XOP Options History — September 2013

In September 2013, XOP traded between $250.64 and $265.88. ATM implied volatility averaged 20.8%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.0% (HV 20d: 13.8%). Max pain ranged from $248.00 to $260.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.47.

Notable Days

2013-09-16: Highest Volume — 12,007 contracts
2013-09-30: Largest IV spike — 22.7% change
2013-09-03: Highest IV Rank — 49.1%
2013-09-03: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$259.78	$250.64	$265.88	$250.64	$263.40
Max Pain	$254.40	$248.00	$260.00	$248.00	$260.00
ATM IV	20.8%	18.7%	25.7%	25.7%	24.6%
Expected Move	6.0%	5.4%	6.6%	6.6%	6.6%
HV 20d	13.8%	10.3%	16.3%	16.3%	10.4%
HV 60d	16.6%	14.8%	19.3%	19.3%	14.8%
IV Rank	21.8%	9.6%	49.1%	49.1%	42.9%
IV Percentile	22.6%	7.1%	66.7%	66.7%	58.7%
Term Structure	1.8%	-0.1%	2.8%	0.9%	-0.1%
VWIV	22.9%	18.5%	25.0%	24.6%	24.6%
Skew 25d	4.9%	3.5%	6.7%	4.1%	6.7%
Skew 10d	10.6%	7.1%	15.8%	7.3%	15.8%
Call IV 25d	19.2%	16.4%	22.0%	22.0%	20.3%
Put IV 25d	24.1%	21.6%	27.0%	26.1%	27.0%
Bid-Ask Spread %	9.74	5.89	18.12	9.97	7.11
Gamma HHI	0.11	0.09	0.20	0.11	0.12
Net GEX	-11.9M	-29.7M	8.1M	-15.5M	-25.6M
Net DEX	-40.3M	-235.2M	121.7M	54.3M	71.9M
Net VEX	-2.0M	-2.2M	-1.7M	-2.1M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.47	0.72	20.11	1.52	4.15
Total Volume	4,154.8	870	12,007	870	4,282
Total OI	87,951.6	67,696	114,448	85,621	74,201

Daily Data (20 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
2013-09-03	$250.64	$248.00	25.7%	6.6%	16.3%	49.1%	24.6%	4.1%	0.9%	-15.5M	54.3M	-2.1M	1.52	9.97	346	524	21,388	64,233
2013-09-04	$251.84	$248.00	22.6%	6.3%	16.2%	32.0%	22.9%	3.5%	1.4%	-12.7M	14.7M	-2.0M	5.63	7.28	163	916	21,518	64,486
2013-09-05	$253.40	$248.00	20.5%	6.3%	15.5%	20.0%	23.4%	3.5%	1.5%	-12.5M	4.0M	-2.0M	20.11	9.66	123	2,478	21,585	65,122
2013-09-06	$254.36	$252.00	20.7%	6.6%	15.4%	20.9%	24.1%	4.8%	1.8%	-12.2M	-8.7M	-2.0M	4.62	15.05	595	2,752	21,613	67,047
2013-09-09	$257.32	$252.00	21.3%	6.6%	15.9%	24.4%	23.6%	4.8%	1.6%	-4.2M	-92.9M	-1.8M	3.04	14.36	273	830	21,599	67,455
2013-09-10	$256.72	$252.00	21.1%	6.3%	15.8%	23.4%	23.5%	4.4%	2.2%	-4.6M	-83.7M	-1.8M	2.86	18.12	539	1,544	21,715	67,870
2013-09-11	$259.36	$252.00	18.7%	5.9%	16.0%	9.6%	22.9%	4.3%	2.4%	-3.1M	-118.4M	-1.8M	0.72	18.05	2,374	1,700	21,962	68,718
2013-09-12	$258.72	$252.00	20.5%	5.9%	15.9%	19.8%	21.2%	4.4%	2.5%	-427.3K	-142.3M	-1.8M	2.25	13.17	1,608	3,610	22,523	69,503
2013-09-13	$258.96	$252.00	20.0%	5.7%	15.7%	17.2%	21.2%	4.2%	2.8%	-5.9M	-112.6M	-1.9M	4.54	8.74	294	1,335	23,718	72,297
2013-09-16	$258.16	$252.00	20.8%	6.0%	15.7%	21.8%	24.3%	5.2%	2.1%	-3.5M	-118.5M	-1.7M	7.45	8.53	1,420	10,587	23,700	72,254
2013-09-17	$261.48	$252.00	21.6%	6.2%	13.6%	26.2%	24.1%	5.6%	1.4%	-1.9M	-175.5M	-2.0M	4.22	7.59	1,918	8,101	24,866	76,725
2013-09-18	$264.92	$252.00	20.1%	5.8%	13.8%	17.9%	24.5%	5.5%	2.2%	-14.5K	-235.2M	-2.0M	4.75	7.20	2,042	9,694	25,637	80,548
2013-09-19	$264.04	$256.00	20.1%	5.8%	12.9%	18.0%	21.4%	5.1%	2.4%	8.1M	-194.3M	-2.2M	2.29	5.89	1,913	4,380	25,969	88,479
2013-09-20	$261.80	$260.00	20.6%	5.9%	12.0%	20.6%	25.0%	5.2%	2.3%	-29.7M	121.7M	-2.2M	6.22	7.35	620	3,855	17,170	91,533
2013-09-23	$261.92	$260.00	20.5%	5.9%	11.8%	20.0%	23.4%	5.2%	1.3%	-25.7M	85.1M	-2.2M	1.96	7.51	801	1,573	14,276	53,420
2013-09-24	$263.16	$260.00	19.2%	5.5%	11.8%	12.6%	19.3%	5.5%	1.7%	-23.4M	56.1M	-2.1M	0.88	8.02	526	463	14,882	54,373
2013-09-25	$264.20	$260.00	19.0%	5.4%	11.2%	11.6%	18.5%	5.5%	2.0%	-21.8M	37.0M	-2.1M	2.11	7.57	821	1,728	15,227	54,656
2013-09-26	$265.88	$260.00	18.8%	5.4%	10.6%	10.4%	23.4%	5.1%	2.1%	-20.7M	-974.3K	-2.0M	6.32	7.00	604	3,816	15,764	55,875
2013-09-27	$265.28	$260.00	20.0%	5.9%	10.3%	17.3%	21.4%	5.5%	0.9%	-23.3M	32.9M	-2.1M	3.73	6.72	412	1,536	16,050	59,075
2013-09-30	$263.40	$260.00	24.6%	6.6%	10.4%	42.9%	24.6%	6.7%	-0.1%	-25.6M	71.9M	-2.1M	4.15	7.11	831	3,451	15,902	58,299