XOP Options History — March 2014

In March 2014, XOP traded between $272.12 and $287.32. ATM implied volatility averaged 22.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.1% (HV 20d: 18.1%). Max pain ranged from $256.00 to $260.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.63.

Notable Days

  • 2014-03-05: Highest Volume — 7,446 contracts
  • 2014-03-18: Largest IV drop — 9.1% change
  • 2014-03-14: Highest IV Rank — 45.2%
  • 2014-03-13: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$279.52$272.12$287.32$277.72$287.32
Max Pain$257.71$256.00$260.00$256.00$260.00
ATM IV22.2%20.1%25.1%24.4%20.1%
Expected Move7.4%7.2%7.6%7.5%7.2%
HV 20d18.1%16.8%20.1%20.1%18.2%
HV 60d20.4%19.9%20.9%19.9%20.4%
IV Rank28.9%16.3%45.2%42.0%16.3%
IV Percentile37.0%11.5%69.4%61.9%11.5%
Term Structure0.0%-1.1%0.9%-0.2%0.2%
VWIV24.8%21.4%29.0%21.6%27.7%
Skew 25d4.4%3.7%5.1%5.1%3.7%
Skew 10d8.4%3.9%10.9%9.1%7.9%
Call IV 25d20.6%18.8%23.5%22.5%19.1%
Put IV 25d25.0%22.7%28.6%27.6%22.8%
Bid-Ask Spread %6.334.6310.014.635.28
Gamma HHI0.120.090.140.110.09
Net GEX-27.3M-56.4M-9.4M-27.1M-9.4M
Net DEX194.4M58.8M459.8M217.3M84.2M
Net VEX-2.2M-2.4M-1.9M-2.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.468.871.881.54
Total Volume3,740.8571,6557,4462,0151,908
Total OI75,124.66751,02387,62977,35355,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$277.72$256.0024.4%7.5%20.1%42.0%21.6%5.1%-0.2%-27.1M217.3M-2.4M1.884.637001,31521,17756,176
2014-03-04$282.88$256.0023.0%7.3%17.7%34.3%0.0%4.6%0.0%-19.2M76.7M-2.3M7.355.182521,85021,37256,941
2014-03-05$279.64$256.0022.8%7.4%18.0%33.1%21.4%4.9%0.0%-27.4M170.4M-2.4M2.224.672,3145,13221,41558,132
2014-03-06$280.72$256.0022.4%7.4%17.1%30.8%0.0%4.6%0.0%-24.7M156.7M-2.4M5.695.683732,12221,85260,904
2014-03-07$280.92$256.0021.7%7.3%16.8%26.6%22.8%4.4%0.3%-28.0M149.6M-2.4M4.594.763671,68221,36062,485
2014-03-10$279.04$256.0022.5%7.4%17.0%31.0%25.3%4.3%-0.5%-33.9M214.6M-2.3M8.875.683393,00420,65761,877
2014-03-11$273.16$256.0023.9%7.6%18.8%38.4%23.0%4.9%-0.4%-47.4M405.0M-2.4M2.197.051,6363,58320,74662,267
2014-03-12$275.00$256.0023.4%7.5%18.4%35.4%0.0%4.8%-1.1%-47.9M352.2M-2.3M2.135.097421,58120,23963,769
2014-03-13$272.12$256.0024.9%7.6%18.7%43.9%29.0%4.8%-1.1%-56.4M459.8M-2.3M2.196.241,6823,68120,35464,405
2014-03-14$275.56$256.0025.1%7.6%18.6%45.2%0.0%5.1%-1.1%-43.3M335.4M-2.4M1.634.961,1251,83421,62566,004
2014-03-17$275.64$256.0023.7%7.5%18.4%37.1%0.0%5.0%0.5%-49.9M298.4M-2.2M6.414.766324,04921,68664,292
2014-03-18$280.84$256.0021.6%7.4%18.8%24.7%26.5%4.1%0.9%-21.8M89.4M-2.0M5.856.536854,00522,08064,032
2014-03-19$278.72$260.0021.1%7.5%18.8%22.4%0.0%4.5%0.9%-29.0M141.9M-2.0M1.849.135831,07222,19364,142
2014-03-20$281.04$260.0020.8%7.5%19.0%20.6%0.0%4.1%0.2%-22.5M58.8M-1.9M0.469.983,4211,57122,12463,712
2014-03-21$281.72$260.0020.7%7.4%19.0%20.0%0.0%3.9%0.1%-10.2M108.8M-1.9M1.278.192,9633,75319,56864,081
2014-03-24$280.00$260.0021.3%7.4%16.9%23.1%0.0%4.0%0.3%-13.7M169.9M-2.0M2.575.557261,86214,22936,794
2014-03-25$281.64$260.0020.5%7.4%16.9%18.4%0.0%3.7%0.3%-14.1M147.9M-2.0M3.905.031,0664,15414,37638,226
2014-03-26$277.64$260.0021.1%7.4%16.8%21.8%25.1%3.8%0.2%-20.5M219.8M-2.0M3.649.135061,84114,78438,866
2014-03-27$282.04$260.0021.4%7.3%17.7%23.6%25.6%4.1%0.3%-14.9M143.8M-2.0M8.6510.014984,30714,56540,325
2014-03-28$286.56$260.0020.3%7.2%18.3%17.6%27.7%3.9%0.5%-10.9M81.8M-2.1M1.345.381,5542,08814,68543,697
2014-03-31$287.32$260.0020.1%7.2%18.2%16.3%0.0%3.7%0.2%-9.4M84.2M-2.0M1.545.287521,15613,61941,785