XOP Options History — January 2015

In January 2015, XOP traded between $170.12 and $193.72. ATM implied volatility averaged 50.4%, placing in the 71.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 1.0% (HV 20d: 51.4%). Max pain ranged from $186.00 to $200.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2015-01-30: Highest Volume — 29,464 contracts
  • 2015-01-05: Largest IV spike — 11.7% change
  • 2015-01-15: Highest IV Rank — 86.9%
  • 2015-01-14: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$179.69$170.12$193.72$193.72$184.68
Max Pain$191.60$186.00$200.00$200.00$188.00
ATM IV50.4%43.6%57.5%49.3%49.3%
Expected Move14.3%12.4%16.2%14.2%14.4%
HV 20d51.4%45.0%59.8%55.7%51.9%
HV 60d55.2%54.2%56.7%55.3%55.3%
IV Rank71.0%55.9%86.9%68.6%68.5%
IV Percentile91.7%83.3%98.0%94.0%88.5%
Term Structure0.2%-6.8%4.0%0.4%0.9%
VWIV50.4%44.2%58.1%48.0%51.8%
Skew 25d7.8%0.5%13.4%11.3%11.6%
Skew 10d14.9%8.1%22.2%21.5%22.2%
Call IV 25d47.5%38.3%58.5%44.3%44.7%
Put IV 25d55.3%48.0%66.6%55.7%56.3%
Bid-Ask Spread %21.7917.5135.2335.2319.30
Gamma HHI0.100.060.280.090.06
Net GEX-16.3M-39.0M13.1M-27.1M-4.3M
Net DEX752.7M36.9M1.38B804.8M204.3M
Net VEX-3.7M-4.4M-3.2M-3.9M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.493.261.461.90
Total Volume16,260.23,82529,46412,04729,464
Total OI188,384.5129,731239,643204,071170,596

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$193.72$200.0049.3%14.2%55.7%68.6%48.0%11.3%0.4%-27.1M804.8M-3.9M1.4635.234,9017,14682,514121,557
2015-01-05$181.00$200.0055.1%15.3%59.5%81.4%53.4%6.4%-1.8%-29.5M1.06B-3.5M2.2227.758,86819,67182,890118,540
2015-01-06$175.52$200.0056.4%15.4%59.8%84.3%53.6%2.7%-1.0%-29.0M1.20B-3.6M3.2620.925,17516,84787,236124,099
2015-01-07$173.76$200.0051.5%14.9%54.4%73.4%50.7%3.4%-0.7%-32.4M1.29B-3.6M2.6523.613,6609,70689,001129,628
2015-01-08$179.64$196.0050.0%14.3%53.1%70.1%50.5%10.9%-1.1%-36.1M1.17B-3.8M1.9822.164,4708,83790,646132,286
2015-01-09$180.92$196.0051.0%14.1%50.0%72.3%49.4%8.4%-1.0%-39.0M1.11B-3.7M1.5121.314,5626,87691,120132,174
2015-01-12$172.60$196.0052.7%15.1%52.8%76.1%53.0%6.4%0.2%-37.2M1.34B-3.2M1.8117.998,12214,72688,488130,980
2015-01-13$171.04$192.0056.1%15.7%52.8%83.8%55.9%8.4%0.7%-36.2M1.38B-3.4M1.8719.187,57614,19092,052134,657
2015-01-14$176.28$192.0054.1%16.2%53.0%79.3%55.8%13.4%0.2%-39.0M1.25B-3.6M0.6817.5112,1478,26194,832138,005
2015-01-15$170.12$188.0057.5%15.8%53.6%86.9%58.1%0.5%-6.8%-35.7M1.36B-3.6M0.6128.0910,3096,303101,923137,359
2015-01-16$177.92$188.0052.0%14.8%49.0%74.5%52.0%11.4%-0.2%13.1M1.12B-3.6M1.0921.533,8944,261101,939137,704
2015-01-20$174.92$188.0050.8%14.6%49.2%71.9%51.1%8.3%-0.2%-5.0M343.3M-3.5M0.8020.972,1231,70264,92464,807
2015-01-21$181.64$188.0046.9%13.4%47.2%63.2%47.7%7.8%2.3%-1.4M237.1M-3.6M0.6619.355,7183,76966,19465,647
2015-01-22$181.76$186.0044.2%12.6%46.2%57.2%45.2%6.8%4.0%-251.6K244.5M-3.6M0.4920.3913,9056,74669,16366,894
2015-01-23$182.40$186.0043.6%12.4%45.0%55.9%44.3%6.9%2.1%7.4M174.2M-3.9M0.9021.935,6055,01878,83368,747
2015-01-26$186.48$186.0044.1%12.4%45.8%57.1%45.8%8.6%0.7%6.3M106.9M-3.9M1.8819.342,7665,19678,82068,188
2015-01-27$190.08$186.0044.5%12.5%46.4%57.8%44.2%10.0%0.9%6.9M36.9M-4.1M0.8118.137,1865,84879,02570,307
2015-01-28$178.84$188.0049.6%13.9%51.0%69.2%48.0%4.0%0.2%-3.3M307.2M-3.9M1.3020.218,09310,53581,04075,037
2015-01-29$180.48$188.0049.5%13.7%51.0%69.1%49.1%8.9%4.0%-3.6M329.5M-4.0M2.0820.986,82814,19481,07578,763
2015-01-30$184.68$188.0049.3%14.4%51.9%68.5%51.8%11.6%0.9%-4.3M204.3M-4.4M1.9019.3010,14919,31583,94586,651