XOP Options History — September 2016

In September 2016, XOP traded between $140.72 and $156.76. ATM implied volatility averaged 33.8%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.5% (HV 20d: 30.3%). Max pain ranged from $140.00 to $152.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2016-09-28: Highest Volume — 58,593 contracts
  • 2016-09-13: Largest IV spike — 16.9% change
  • 2016-09-13: Highest IV Rank — 24.4%
  • 2016-09-13: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$147.96$140.72$156.76$146.16$154.20
Max Pain$149.14$140.00$152.00$140.00$148.00
ATM IV33.8%29.2%38.1%33.4%33.6%
Expected Move9.6%7.7%10.6%9.0%9.9%
HV 20d30.3%23.2%40.6%24.0%40.4%
HV 60d34.6%32.1%36.4%36.0%33.5%
IV Rank13.6%2.2%24.4%12.6%13.1%
IV Percentile14.0%0.8%25.8%10.3%13.9%
Term Structure-0.0%-1.0%0.9%0.3%0.1%
VWIV34.6%27.5%39.4%33.9%35.7%
Skew 25d5.4%4.6%6.9%5.7%4.6%
Skew 10d12.0%5.5%24.3%11.2%11.1%
Call IV 25d31.3%26.8%34.7%30.8%31.4%
Put IV 25d36.7%32.1%41.6%36.4%36.0%
Bid-Ask Spread %9.345.1723.406.267.91
Gamma HHI0.090.070.260.080.09
Net GEX-24.2M-73.8M25.8M-29.9M25.8M
Net DEX-25.8M-732.8M572.2M-14.1M-712.1M
Net VEX-6.4M-7.8M-5.6M-6.4M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.415.213.933.31
Total Volume30,929.33313,32758,59327,77933,162
Total OI376,228.095304,552428,346368,322428,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$146.16$140.0033.4%9.0%24.0%12.6%33.9%5.7%0.3%-29.9M-14.1M-6.4M3.936.265,63722,142130,522237,800
2016-09-02$149.08$140.0029.7%7.7%24.4%3.4%27.5%4.8%0.5%-23.9M-239.3M-6.2M3.396.464,10213,899133,335249,298
2016-09-06$150.88$144.0030.5%8.6%23.7%5.5%34.9%5.3%0.4%-16.2M-351.4M-5.9M4.835.483,16615,282131,056249,731
2016-09-07$152.28$144.0029.4%8.6%23.2%2.6%30.9%4.9%0.3%-8.7M-444.9M-5.8M1.116.926,3296,998130,524249,427
2016-09-08$156.76$144.0029.2%8.5%23.7%2.2%30.7%5.2%0.2%12.8M-732.8M-5.6M1.306.669,83612,780131,432250,669
2016-09-09$151.92$148.0033.4%9.6%25.6%12.7%36.6%6.1%0.0%-14.3M-370.0M-5.9M3.455.176,17421,305130,547255,533
2016-09-12$153.12$152.0032.6%9.6%25.6%10.6%35.7%6.0%0.9%-16.7M-416.7M-5.9M1.707.456,28310,675129,784262,082
2016-09-13$146.32$152.0038.1%10.6%30.1%24.4%38.4%6.9%-1.0%-41.8M99.8M-6.2M5.219.857,65139,886131,909268,464
2016-09-14$142.84$152.0037.8%10.6%31.2%23.7%39.4%6.8%-0.9%-59.8M444.9M-6.4M3.6411.416,55223,857133,581280,914
2016-09-15$145.00$152.0035.6%10.1%31.8%18.2%34.3%4.9%-0.4%-56.1M204.1M-6.3M1.1210.477,8338,789134,702287,870
2016-09-16$144.56$152.0034.5%9.9%29.9%15.4%33.3%5.7%-0.2%-73.8M322.9M-6.2M2.159.396,46113,892129,171278,308
2016-09-19$144.76$152.0034.2%9.8%29.9%14.7%35.0%5.5%-0.0%-29.8M341.9M-6.1M1.689.195,97310,05798,915205,637
2016-09-20$142.52$152.0035.0%10.0%29.5%16.6%30.2%5.5%0.2%-33.9M451.1M-6.2M5.075.585,12225,975101,851208,316
2016-09-21$147.36$152.0033.1%9.5%31.4%12.0%35.5%5.3%-0.1%-32.9M237.6M-6.3M2.3112.3611,55826,650105,099226,946
2016-09-22$148.92$152.0032.2%9.2%31.4%9.6%32.4%4.7%-0.4%-20.7M86.9M-6.2M1.4023.4018,29025,645112,915225,176
2016-09-23$144.60$152.0034.5%9.9%33.1%15.5%36.5%5.1%-0.4%-42.0M322.9M-6.4M2.3512.9713,81732,439119,127224,654
2016-09-26$144.32$152.0035.5%10.3%33.0%17.9%35.5%4.9%0.1%-30.5M340.5M-6.5M1.329.099,30212,265122,459229,881
2016-09-27$140.72$152.0036.3%10.5%33.9%19.9%36.6%4.8%-0.1%-41.9M572.2M-6.3M0.799.1627,13221,515123,959228,281
2016-09-28$149.36$150.0034.9%10.3%40.6%16.4%36.3%5.2%0.0%6.8M-216.7M-7.4M0.4113.4841,49917,094158,891240,732
2016-09-29$151.40$150.0035.6%10.4%40.0%18.2%37.5%5.4%-0.0%19.8M-467.8M-7.8M1.167.5924,25928,233175,081247,865
2016-09-30$154.20$148.0033.6%9.9%40.4%13.1%35.7%4.6%0.1%25.8M-712.1M-7.6M3.317.917,70125,461171,070257,276