XOP Options History — March 2015

In March 2015, XOP traded between $188.08 and $203.16. ATM implied volatility averaged 37.3%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.4% (HV 20d: 28.9%). Max pain ranged from $198.00 to $260.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.19.

Notable Days

  • 2015-03-18: Highest Volume — 23,277 contracts
  • 2015-03-20: Largest IV drop — 7.6% change
  • 2015-03-11: Highest IV Rank — 48.9%
  • 2015-03-10: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$195.09$188.08$203.16$199.72$197.56
Max Pain$213.00$198.00$260.00$208.00$200.00
ATM IV37.3%33.3%40.5%39.6%34.9%
Expected Move10.6%9.4%11.5%11.3%9.9%
HV 20d28.9%22.1%38.5%38.5%29.6%
HV 60d43.5%39.9%48.7%48.7%40.4%
IV Rank41.8%32.9%48.9%47.0%36.4%
IV Percentile63.0%54.4%71.0%69.4%54.8%
Term Structure-0.1%-3.9%1.7%-1.3%-0.1%
VWIV38.5%32.5%42.6%40.9%38.3%
Skew 25d6.3%2.9%7.9%5.9%6.5%
Skew 10d12.0%6.8%15.7%10.6%14.4%
Call IV 25d35.0%31.6%38.6%38.6%32.8%
Put IV 25d41.3%36.0%44.8%44.5%39.2%
Bid-Ask Spread %14.159.8430.9211.3415.79
Gamma HHI0.090.070.190.070.08
Net GEX-18.1M-30.0M7.2M-14.8M-10.6M
Net DEX460.8M175.0M756.3M342.9M232.3M
Net VEX-5.2M-5.8M-4.6M-4.9M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.505.022.823.04
Total Volume13,901.3186,21023,27720,66220,913
Total OI205,804.409158,153254,065198,923175,264

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$199.72$208.0039.6%11.3%38.5%47.0%40.9%5.9%-1.3%-14.8M342.9M-4.9M2.8211.345,41615,24680,306118,617
2015-03-03$202.28$208.0037.8%10.8%38.1%42.9%38.7%7.0%0.6%-25.8M313.3M-4.9M1.2512.855,9417,42781,596127,687
2015-03-04$203.16$206.0034.9%10.7%32.6%36.5%39.7%7.5%1.7%-21.4M257.7M-4.9M2.5313.953,3438,45183,246125,995
2015-03-05$201.76$260.0036.5%10.4%27.7%40.1%36.8%6.2%-0.2%-28.2M309.8M-4.9M2.8118.453,4229,60084,317129,195
2015-03-06$197.00$260.0037.9%10.7%27.8%43.2%38.1%2.9%-0.6%-14.1M528.6M-4.8M3.6019.413,41812,30685,391127,856
2015-03-09$194.72$232.0039.9%10.9%25.2%47.6%39.6%7.1%-0.4%-18.8M499.9M-4.6M3.2414.923,92612,70483,955122,871
2015-03-10$189.88$220.0040.3%11.5%26.2%48.5%40.5%7.2%1.1%-26.6M726.3M-4.8M3.719.943,52813,08386,297129,351
2015-03-11$192.92$220.0040.5%11.4%27.2%48.9%42.6%5.9%-1.9%-25.8M661.0M-4.9M0.7813.095,4264,22988,514135,092
2015-03-12$191.16$220.0037.7%11.0%26.3%42.8%37.8%7.5%1.5%-28.8M718.1M-4.9M0.5013.874,5732,27689,579134,709
2015-03-13$190.92$220.0039.5%10.9%26.3%46.7%40.2%4.5%-3.9%-29.6M742.3M-4.9M1.4830.926,80310,09392,276135,102
2015-03-16$190.40$220.0039.7%11.4%24.5%47.3%41.0%6.0%1.6%-27.8M673.4M-4.8M2.0212.713,9598,01491,998131,354
2015-03-17$188.08$204.0039.8%11.4%22.1%47.5%41.2%6.8%-0.0%-30.0M756.3M-4.8M0.959.8411,42410,90093,880134,971
2015-03-18$197.20$204.0038.2%10.9%28.5%43.8%40.8%7.3%-1.3%-16.0M361.3M-5.7M1.5314.479,21814,059103,364141,720
2015-03-19$191.88$204.0038.4%11.0%28.9%44.3%41.2%7.5%-0.1%-9.7M598.0M-5.5M5.0210.322,04810,279106,326147,739
2015-03-20$192.76$204.0035.4%10.1%29.1%37.7%36.8%6.8%-0.0%7.2M624.4M-5.6M1.6214.634,6807,604101,445152,197
2015-03-23$190.40$200.0034.9%9.7%29.2%36.6%32.5%6.7%-0.2%-16.8M404.7M-5.4M1.0616.103,0113,19967,96190,192
2015-03-24$192.32$200.0033.3%9.4%29.5%32.9%34.0%4.3%0.4%-18.3M388.6M-5.3M1.9012.033,2946,25369,28391,743
2015-03-25$196.32$198.0033.9%9.7%29.7%34.4%33.6%4.8%0.8%-8.6M249.2M-5.6M0.9713.104,6844,54271,86293,988
2015-03-26$198.96$198.0035.5%10.3%28.9%37.9%37.0%5.0%-0.5%375.4K175.0M-5.8M2.5710.793,3308,56074,36997,335
2015-03-27$194.48$200.0036.2%10.2%29.9%39.5%37.3%7.1%-0.3%-22.5M328.2M-5.8M2.9112.243,0358,83975,389101,644
2015-03-30$198.04$200.0035.0%10.0%30.0%36.8%37.8%7.9%0.5%-11.8M246.9M-5.7M1.9510.614,3248,44972,28799,434
2015-03-31$197.56$200.0034.9%9.9%29.6%36.4%38.3%6.5%-0.1%-10.6M232.3M-5.8M3.0415.795,17715,73673,920101,344