XOP Options History — December 2012

In December 2012, XOP traded between $209.48 and $223.56. ATM implied volatility averaged 25.3%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.0% (HV 20d: 21.3%). Max pain ranged from $208.00 to $220.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 26.00.

Notable Days

  • 2012-12-17: Highest Volume — 21,768 contracts
  • 2012-12-07: Largest IV drop — 9.9% change
  • 2012-12-28: Highest IV Rank — 24.7%
  • 2012-12-28: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$216.53$209.48$223.56$210.60$216.32
Max Pain$215.80$208.00$220.00$208.00$220.00
ATM IV25.3%22.6%28.2%26.2%27.0%
Expected Move7.3%6.5%8.1%7.5%7.7%
HV 20d21.3%19.4%26.3%24.7%22.5%
HV 60d23.1%22.2%24.5%24.5%23.2%
IV Rank13.4%4.9%24.7%15.5%20.4%
IV Percentile7.8%0.4%30.2%8.7%19.0%
Term Structure1.6%-1.2%3.1%-0.4%0.3%
VWIV27.1%24.0%31.8%29.0%28.2%
Skew 25d3.7%2.9%4.5%4.5%4.2%
Skew 10d7.6%6.0%10.4%6.7%10.4%
Call IV 25d24.1%21.7%26.7%24.4%25.2%
Put IV 25d27.8%24.6%31.1%28.9%29.4%
Bid-Ask Spread %9.704.9714.478.589.21
Gamma HHI0.220.120.380.380.15
Net GEX-17.0M-37.2M-3.6M-31.4M-13.4M
Net DEX90.8M-33.7M223.8M183.7M156.3M
Net VEX-1.3M-1.7M-858.4K-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.001.39268.578.3914.39
Total Volume4,018.3519321,7685,0171,124
Total OI86,932.553,807110,55084,81055,749

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$210.60$208.0026.2%7.5%24.7%15.5%29.0%4.5%-0.4%-31.4M183.7M-1.3M8.398.585354,48215,13069,680
2012-12-04$209.48$208.0027.8%8.0%24.4%20.6%28.9%4.5%-1.2%-37.2M223.8M-1.4M23.5413.881303,06115,23270,999
2012-12-05$215.92$208.0027.3%7.8%26.3%18.9%29.1%4.1%-0.3%-24.9M96.9M-1.2M2.798.361,9695,49915,31575,297
2012-12-06$215.32$208.0026.9%7.7%22.2%17.7%31.8%4.1%0.4%-26.1M116.7M-1.4M66.274.97825,40116,81077,735
2012-12-07$217.36$216.0024.2%7.3%20.8%9.3%26.4%3.3%2.0%-22.3M66.8M-1.3M1.677.3331652616,83077,553
2012-12-10$216.16$216.0025.0%7.4%21.0%11.8%26.6%3.1%2.0%-22.5M75.7M-1.2M13.988.532283,18716,96577,711
2012-12-11$217.04$216.0024.0%7.2%20.8%8.6%26.4%3.3%2.3%-16.7M30.8M-1.1M1.397.2228239217,05579,107
2012-12-12$217.88$216.0024.3%7.1%20.8%9.8%24.9%3.0%2.5%-15.3M1.8M-968.6K5.5214.472121,17117,20077,865
2012-12-13$214.88$216.0025.1%7.2%21.3%12.2%31.2%3.5%2.5%-23.1M55.5M-1.0M25.186.991303,26017,22878,443
2012-12-14$215.32$216.0025.1%7.2%21.0%12.1%24.8%3.5%2.5%-9.5M40.1M-967.4K1.969.466512817,27480,698
2012-12-17$218.20$216.0023.6%6.8%21.2%7.9%25.5%3.2%3.0%-5.0M-12.0M-858.4K268.5711.088121,68717,28580,785
2012-12-18$223.56$216.0022.6%6.5%19.9%4.9%24.5%2.9%3.1%-3.6M-33.7M-1.1M2.6712.544321,15517,27292,818
2012-12-19$221.56$216.0024.6%7.1%20.2%12.0%26.3%3.9%2.3%-6.2M5.1M-1.2M14.839.661652,45116,91892,672
2012-12-20$223.20$220.0023.3%6.7%20.2%7.1%24.0%3.9%2.7%-6.7M-10.4M-1.1M34.1813.3534911,93616,95193,599
2012-12-21$220.28$220.0024.2%6.9%20.4%10.6%25.8%3.9%2.7%-19.0M117.9M-1.3M21.0711.422906,09913,07192,668
2012-12-24$216.68$220.0024.8%7.1%19.6%12.5%26.2%3.8%1.3%-12.7M145.0M-1.5M2.375.441453439,54844,259
2012-12-26$215.88$220.0025.4%7.3%19.4%14.7%26.2%3.7%1.4%-13.3M157.5M-1.6M1.8410.114878959,48144,462
2012-12-27$214.36$220.0025.7%7.4%19.4%15.8%27.4%3.8%1.8%-14.1M176.0M-1.6M5.4910.421689239,87545,260
2012-12-28$210.52$220.0028.2%8.1%20.3%24.7%29.4%4.4%0.7%-16.6M222.7M-1.7M3.9410.941184639,92945,921
2012-12-31$216.32$220.0027.0%7.7%22.5%20.4%28.2%4.2%0.3%-13.4M156.3M-1.5M14.399.21731,0519,99445,755