XOP Options History — September 2014

In September 2014, XOP traded between $275.32 and $310.72. ATM implied volatility averaged 25.2%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.9% (HV 20d: 21.3%). Max pain ranged from $296.00 to $300.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.81.

Notable Days

  • 2014-09-24: Highest Volume — 23,513 contracts
  • 2014-09-22: Largest IV spike — 11.1% change
  • 2014-09-30: Highest IV Rank — 80.4%
  • 2014-09-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$293.06$275.32$310.72$310.32$275.32
Max Pain$297.33$296.00$300.00$300.00$296.00
ATM IV25.2%20.4%30.5%20.9%30.5%
Expected Move7.2%6.6%8.2%6.6%8.2%
HV 20d21.3%18.8%25.1%21.7%25.1%
HV 60d22.5%21.6%23.7%21.8%23.7%
IV Rank44.7%12.7%80.4%16.0%80.4%
IV Percentile74.3%19.8%98.8%29.8%98.8%
Term Structure0.1%-1.0%2.1%0.2%-0.3%
VWIV25.3%22.3%28.3%24.4%27.1%
Skew 25d3.4%-1.6%8.2%1.8%4.2%
Skew 10d4.9%-1.8%12.1%2.1%4.9%
Call IV 25d23.8%19.3%28.4%20.5%28.4%
Put IV 25d27.2%21.3%32.6%22.3%32.6%
Bid-Ask Spread %30.1317.3439.4617.3429.78
Gamma HHI0.160.100.320.140.13
Net GEX-71.1M-141.3M-32.2M-32.2M-52.3M
Net DEX661.5M123.9M1.12B123.9M948.8M
Net VEX-3.5M-4.2M-2.7M-2.7M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.811.745.613.035.48
Total Volume11,790.8572,09023,5133,61916,236
Total OI108,295.09582,758126,68788,156118,448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$310.32$300.0020.9%6.6%21.7%16.0%24.4%1.8%0.2%-32.2M123.9M-2.7M3.0317.348992,72020,44267,714
2014-09-03$310.72$300.0020.4%6.6%18.8%12.7%25.6%1.9%0.1%-33.8M124.3M-2.8M4.6022.963731,71720,85568,826
2014-09-04$303.32$300.0021.5%7.1%21.0%20.1%24.7%-1.6%0.5%-51.2M337.7M-2.9M3.5132.602,2127,76820,82070,188
2014-09-05$306.64$300.0021.4%6.6%21.2%19.7%24.3%3.4%-0.1%-51.3M289.6M-2.9M4.9225.311,7088,39921,93272,881
2014-09-08$300.12$300.0023.6%7.0%20.0%34.1%24.8%2.5%0.3%-63.8M506.5M-3.2M5.3224.732,16711,51821,76677,205
2014-09-09$296.44$300.0024.4%7.2%20.4%39.6%26.2%1.1%0.4%-83.0M695.1M-3.4M2.2531.401,7463,92423,14284,816
2014-09-10$297.32$300.0024.2%7.1%19.4%38.0%24.1%3.5%0.7%-85.3M682.1M-3.5M4.9428.243,27216,17324,21786,859
2014-09-11$299.24$296.0025.1%7.3%19.5%44.6%23.9%4.7%-0.5%-80.8M621.2M-3.6M3.5534.691,6345,80525,98791,030
2014-09-12$293.40$296.0025.7%7.3%20.3%48.5%22.9%2.7%0.1%-101.8M895.1M-3.7M3.4130.412,6579,05026,96894,643
2014-09-15$293.92$296.0026.1%7.2%19.6%51.0%25.3%2.7%0.6%-112.5M850.6M-3.6M5.6127.032,14312,02727,10295,556
2014-09-16$299.00$296.0024.7%7.3%20.5%41.6%22.3%4.1%0.8%-89.2M590.5M-3.6M2.3231.042,3885,52828,29197,278
2014-09-17$298.20$296.0024.3%6.7%20.2%39.1%25.4%3.6%2.1%-88.1M592.4M-3.6M2.8939.461,2043,47629,08197,606
2014-09-18$293.48$296.0024.5%7.5%20.8%40.3%25.6%3.4%-0.2%-141.3M857.4M-3.5M3.3736.392,7209,15628,43397,037
2014-09-19$289.20$296.0024.4%7.2%20.9%39.6%24.8%2.9%-0.4%-135.7M1.12B-3.5M5.5725.391,89510,55229,44597,071
2014-09-22$280.44$296.0027.1%7.3%23.1%57.8%25.5%1.6%-0.5%-45.3M787.4M-3.4M2.8632.955,20114,87523,14359,615
2014-09-23$280.40$296.0027.6%7.5%21.6%60.7%27.5%4.2%0.1%-46.4M811.1M-3.6M5.2235.382,23111,63726,49565,204
2014-09-24$283.64$296.0027.6%7.4%22.2%61.2%24.8%6.4%-0.6%-47.8M731.3M-3.8M2.5736.766,59316,92027,53268,783
2014-09-25$277.44$296.0028.7%7.7%23.1%68.8%28.3%2.7%-0.1%-48.2M899.1M-3.9M1.7431.595,4559,47532,52175,257
2014-09-26$281.20$296.0027.1%7.6%23.7%57.8%27.4%7.4%-1.0%-57.8M777.6M-4.2M2.9028.902,7067,85537,01979,149
2014-09-29$284.40$296.0028.4%7.8%23.6%66.6%25.9%8.2%0.6%-46.4M647.4M-4.2M4.0530.282,69410,89935,46678,374
2014-09-30$275.32$296.0030.5%8.2%25.1%80.4%27.1%4.2%-0.3%-52.3M948.8M-4.1M5.4829.782,50613,73037,08881,360