XOP Options History — December 2015

In December 2015, XOP traded between $114.32 and $149.72. ATM implied volatility averaged 47.0%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 1.2% (HV 20d: 45.8%). Max pain ranged from $148.00 to $160.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2015-12-09: Highest Volume — 57,753 contracts
2015-12-07: Largest IV spike — 13.5% change
2015-12-14: Highest IV Rank — 73.3%
2015-12-14: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.40	$114.32	$149.72	$149.72	$121.12
Max Pain	$154.55	$148.00	$160.00	$156.00	$148.00
ATM IV	47.0%	42.1%	53.1%	42.6%	43.8%
Expected Move	13.6%	12.4%	15.2%	13.2%	12.7%
HV 20d	45.8%	40.5%	50.9%	40.5%	50.8%
HV 60d	45.8%	43.3%	47.2%	43.3%	44.8%
IV Rank	58.8%	47.1%	73.3%	48.4%	51.2%
IV Percentile	73.0%	50.0%	92.9%	55.2%	61.5%
Term Structure	0.0%	-1.4%	1.9%	-0.6%	0.1%
VWIV	47.2%	41.9%	53.4%	45.2%	44.5%
Skew 25d	5.5%	3.0%	7.2%	4.8%	3.4%
Skew 10d	9.3%	5.3%	13.8%	9.7%	6.6%
Call IV 25d	44.9%	40.1%	50.3%	40.5%	42.5%
Put IV 25d	50.4%	45.1%	57.5%	45.3%	46.0%
Bid-Ask Spread %	7.54	4.11	11.25	5.41	6.82
Gamma HHI	0.10	0.07	0.14	0.12	0.10
Net GEX	-7.7M	-18.0M	8.1M	-6.7M	1.5M
Net DEX	1.05B	618.1M	1.42B	618.1M	806.3M
Net VEX	-2.9M	-4.2M	-2.1M	-4.2M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.19	3.31	3.31	0.34
Total Volume	21,610.409	6,032	57,753	6,032	18,928
Total OI	331,515.591	274,194	373,364	322,961	310,176

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-12-01	$149.72	$156.00	42.6%	13.2%	40.5%	48.4%	45.2%	4.8%	-0.6%	-6.7M	618.1M	-4.2M	3.31	5.41	1,398	4,634	177,890	145,071
2015-12-02	$143.12	$156.00	46.7%	14.5%	42.6%	58.1%	51.0%	5.4%	0.5%	-13.4M	860.5M	-4.0M	1.25	9.44	15,594	19,544	178,553	147,221
2015-12-03	$141.28	$160.00	47.9%	13.6%	41.3%	60.9%	45.4%	5.8%	-0.2%	-13.6M	920.6M	-3.9M	0.97	8.63	9,574	9,246	185,835	151,380
2015-12-04	$137.56	$160.00	42.1%	12.4%	41.9%	47.1%	41.9%	5.3%	0.9%	-17.8M	1.17B	-3.4M	0.72	10.46	15,826	11,317	191,403	160,843
2015-12-07	$128.12	$160.00	47.8%	13.7%	47.7%	60.6%	48.1%	5.9%	0.3%	-18.0M	1.33B	-2.8M	1.18	11.25	10,098	11,927	185,619	151,658
2015-12-08	$128.80	$160.00	48.3%	13.8%	47.8%	61.8%	48.7%	6.1%	0.0%	-17.0M	1.31B	-2.9M	2.17	8.70	9,524	20,715	192,652	156,404
2015-12-09	$129.80	$160.00	48.1%	14.0%	48.0%	61.4%	45.8%	5.7%	0.9%	-14.4M	1.24B	-3.0M	0.20	7.99	48,327	9,426	197,423	154,650
2015-12-10	$132.12	$156.00	47.2%	13.5%	48.9%	59.4%	45.8%	5.5%	-0.3%	-12.0M	1.15B	-3.3M	0.45	8.46	12,181	5,522	200,016	156,791
2015-12-11	$125.76	$156.00	52.5%	15.2%	45.4%	71.9%	53.4%	6.8%	0.5%	-10.3M	1.28B	-2.9M	1.11	9.44	10,841	12,070	202,007	156,822
2015-12-14	$122.72	$156.00	53.1%	15.2%	45.4%	73.3%	52.3%	7.2%	-0.7%	-10.6M	1.32B	-2.6M	0.89	7.24	9,808	8,747	196,695	156,081
2015-12-15	$125.36	$156.00	50.2%	14.4%	43.0%	66.5%	49.8%	5.5%	-1.4%	-10.7M	1.28B	-2.8M	0.50	4.11	7,955	3,992	199,440	156,208
2015-12-16	$122.52	$156.00	47.4%	13.6%	43.2%	59.8%	47.4%	5.6%	-0.4%	-10.2M	1.36B	-2.5M	0.82	7.52	9,970	8,141	202,961	156,920
2015-12-17	$118.60	$156.00	47.6%	13.7%	42.4%	60.3%	47.1%	5.2%	-0.2%	-9.7M	1.41B	-2.3M	1.14	7.26	10,826	12,303	207,530	158,822
2015-12-18	$116.04	$156.00	51.5%	14.8%	42.2%	69.5%	50.2%	6.0%	-0.5%	-7.4M	1.42B	-2.2M	0.57	4.32	10,007	5,704	212,166	161,198
2015-12-21	$114.32	$156.00	51.6%	14.3%	42.0%	69.8%	49.0%	6.8%	-0.7%	-7.6M	972.8M	-2.1M	0.44	7.23	16,811	7,421	154,083	120,111
2015-12-22	$115.92	$152.00	45.7%	13.0%	42.4%	55.7%	45.1%	5.5%	-0.2%	-4.0M	908.8M	-2.1M	0.73	5.49	10,412	7,560	165,840	116,890
2015-12-23	$124.88	$148.00	42.7%	12.7%	49.7%	48.6%	44.4%	3.0%	1.9%	3.5M	705.8M	-2.6M	0.31	8.47	25,629	8,021	171,061	119,643
2015-12-24	$124.20	$148.00	42.9%	12.7%	49.6%	49.1%	44.6%	4.1%	0.8%	8.1M	674.2M	-3.1M	0.19	5.75	14,945	2,860	188,777	122,539
2015-12-28	$119.56	$148.00	45.8%	13.3%	50.4%	55.8%	47.3%	5.6%	-0.1%	503.4K	811.0M	-2.7M	0.49	6.70	9,324	4,542	186,053	120,166
2015-12-29	$121.28	$148.00	44.0%	12.9%	50.9%	51.8%	46.1%	5.1%	-0.2%	631.9K	779.4M	-2.8M	0.22	7.48	9,827	2,164	187,334	121,090
2015-12-30	$118.08	$148.00	44.1%	12.7%	50.8%	52.0%	44.6%	6.5%	0.7%	-1.1M	864.7M	-2.5M	0.31	7.72	8,974	2,794	187,990	121,331
2015-12-31	$121.12	$148.00	43.8%	12.7%	50.8%	51.2%	44.5%	3.4%	0.1%	1.5M	806.3M	-2.7M	0.34	6.82	14,157	4,771	188,345	121,831