XOP Options History — February 2016

In February 2016, XOP traded between $94.56 and $110.20. ATM implied volatility averaged 58.1%, placing in the 79.4% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 4.3% (HV 20d: 62.4%). Max pain ranged from $108.00 to $132.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.86.

Notable Days

  • 2016-02-16: Highest Volume — 30,793 contracts
  • 2016-02-08: Largest IV spike — 10.6% change
  • 2016-02-11: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.39$94.56$110.20$110.20$98.72
Max Pain$118.00$108.00$132.00$108.00$116.00
ATM IV58.1%51.2%68.3%54.4%51.2%
Expected Move16.6%14.5%19.4%15.9%14.6%
HV 20d62.4%50.9%69.4%65.7%50.9%
HV 60d54.3%52.7%55.7%53.1%55.7%
IV Rank79.4%62.7%100.0%73.2%62.7%
IV Percentile93.2%81.0%100.0%93.3%81.0%
Term Structure-0.9%-2.4%1.9%0.0%0.2%
VWIV58.4%51.1%67.0%57.6%52.2%
Skew 25d8.4%5.9%11.6%7.4%7.6%
Skew 10d15.7%10.0%18.2%14.4%17.5%
Call IV 25d53.3%44.7%63.7%50.6%45.2%
Put IV 25d61.7%52.7%72.7%58.0%52.7%
Bid-Ask Spread %8.516.3010.797.646.30
Gamma HHI0.100.060.210.070.09
Net GEX-7.8M-19.2M-1.6M-4.8M-3.4M
Net DEX352.0M183.7M546.1M189.9M283.0M
Net VEX-2.8M-3.2M-2.5M-3.1M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.318.523.023.20
Total Volume20,363.4511,10430,79314,64122,920
Total OI214,239.1183,707248,071201,407194,172

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$110.20$108.0054.4%15.9%65.7%73.2%57.6%7.4%0.0%-4.8M189.9M-3.1M3.027.643,64510,99683,431117,976
2016-02-02$105.44$108.0056.1%16.4%67.1%77.3%57.9%8.7%0.6%-8.6M306.9M-3.0M1.546.924,8987,56583,542119,857
2016-02-03$110.00$108.0059.2%17.9%69.4%84.2%62.0%6.1%-1.1%-5.5M214.2M-3.2M0.519.9714,9997,67283,610121,610
2016-02-04$109.28$128.0054.7%15.7%64.3%74.0%53.3%8.6%-0.1%-3.7M183.7M-3.2M0.546.5915,2738,22892,353124,387
2016-02-05$104.88$132.0057.9%16.5%65.6%81.2%56.5%10.1%-0.3%-9.7M327.2M-3.1M8.529.462,52721,52792,544129,666
2016-02-08$102.64$128.0064.0%17.7%65.9%95.2%61.9%8.7%-2.0%-10.6M383.0M-2.9M0.927.598,5037,84690,562125,166
2016-02-09$98.52$128.0065.2%18.2%65.9%97.9%63.2%9.9%-1.9%-11.3M454.5M-2.7M0.929.0011,97811,05892,292124,010
2016-02-10$97.60$120.0064.4%18.6%65.8%96.2%67.0%11.6%1.9%-11.5M466.1M-2.7M1.3010.534,8206,28498,773127,241
2016-02-11$96.04$120.0068.3%19.4%65.1%100.0%64.9%9.0%-1.5%-12.2M503.2M-2.7M1.049.5411,31411,72997,799129,945
2016-02-12$98.04$120.0062.9%17.9%64.2%88.2%60.2%9.1%-1.4%-6.7M434.2M-2.7M0.378.6212,4334,557101,768132,282
2016-02-16$96.44$116.0062.9%18.1%63.4%88.3%64.0%9.5%-1.2%-17.0M488.8M-2.5M0.709.0218,14512,64896,643129,442
2016-02-17$101.28$116.0058.7%16.8%63.0%79.2%61.1%8.5%-1.3%-12.8M345.3M-2.9M1.058.0914,56115,354110,479134,198
2016-02-18$97.20$116.0057.5%16.6%64.9%76.4%54.3%8.4%-2.4%-19.2M450.5M-2.7M0.4710.4216,8087,867113,510133,337
2016-02-19$95.20$116.0056.3%15.9%60.1%73.8%57.2%7.5%0.6%-2.5M546.1M-2.6M1.128.8512,05713,513114,668133,403
2016-02-22$99.88$116.0051.3%15.0%61.3%63.0%51.1%7.0%-0.5%-1.6M251.0M-2.8M0.316.6512,9704,05093,57290,135
2016-02-23$94.56$116.0054.3%15.7%59.2%69.5%55.7%9.8%-1.6%-3.8M320.5M-2.6M2.707.103,5989,72396,29890,881
2016-02-24$96.36$116.0053.2%15.6%55.4%67.1%56.1%5.9%-1.2%-2.6M300.6M-2.5M2.988.204,95614,78295,79688,243
2016-02-25$96.56$116.0056.0%15.6%55.3%73.2%56.6%5.9%-2.4%-4.2M303.5M-2.7M3.0110.794,78014,38097,06796,583
2016-02-26$99.00$116.0053.1%14.5%54.5%67.0%56.0%9.5%-1.6%-5.3M288.1M-2.8M2.888.954,20212,10398,543108,998
2016-02-29$98.72$116.0051.2%14.6%50.9%62.7%52.2%7.6%0.2%-3.4M283.0M-2.7M3.206.305,45317,46796,74297,430