XOP Options History — November 2015

In November 2015, XOP traded between $145.36 and $156.80. ATM implied volatility averaged 44.3%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 4.8% (HV 20d: 39.5%). Max pain ranged from $152.00 to $160.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.57.

Notable Days

  • 2015-11-12: Highest Volume — 34,137 contracts
  • 2015-11-12: Largest IV spike — 11.6% change
  • 2015-11-13: Highest IV Rank — 66.1%
  • 2015-11-13: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.47$145.36$156.80$152.00$148.52
Max Pain$158.74$152.00$160.00$152.00$156.00
ATM IV44.3%40.2%50.1%40.2%43.7%
Expected Move13.0%11.6%14.1%11.6%13.6%
HV 20d39.5%31.6%43.0%41.3%40.8%
HV 60d46.8%43.3%48.6%48.6%43.3%
IV Rank52.5%42.6%66.1%42.6%51.0%
IV Percentile63.9%46.8%86.5%46.8%60.3%
Term Structure-0.1%-4.7%2.8%2.8%0.2%
VWIV45.8%41.4%51.1%41.4%46.0%
Skew 25d6.3%5.0%8.5%5.0%5.9%
Skew 10d11.8%8.9%15.8%15.8%9.1%
Call IV 25d41.5%38.3%47.7%38.3%40.7%
Put IV 25d47.8%43.3%53.5%43.3%46.6%
Bid-Ask Spread %11.467.0115.6811.707.01
Gamma HHI0.120.080.320.100.11
Net GEX-12.1M-49.5M2.5M-2.5M-6.0M
Net DEX584.4M333.3M997.7M515.2M642.9M
Net VEX-4.7M-5.1M-4.2M-4.7M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.570.748.320.741.36
Total Volume19,440.8959,70934,13711,83213,573
Total OI320,547.368287,935349,837287,935315,055

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$152.00$152.0040.2%11.6%41.3%42.6%41.4%5.0%2.8%-2.5M515.2M-4.7M0.7411.706,8005,032156,095131,840
2015-11-04$156.00$152.0041.4%12.0%38.3%45.4%44.4%5.9%-0.1%2.5M362.4M-5.0M1.2115.4614,04617,039160,996134,783
2015-11-05$156.80$160.0042.2%12.5%38.4%47.4%45.3%7.3%1.7%-2.3M334.5M-5.1M1.9814.745,54410,974164,396139,806
2015-11-06$155.76$160.0041.6%12.4%35.7%46.0%42.6%7.0%0.5%-49.5M408.5M-5.0M3.4211.005,05017,263165,402145,188
2015-11-09$156.40$160.0043.8%12.6%35.5%51.1%44.9%6.4%-0.6%2.5M333.3M-5.0M8.3215.681,87115,555164,327135,765
2015-11-10$156.80$160.0042.6%12.4%32.5%48.4%44.3%5.7%0.5%-7.8M397.0M-4.9M2.8013.065,30914,866164,784145,090
2015-11-11$156.36$160.0042.7%12.4%31.6%48.7%44.4%5.7%1.2%-11.5M426.0M-5.0M2.6214.055,32113,966166,167152,311
2015-11-12$145.36$160.0047.7%13.9%41.1%60.4%48.8%8.5%2.1%-20.1M912.6M-4.5M1.729.5612,53421,603166,923155,245
2015-11-13$146.48$160.0050.1%14.1%39.5%66.1%51.0%5.8%-1.7%-15.4M848.0M-4.8M3.389.817,35024,867173,397161,424
2015-11-16$152.60$160.0048.1%13.8%42.5%61.6%51.1%6.7%0.6%-4.5M492.1M-5.0M6.9513.802,64418,364172,530151,174
2015-11-17$150.00$160.0048.7%14.0%40.9%62.8%48.5%7.0%-1.8%-16.9M651.9M-5.0M1.6311.504,7447,717173,686162,354
2015-11-18$152.88$160.0045.8%13.1%41.5%55.9%47.8%5.4%0.8%-15.1M517.2M-4.9M1.1412.126,4547,376174,625162,993
2015-11-19$148.68$160.0046.1%13.3%41.4%56.7%45.8%6.2%-0.7%-29.6M749.1M-4.7M4.4110.755,29623,359176,872165,432
2015-11-20$145.36$160.0045.1%13.3%42.2%54.3%44.4%7.0%-4.7%-12.7M997.7M-4.5M1.389.1311,35215,612177,511172,326
2015-11-23$146.60$156.0045.7%13.2%42.3%55.7%45.3%5.9%-2.2%-18.3M778.9M-4.5M3.258.102,2827,427173,254152,831
2015-11-24$152.08$160.0042.5%12.5%43.0%48.2%44.7%5.1%-0.5%-10.6M523.2M-4.6M0.919.216,7386,098171,631151,048
2015-11-25$151.36$160.0041.7%12.5%41.5%46.2%44.0%5.6%-0.1%-8.4M524.9M-4.5M0.949.957,5787,095173,311151,279
2015-11-27$147.84$160.0042.8%13.0%40.9%48.9%44.6%7.6%-0.6%-3.8M688.5M-4.3M0.7611.096,0634,615175,826152,723
2015-11-30$148.52$156.0043.7%13.6%40.8%51.0%46.0%5.9%0.2%-6.0M642.9M-4.2M1.367.015,7417,832174,469140,586