XOP Options History — November 2014

In November 2014, XOP traded between $204.32 and $248.24. ATM implied volatility averaged 40.1%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 6.9% (HV 20d: 47.0%). Max pain ranged from $280.00 to $280.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.94.

Notable Days

  • 2014-11-28: Highest Volume — 36,434 contracts
  • 2014-11-28: Largest IV spike — 16.2% change
  • 2014-11-28: Highest IV Rank — 88.1%
  • 2014-11-28: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$236.98$204.32$248.24$237.88$204.32
Max Pain$280.00$280.00$280.00$280.00$280.00
ATM IV40.1%37.3%48.1%37.5%48.1%
Expected Move10.3%9.7%11.3%10.1%11.3%
HV 20d47.0%37.8%61.2%52.7%61.2%
HV 60d38.3%35.1%47.4%35.1%47.4%
IV Rank64.3%55.9%88.1%56.4%88.1%
IV Percentile95.2%90.1%98.4%95.6%98.4%
Term Structure-1.2%-5.5%1.6%1.6%-5.5%
VWIV35.5%30.6%41.2%33.1%30.6%
Skew 25d6.8%0.7%10.7%0.7%4.6%
Skew 10d11.5%-5.5%18.9%8.1%-5.5%
Call IV 25d36.9%33.8%45.3%39.7%45.3%
Put IV 25d43.6%38.3%49.9%40.3%49.9%
Bid-Ask Spread %35.0028.3551.4037.0151.40
Gamma HHI0.120.060.700.070.10
Net GEX-49.9M-186.2M-17.6M-38.7M-22.4M
Net DEX1.05B436.7M1.68B1.05B1.68B
Net VEX-4.9M-5.5M-3.5M-5.2M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.862.942.392.70
Total Volume19,661.3169,43836,43429,68536,434
Total OI211,931.474161,759233,836197,163200,583

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$237.88$280.0037.5%10.1%52.7%56.4%33.1%0.7%1.6%-38.7M1.05B-5.2M2.3937.018,74520,94068,799128,364
2014-11-04$228.44$280.0042.1%10.9%53.6%70.1%35.0%6.0%0.9%-49.5M1.54B-5.0M2.3830.639,36122,28171,661138,116
2014-11-05$235.04$280.0040.2%10.4%54.6%64.7%34.7%7.4%-2.9%-51.4M1.27B-5.4M1.0028.356,3046,30274,317140,414
2014-11-06$236.88$280.0039.3%10.3%51.0%61.9%33.7%10.7%-0.8%-47.8M1.19B-5.2M1.3428.578,22511,02174,816140,153
2014-11-07$246.52$280.0037.8%9.7%51.8%57.3%31.6%6.8%0.7%-38.6M709.2M-5.5M0.8637.099,5488,20677,296142,859
2014-11-10$239.80$280.0038.5%9.8%47.7%59.5%33.8%0.9%-0.1%-43.3M981.2M-5.3M2.9335.114,04711,86975,630136,522
2014-11-11$242.76$280.0038.2%10.2%47.3%58.5%32.8%9.0%-3.3%-40.9M900.8M-5.0M1.4233.035,5357,86575,084135,153
2014-11-12$241.36$280.0038.1%9.9%47.4%58.4%33.5%7.8%-0.1%-43.7M972.9M-5.2M2.3635.216,14714,50978,461139,652
2014-11-13$234.80$280.0041.0%10.3%45.8%66.9%32.7%6.6%-1.7%-56.3M1.34B-5.1M2.1737.576,58214,30979,622147,726
2014-11-14$240.20$280.0040.3%9.9%45.5%64.8%40.2%9.9%-2.5%-54.1M1.09B-5.1M2.5334.322,7456,95781,964150,628
2014-11-17$234.24$280.0042.8%10.4%46.3%72.2%37.5%7.7%-3.9%-56.0M1.32B-4.8M2.6032.223,4548,99279,771145,867
2014-11-18$234.96$280.0041.3%10.4%44.8%67.8%37.8%7.8%-1.3%-56.8M1.34B-4.7M2.9430.143,62410,65880,535148,029
2014-11-19$235.44$280.0041.1%10.3%41.9%67.3%36.3%8.1%-1.4%-60.5M1.32B-4.8M2.1032.653,0406,39881,108151,095
2014-11-20$243.04$280.0038.0%10.2%42.1%58.0%41.2%9.4%0.4%-28.6M919.4M-4.6M1.4637.286,2059,03081,991150,772
2014-11-21$248.24$280.0037.3%10.0%42.4%55.9%38.3%7.8%-0.8%-186.2M597.5M-4.8M1.2839.0010,17213,02682,848150,988
2014-11-24$244.56$280.0038.3%10.3%40.3%58.8%36.8%6.2%-1.0%-17.6M436.7M-4.7M1.7732.594,7418,38062,78998,970
2014-11-25$240.28$280.0041.1%10.6%37.8%67.2%39.9%4.8%-1.6%-24.0M588.6M-4.7M1.4937.9913,05919,39365,263104,027
2014-11-26$233.84$280.0041.4%10.7%38.8%68.2%35.9%6.1%1.2%-31.9M784.2M-5.2M1.0834.9012,22613,23574,678110,147
2014-11-28$204.32$280.0048.1%11.3%61.2%88.1%30.6%4.6%-5.5%-22.4M1.68B-3.5M2.7051.409,84326,59184,674115,909