XOP Options History — September 2015

In September 2015, XOP traded between $126.88 and $147.84. ATM implied volatility averaged 48.9%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.0% (HV 20d: 51.0%). Max pain ranged from $148.00 to $180.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2015-09-01: Highest Volume — 31,130 contracts
  • 2015-09-28: Largest IV spike — 19.4% change
  • 2015-09-01: Highest IV Rank — 83.8%
  • 2015-09-01: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$140.37$126.88$147.84$144.60$131.36
Max Pain$153.20$148.00$180.00$180.00$148.00
ATM IV48.9%42.4%57.0%57.0%48.4%
Expected Move14.1%12.2%17.3%17.3%14.4%
HV 20d51.0%44.8%58.0%57.9%44.8%
HV 60d44.4%42.7%46.8%42.7%46.8%
IV Rank63.7%48.0%83.8%83.8%62.2%
IV Percentile81.2%63.5%97.2%97.2%79.0%
Term Structure-1.1%-5.6%1.4%-1.8%-1.2%
VWIV50.5%39.6%60.3%60.3%49.9%
Skew 25d10.4%8.0%15.3%10.0%8.1%
Skew 10d18.7%12.4%22.9%18.4%15.4%
Call IV 25d44.8%38.7%50.8%50.8%45.2%
Put IV 25d55.1%48.3%63.5%60.8%53.2%
Bid-Ask Spread %15.138.1133.058.119.93
Gamma HHI0.120.090.150.090.12
Net GEX-23.4M-31.2M-16.7M-21.6M-19.6M
Net DEX1.20B865.0M1.51B1.19B1.05B
Net VEX-3.4M-4.1M-2.6M-3.9M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.953.333.130.95
Total Volume18,334.459,36731,13031,13014,588
Total OI287,146.3227,370330,147288,072246,260

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$144.60$180.0057.0%17.3%57.9%83.8%60.3%10.0%-1.8%-21.6M1.19B-3.9M3.138.117,53023,600126,705161,367
2015-09-02$146.52$180.0052.4%15.6%58.0%72.9%53.8%15.3%-0.7%-22.8M1.17B-3.8M1.458.809,39313,623129,000162,655
2015-09-03$147.84$148.0050.3%13.9%55.8%68.1%51.0%8.0%-0.6%-23.2M1.13B-4.0M2.1533.058,00317,194131,518168,526
2015-09-04$145.40$148.0051.9%14.9%55.0%71.1%54.4%9.8%0.2%-23.6M1.22B-4.1M3.3332.783,96513,207135,503176,336
2015-09-08$147.56$148.0049.1%13.8%49.4%64.6%52.3%14.1%-1.4%-26.9M1.20B-3.9M2.4526.782,7146,653133,012176,763
2015-09-09$143.48$148.0050.4%14.2%50.1%66.9%51.2%10.3%1.4%-27.4M1.31B-3.6M1.9622.356,84913,399134,544177,467
2015-09-10$144.52$156.0049.7%14.0%49.2%65.3%49.0%12.7%-1.6%-29.3M1.34B-3.7M1.9714.355,15710,183136,539181,738
2015-09-11$141.72$156.0049.7%14.2%48.9%65.3%53.0%11.2%-0.5%-31.2M1.42B-3.5M2.1812.496,36513,890137,063181,282
2015-09-14$138.56$156.0050.6%14.4%49.2%67.3%52.8%10.2%0.5%-27.2M1.49B-3.3M3.2212.585,23616,864135,914180,356
2015-09-15$141.08$156.0047.5%13.6%49.9%60.1%47.2%9.4%-0.3%-30.0M1.46B-3.3M0.9611.275,3875,192136,629185,971
2015-09-16$147.84$148.0043.9%12.6%53.2%51.5%50.0%9.1%0.8%-27.4M1.23B-3.5M2.2012.956,72414,766139,861185,838
2015-09-17$146.80$148.0042.6%12.2%51.4%48.3%47.5%8.7%-1.2%-28.8M1.27B-3.5M1.1016.995,5896,169140,763189,384
2015-09-18$140.44$148.0046.1%13.4%53.0%56.7%50.0%9.5%-2.6%-16.7M1.51B-3.1M2.8713.693,81710,951138,839188,575
2015-09-21$141.04$148.0042.4%12.2%51.3%48.0%39.6%9.9%-0.5%-19.2M865.0M-3.1M1.0911.016,3306,931101,942125,428
2015-09-23$134.76$152.0047.9%13.6%50.4%61.0%46.2%9.5%-3.6%-19.1M985.5M-2.9M1.8812.165,76410,848108,443128,896
2015-09-24$135.52$152.0047.0%13.7%50.0%58.7%48.1%12.0%-0.9%-18.0M960.3M-2.9M1.4010.147,57010,605109,485126,845
2015-09-25$133.88$148.0046.6%13.6%49.6%57.8%51.0%8.3%-1.2%-20.1M997.2M-3.1M2.2010.968,22018,058112,052130,837
2015-09-28$126.88$148.0055.6%15.8%47.0%79.3%51.7%12.1%-5.6%-17.5M1.08B-2.7M1.0310.578,7198,944109,722129,810
2015-09-29$127.56$148.0049.7%15.1%45.0%65.3%51.1%9.1%-0.6%-17.8M1.09B-2.6M1.3111.587,66110,031111,163129,895
2015-09-30$131.36$148.0048.4%14.4%44.8%62.2%49.9%8.1%-1.2%-19.6M1.05B-2.8M0.959.937,4757,113113,193133,067