XOP Options History — March 2016

In March 2016, XOP traded between $100.64 and $123.76. ATM implied volatility averaged 47.6%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 8.4% (HV 20d: 56.0%). Max pain ranged from $104.00 to $120.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2016-03-23: Highest Volume — 55,081 contracts
  • 2016-03-30: Largest IV drop — 12.7% change
  • 2016-03-09: Highest IV Rank — 69.2%
  • 2016-03-08: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.14$100.64$123.76$100.64$121.40
Max Pain$114.91$104.00$120.00$112.00$120.00
ATM IV47.6%42.9%54.1%48.9%44.2%
Expected Move13.3%11.4%15.0%13.8%11.8%
HV 20d56.0%49.4%61.9%50.8%51.4%
HV 60d58.1%55.3%59.8%55.3%57.2%
IV Rank55.0%44.7%69.2%57.8%47.7%
IV Percentile68.1%49.6%86.9%75.4%55.2%
Term Structure-0.5%-3.5%1.6%-0.9%0.0%
VWIV48.4%42.2%54.3%50.0%42.2%
Skew 25d5.3%1.0%9.5%4.7%4.0%
Skew 10d12.9%5.2%21.7%16.0%13.4%
Call IV 25d44.0%39.7%50.1%44.2%40.5%
Put IV 25d49.2%43.8%58.1%49.0%44.5%
Bid-Ask Spread %9.645.0113.539.309.13
Gamma HHI0.090.060.150.100.12
Net GEX-4.2M-28.3M4.9M-5.5M-22.6M
Net DEX7.0M-293.2M278.7M278.7M91.8M
Net VEX-4.2M-4.8M-2.8M-2.8M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.799.241.172.24
Total Volume30,352.59111,14855,08119,97023,891
Total OI268,145.591210,947322,418210,947296,778

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$100.64$112.0048.9%13.8%50.8%57.8%50.0%4.7%-0.9%-5.5M278.7M-2.8M1.179.309,20210,768100,037110,910
2016-03-02$106.28$112.0048.4%12.7%52.6%56.6%47.1%4.7%0.3%1.5M149.8M-3.0M2.7810.818,25022,945102,602117,910
2016-03-03$111.52$104.0044.6%12.4%53.3%48.6%46.3%4.3%-0.6%4.8M6.1M-3.3M2.019.2311,45122,981106,424119,368
2016-03-04$115.52$104.0046.6%13.2%54.5%52.9%47.4%3.9%-0.2%3.9M-87.4M-3.6M1.1111.8922,20924,628109,334138,342
2016-03-07$120.08$108.0048.3%13.6%53.4%56.4%49.2%7.2%-0.2%4.7M-161.6M-4.1M0.7913.5313,53310,706114,356127,823
2016-03-08$110.28$112.0053.6%15.0%61.9%68.0%53.3%8.7%0.3%-761.9K111.8M-3.8M3.028.8010,27430,980119,782132,838
2016-03-09$114.28$112.0054.1%14.6%60.6%69.2%53.4%5.8%-3.5%116.9K10.4M-4.0M1.596.9712,68220,139123,869148,355
2016-03-10$113.80$112.0053.0%15.0%60.4%66.8%54.3%4.6%-1.3%-3.1M37.5M-4.0M5.727.235,44731,170122,906151,195
2016-03-11$119.04$112.0049.5%14.3%61.1%59.2%52.0%4.3%0.0%985.8K-158.5M-4.3M2.997.168,00723,979125,240162,302
2016-03-14$117.12$116.0051.6%14.9%61.7%63.7%53.4%5.1%-0.7%-3.3M-38.0M-4.2M2.807.233,87810,857125,628169,751
2016-03-15$117.20$116.0049.0%14.1%61.1%58.0%50.2%5.0%1.6%-3.4M-39.9M-4.2M2.445.016,90416,842129,069173,787
2016-03-16$122.00$116.0046.4%13.3%60.4%52.4%48.9%4.5%0.1%4.9M-244.3M-4.3M2.3213.1712,33928,609131,303176,422
2016-03-17$123.68$116.0043.8%12.5%57.4%46.8%46.4%4.5%1.3%4.2M-293.2M-4.6M1.7510.8710,37618,179134,131188,287
2016-03-18$123.40$116.0044.4%12.6%56.4%48.1%46.2%5.0%0.6%4.2M-148.7M-4.5M2.3012.929,56222,034125,295186,631
2016-03-21$123.24$120.0044.1%12.4%55.0%47.5%45.5%6.3%-0.9%140.6K-105.6M-4.7M1.847.385,3819,926104,377136,003
2016-03-22$123.76$120.0042.9%11.4%49.4%44.7%44.1%4.2%-0.3%1.6M-119.0M-4.7M4.749.046,16629,246106,778137,424
2016-03-23$117.76$120.0043.8%12.8%54.2%46.8%46.1%9.5%-1.3%-8.2M123.2M-4.6M5.2213.208,85646,225106,581140,284
2016-03-24$119.08$120.0047.6%12.9%54.1%55.1%43.4%6.3%-1.0%-13.9M155.9M-4.8M1.987.565,48410,875108,054156,462
2016-03-28$117.96$120.0047.8%13.8%54.3%55.5%49.4%5.7%-1.2%-17.7M235.0M-4.7M1.539.234,4036,745108,724160,193
2016-03-29$119.48$120.0050.4%13.8%54.1%61.0%50.6%1.0%-2.1%-16.2M157.4M-4.7M9.2410.314,57142,250110,778162,046
2016-03-30$119.52$120.0044.0%12.5%54.1%47.1%45.9%6.1%-0.4%-28.3M193.1M-4.7M2.7412.066,62718,180112,456178,368
2016-03-31$121.40$120.0044.2%11.8%51.4%47.7%42.2%4.0%0.0%-22.6M91.8M-4.7M2.249.137,38416,507113,726183,052