XOP Options History — October 2015

In October 2015, XOP traded between $132.84 and $162.08. ATM implied volatility averaged 43.1%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 7.3% (HV 20d: 50.4%). Max pain ranged from $136.00 to $156.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-10-07: Highest Volume — 47,368 contracts
  • 2015-10-29: Largest IV drop — 4.8% change
  • 2015-10-01: Highest IV Rank — 58.3%
  • 2015-10-01: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$149.98$132.84$162.08$132.84$148.64
Max Pain$153.27$136.00$156.00$148.00$156.00
ATM IV43.1%40.4%46.8%46.8%41.1%
Expected Move12.3%11.5%14.1%14.1%11.8%
HV 20d50.4%41.2%54.8%41.2%44.6%
HV 60d49.3%46.4%50.2%46.4%49.3%
IV Rank49.5%43.1%58.3%58.3%44.7%
IV Percentile61.3%50.4%72.6%72.6%50.4%
Term Structure0.2%-1.4%4.0%1.8%2.3%
VWIV44.4%41.1%51.7%51.7%41.9%
Skew 25d6.5%4.2%9.9%9.9%4.2%
Skew 10d12.6%9.7%17.4%13.6%10.4%
Call IV 25d40.0%37.3%43.3%43.3%38.6%
Put IV 25d46.5%42.4%53.1%53.1%42.7%
Bid-Ask Spread %14.5910.0919.4410.0911.50
Gamma HHI0.110.070.260.130.10
Net GEX-12.2M-27.4M-5.6M-18.8M-5.6M
Net DEX655.7M371.6M1.00B1.00B632.4M
Net VEX-4.2M-4.6M-2.9M-2.9M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.313.821.230.60
Total Volume21,569.18210,59247,36816,39621,176
Total OI273,959.091246,070297,970246,469288,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$132.84$148.0046.8%14.1%41.2%58.3%51.7%9.9%1.8%-18.8M1.00B-2.9M1.2310.097,3499,047114,211132,258
2015-10-02$140.68$148.0044.7%13.0%46.4%53.4%45.8%6.0%0.3%-19.4M840.3M-3.1M1.3613.729,80913,345114,946132,437
2015-10-05$148.28$136.0043.9%12.1%50.2%51.5%43.8%5.5%-1.0%-11.6M643.2M-3.4M2.0512.459,25218,955116,313129,757
2015-10-06$155.88$144.0042.8%11.9%52.7%48.7%44.2%6.8%0.3%-7.7M450.2M-3.9M3.8216.429,79137,409122,154139,675
2015-10-07$156.00$148.0043.6%12.2%52.6%50.8%47.8%8.8%-0.9%-15.6M514.8M-4.3M2.1215.7715,20532,163122,837158,120
2015-10-08$162.08$152.0041.8%11.5%52.7%46.3%41.1%6.5%1.4%-16.8M371.6M-4.4M1.7517.528,97215,687125,973164,469
2015-10-09$160.12$156.0042.1%11.8%53.1%47.2%45.1%6.5%-0.7%-27.4M405.0M-4.4M2.1814.957,30915,968129,100165,603
2015-10-12$153.88$156.0042.4%12.2%54.8%47.9%42.3%6.0%-0.3%-11.0M610.3M-4.3M1.4116.007,47910,512127,817157,178
2015-10-13$150.92$156.0043.7%12.0%54.6%51.0%43.9%9.4%-1.2%-15.5M715.1M-4.1M0.9019.445,5815,011128,743159,066
2015-10-14$152.40$156.0042.3%12.1%54.4%47.5%42.9%5.2%-1.4%-13.9M671.4M-4.2M0.6613.697,8875,192129,081161,325
2015-10-15$156.96$156.0041.2%11.9%52.9%44.9%45.3%5.6%-0.5%-9.3M529.4M-4.2M0.9316.138,5687,967129,076162,008
2015-10-16$157.40$156.0040.4%11.5%52.8%43.1%41.3%5.1%0.5%-7.9M483.7M-4.3M0.3512.0917,2726,074132,619165,351
2015-10-19$151.76$156.0041.8%12.0%51.9%46.5%42.7%7.0%-1.2%-9.4M659.9M-4.3M0.3318.9116,3855,419128,604122,825
2015-10-20$152.04$156.0041.8%12.0%51.9%46.5%42.4%7.4%-0.8%-9.9M635.8M-4.5M0.3119.4010,4663,289132,085124,960
2015-10-21$147.68$156.0043.8%12.5%50.1%51.1%46.8%6.1%4.0%-10.4M717.9M-4.3M0.7714.5112,9069,960134,447126,139
2015-10-22$148.44$156.0042.7%12.3%50.1%48.6%42.9%5.4%-1.4%-10.7M706.3M-4.4M0.6413.5411,8597,539138,623125,104
2015-10-23$148.12$156.0043.3%12.5%49.8%50.0%44.1%6.0%-0.3%-8.8M707.5M-4.5M1.1313.0610,10511,401141,506128,352
2015-10-26$144.20$156.0045.0%13.1%46.4%54.0%44.9%7.2%0.2%-10.4M787.8M-4.3M0.6512.128,9885,874141,531130,041
2015-10-27$140.04$156.0045.5%13.4%48.1%55.1%46.1%6.6%0.4%-11.4M880.8M-4.2M1.6310.965,1668,425146,860131,767
2015-10-28$145.04$156.0044.7%12.9%48.5%53.3%45.3%4.5%1.4%-9.5M766.0M-4.4M0.9213.488,4357,747148,017132,866
2015-10-29$146.24$156.0042.5%12.6%48.5%48.2%45.6%6.9%1.4%-6.7M691.4M-4.6M0.4815.3311,8955,683151,652133,346
2015-10-30$148.64$156.0041.1%11.8%44.6%44.7%41.9%4.2%2.3%-5.6M632.4M-4.6M0.6011.5013,2367,940153,736134,522