XOP Options History — January 2016

In January 2016, XOP traded between $95.20 and $121.36. ATM implied volatility averaged 55.3%, placing in the 77.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 0.3% (HV 20d: 55.0%). Max pain ranged from $108.00 to $124.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.34.

Notable Days

2016-01-28: Highest Volume — 46,832 contracts
2016-01-06: Largest IV spike — 12.8% change
2016-01-20: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.38	$95.20	$121.36	$121.36	$113.96
Max Pain	$111.79	$108.00	$124.00	$124.00	$108.00
ATM IV	55.3%	44.9%	66.1%	47.5%	51.0%
Expected Move	15.8%	12.8%	18.9%	13.3%	14.8%
HV 20d	55.0%	49.2%	65.6%	50.9%	65.6%
HV 60d	47.1%	43.4%	53.1%	43.4%	53.1%
IV Rank	77.2%	53.9%	100.0%	59.9%	65.5%
IV Percentile	93.7%	67.9%	100.0%	77.0%	88.5%
Term Structure	-1.0%	-2.6%	0.2%	-1.0%	-0.2%
VWIV	56.4%	44.1%	68.7%	45.7%	56.4%
Skew 25d	7.9%	4.2%	12.5%	4.2%	5.8%
Skew 10d	15.1%	7.1%	23.3%	9.5%	15.5%
Call IV 25d	51.7%	43.1%	60.1%	45.3%	48.1%
Put IV 25d	59.6%	48.2%	72.6%	49.5%	53.9%
Bid-Ask Spread %	10.51	7.20	25.49	25.49	11.79
Gamma HHI	0.09	0.07	0.11	0.10	0.07
Net GEX	-3.8M	-7.4M	3.6M	3.0M	-1.6M
Net DEX	634.6M	59.9M	1.06B	757.9M	59.9M
Net VEX	-2.4M	-3.3M	-1.9M	-2.6M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.40	4.34	0.40	2.14
Total Volume	21,833.105	6,659	46,832	6,814	19,563
Total OI	255,885.526	139,868	357,195	303,041	213,736

Daily Data (19 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
2016-01-04	$121.36	$124.00	47.5%	13.3%	50.9%	59.9%	45.7%	4.2%	-1.0%	3.0M	757.9M	-2.6M	0.40	25.49	4,862	1,952	184,198	118,843
2016-01-05	$121.20	$124.00	44.9%	12.8%	50.5%	53.9%	44.1%	5.1%	0.2%	3.6M	759.7M	-2.6M	0.63	11.97	4,084	2,575	184,506	118,496
2016-01-06	$112.48	$124.00	50.7%	14.1%	51.1%	67.6%	51.1%	5.9%	-0.6%	-2.8M	914.9M	-2.2M	2.13	13.25	7,464	15,927	184,916	119,294
2016-01-07	$110.24	$124.00	53.9%	15.1%	51.1%	75.2%	55.3%	6.5%	-0.5%	-6.5M	985.5M	-2.2M	0.94	8.53	10,331	9,762	188,742	132,534
2016-01-08	$110.48	$116.00	52.3%	14.6%	50.9%	71.5%	53.9%	7.2%	-0.4%	-4.6M	967.5M	-2.2M	0.80	8.90	6,210	4,960	191,800	131,998
2016-01-11	$106.16	$108.00	52.5%	14.6%	51.2%	72.0%	49.3%	6.2%	-1.9%	-7.4M	1.02B	-2.0M	0.81	8.80	5,176	4,212	190,790	132,962
2016-01-12	$104.24	$108.00	53.6%	15.1%	49.2%	74.5%	53.7%	4.7%	-1.9%	-7.1M	1.03B	-1.9M	0.83	13.19	17,429	14,461	192,655	133,977
2016-01-13	$100.92	$108.00	56.3%	15.7%	49.6%	80.8%	55.5%	7.2%	-1.6%	-5.7M	1.04B	-2.0M	1.00	11.38	11,392	11,411	204,253	141,503
2016-01-14	$104.40	$108.00	54.6%	15.5%	50.9%	77.0%	55.9%	7.0%	-1.0%	-4.5M	1.02B	-2.2M	1.19	8.68	8,380	9,935	208,709	143,225
2016-01-15	$100.84	$108.00	58.7%	16.5%	51.4%	86.6%	57.5%	7.7%	-2.6%	-4.3M	1.06B	-2.1M	0.80	8.19	11,774	9,404	207,617	149,578
2016-01-19	$95.76	$108.00	59.3%	16.9%	53.0%	88.0%	58.4%	9.0%	-0.9%	-5.4M	386.7M	-1.9M	1.50	10.04	6,253	9,396	64,837	75,031
2016-01-20	$95.20	$108.00	66.1%	18.9%	52.9%	100.0%	68.7%	12.5%	-2.3%	-4.6M	379.9M	-2.0M	3.83	10.20	8,689	33,244	66,934	78,308
2016-01-21	$101.96	$108.00	60.9%	17.5%	59.7%	88.2%	61.4%	11.8%	-0.6%	-4.5M	313.1M	-2.3M	0.76	7.92	11,747	8,905	70,754	94,368
2016-01-22	$105.64	$108.00	55.6%	16.0%	61.1%	76.1%	56.2%	11.2%	-0.4%	-3.8M	245.4M	-2.5M	1.04	8.26	16,210	16,853	73,933	96,823
2016-01-25	$98.40	$108.00	62.4%	18.4%	57.8%	91.5%	66.3%	12.2%	-1.6%	-6.3M	371.8M	-2.6M	1.24	8.80	12,406	15,370	79,374	104,352
2016-01-26	$104.32	$108.00	58.7%	17.1%	63.0%	83.0%	63.9%	8.9%	-1.0%	-4.7M	291.9M	-2.9M	0.48	7.20	15,133	7,334	82,454	107,676
2016-01-27	$105.00	$108.00	57.9%	16.8%	62.2%	81.3%	59.0%	9.5%	-0.4%	-3.7M	263.9M	-2.9M	0.58	9.59	9,591	5,602	84,812	109,973
2016-01-28	$108.72	$108.00	54.5%	15.9%	63.6%	73.6%	58.8%	7.5%	-0.2%	-801.2K	185.9M	-3.0M	4.34	7.47	8,778	38,054	86,477	111,387
2016-01-29	$113.96	$108.00	51.0%	14.8%	65.6%	65.5%	56.4%	5.8%	-0.2%	-1.6M	59.9M	-3.3M	2.14	11.79	6,236	13,327	90,089	123,647