1%28.2%4.6%0.3%-29.2M158.2M-1.4M17.376.275596015,10069,076