XOP Options History — August 2016

In August 2016, XOP traded between $130.88 and $151.60. ATM implied volatility averaged 31.8%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.7% (HV 20d: 32.5%). Max pain ranged from $136.00 to $140.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.96.

Notable Days

2016-08-19: Highest Volume — 35,592 contracts
2016-08-05: Largest IV drop — 5.8% change
2016-08-01: Highest IV Rank — 16.7%
2016-08-01: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$144.49	$130.88	$151.60	$130.88	$146.80
Max Pain	$137.91	$136.00	$140.00	$140.00	$140.00
ATM IV	31.8%	28.3%	37.9%	37.9%	33.0%
Expected Move	9.2%	7.9%	11.6%	11.6%	9.0%
HV 20d	32.5%	23.9%	36.2%	35.7%	23.9%
HV 60d	36.1%	35.5%	36.6%	35.7%	36.0%
IV Rank	5.1%	0.0%	16.7%	16.7%	11.7%
IV Percentile	3.5%	0.0%	14.7%	14.7%	9.1%
Term Structure	0.7%	-0.7%	1.9%	-0.6%	0.1%
VWIV	34.0%	30.5%	41.0%	41.0%	32.4%
Skew 25d	5.3%	3.5%	6.7%	4.9%	5.6%
Skew 10d	11.8%	-3.7%	20.8%	3.3%	8.6%
Call IV 25d	29.7%	25.9%	35.2%	35.2%	30.2%
Put IV 25d	35.0%	31.4%	40.6%	40.1%	35.9%
Bid-Ask Spread %	6.91	4.15	10.83	6.28	6.05
Gamma HHI	0.09	0.07	0.11	0.10	0.08
Net GEX	-9.3M	-32.9M	14.7M	-32.6M	-23.4M
Net DEX	-149.2M	-627.2M	524.4M	524.4M	-81.6M
Net VEX	-5.9M	-6.5M	-5.7M	-5.7M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.96	0.96	6.55	1.27	5.80
Total Volume	20,600.478	8,003	35,592	31,054	17,000
Total OI	339,507.522	307,603	376,356	307,603	360,611

Daily Data (23 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
2016-08-01	$130.88	$140.00	37.9%	11.6%	35.7%	16.7%	41.0%	4.9%	-0.6%	-32.6M	524.4M	-5.7M	1.27	6.28	13,696	17,358	110,690	196,913
2016-08-02	$131.84	$140.00	37.3%	11.3%	33.1%	15.1%	40.0%	5.7%	-0.7%	-32.9M	485.0M	-5.9M	2.21	4.15	6,025	13,327	116,788	203,319
2016-08-03	$137.20	$140.00	35.2%	10.3%	36.2%	9.4%	38.7%	5.8%	-0.3%	-24.1M	207.4M	-5.8M	0.96	10.83	9,346	8,968	111,379	207,007
2016-08-04	$137.92	$136.00	33.9%	10.0%	35.6%	5.8%	36.9%	4.6%	0.1%	-18.9M	113.1M	-5.8M	1.39	7.28	7,724	10,763	116,049	208,138
2016-08-05	$139.96	$136.00	31.9%	9.4%	35.3%	0.4%	35.9%	3.9%	0.1%	-11.5M	-23.7M	-5.7M	3.48	5.56	6,906	24,019	117,998	207,661
2016-08-08	$143.04	$136.00	31.3%	9.4%	36.0%	0.0%	35.0%	4.0%	1.4%	-3.3M	-166.1M	-5.7M	2.18	7.47	7,312	15,922	117,715	203,352
2016-08-09	$141.40	$136.00	31.6%	9.6%	32.2%	0.7%	34.5%	4.8%	1.8%	-9.1M	-70.8M	-5.7M	2.11	7.19	4,735	9,989	119,040	207,084
2016-08-10	$139.24	$136.00	31.7%	9.5%	31.8%	0.9%	35.5%	3.5%	1.4%	-16.8M	67.8M	-5.7M	6.55	7.48	4,204	27,529	120,418	211,439
2016-08-11	$143.20	$136.00	30.4%	9.0%	33.4%	0.0%	35.5%	4.0%	1.3%	-5.2M	-139.8M	-5.9M	2.06	7.13	8,270	17,032	120,634	225,040
2016-08-12	$144.36	$136.00	31.1%	9.2%	33.3%	1.7%	33.3%	5.1%	1.2%	2.3M	-210.6M	-6.1M	2.32	7.14	7,233	16,774	124,433	229,694
2016-08-15	$147.12	$136.00	30.0%	8.7%	33.9%	0.0%	34.7%	5.3%	0.8%	4.7M	-358.1M	-5.9M	3.05	4.93	5,161	15,755	124,347	234,594
2016-08-16	$147.32	$136.00	30.4%	8.7%	33.4%	1.0%	32.3%	5.4%	1.2%	7.6M	-389.7M	-5.9M	1.83	7.66	4,798	8,799	126,384	233,407
2016-08-17	$147.40	$136.00	29.7%	8.5%	33.4%	0.0%	32.1%	5.3%	1.1%	8.5M	-381.5M	-5.8M	4.38	8.67	2,146	9,391	127,160	235,514
2016-08-18	$151.60	$136.00	28.5%	8.1%	33.6%	0.0%	31.7%	5.4%	1.0%	14.7M	-627.2M	-5.7M	1.41	7.43	9,551	13,488	128,170	240,265
2016-08-19	$150.52	$136.00	28.3%	7.9%	33.9%	0.0%	31.3%	5.5%	1.9%	532.9K	-552.4M	-5.8M	5.73	6.96	5,288	30,304	130,148	246,208
2016-08-22	$147.40	$140.00	29.6%	8.2%	33.3%	3.2%	30.5%	5.6%	0.6%	-9.9M	-209.9M	-5.8M	1.86	4.96	4,045	7,540	116,456	195,109
2016-08-23	$149.92	$140.00	30.2%	8.4%	33.2%	4.7%	32.6%	5.2%	0.5%	-5.1M	-328.8M	-5.8M	5.62	6.94	3,304	18,567	118,248	197,117
2016-08-24	$148.40	$140.00	31.8%	8.9%	32.3%	8.7%	31.3%	6.2%	0.1%	-10.8M	-225.7M	-6.1M	1.55	7.54	3,137	4,866	119,504	203,843
2016-08-25	$148.40	$140.00	33.3%	9.3%	32.3%	12.2%	34.3%	6.7%	0.5%	-13.0M	-207.2M	-6.2M	1.42	9.57	13,727	19,507	121,451	206,824
2016-08-26	$149.12	$140.00	31.9%	8.8%	31.4%	8.9%	30.7%	5.9%	1.0%	-15.1M	-248.3M	-6.5M	1.12	6.47	7,440	8,308	132,698	223,498
2016-08-29	$150.28	$140.00	31.2%	8.4%	25.1%	7.2%	31.9%	6.0%	0.4%	-9.8M	-312.5M	-6.3M	4.99	5.43	2,007	10,017	130,010	224,380
2016-08-30	$150.04	$140.00	31.7%	8.5%	25.3%	8.3%	31.0%	6.5%	0.0%	-11.1M	-296.2M	-6.3M	4.72	5.71	2,191	10,342	130,280	227,656
2016-08-31	$146.80	$140.00	33.0%	9.0%	23.9%	11.7%	32.4%	5.6%	0.1%	-23.4M	-81.6M	-6.3M	5.80	6.05	2,501	14,499	130,158	230,453