XOP Options History — October 2016

In October 2016, XOP traded between $141.52 and $156.60. ATM implied volatility averaged 32.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.7% (HV 20d: 32.2%). Max pain ranged from $148.00 to $160.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2016-10-31: Highest Volume — 55,335 contracts
  • 2016-10-28: Largest IV spike — 9.8% change
  • 2016-10-31: Highest IV Rank — 17.6%
  • 2016-10-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$151.00$141.52$156.60$154.40$141.52
Max Pain$154.00$148.00$160.00$150.00$156.00
ATM IV32.9%29.4%35.4%34.9%35.4%
Expected Move9.5%8.6%10.4%10.4%10.3%
HV 20d32.2%19.3%40.7%39.9%20.3%
HV 60d31.6%28.9%33.4%33.3%29.4%
IV Rank11.3%2.7%17.6%16.5%17.6%
IV Percentile13.3%1.6%29.4%19.4%29.4%
Term Structure0.2%-1.0%2.1%0.3%-0.3%
VWIV33.9%29.7%37.6%37.2%35.4%
Skew 25d5.1%4.3%6.5%5.2%6.0%
Skew 10d9.1%2.0%16.0%16.0%8.8%
Call IV 25d30.6%27.5%33.1%32.6%33.1%
Put IV 25d35.7%31.9%39.2%37.9%39.2%
Bid-Ask Spread %8.845.3316.896.5414.08
Gamma HHI0.080.070.090.090.09
Net GEX-2.4M-46.5M24.5M24.1M-46.5M
Net DEX-75.0M-673.5M821.4M-563.6M821.4M
Net VEX-7.0M-7.3M-6.6M-7.2M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.696.071.736.07
Total Volume24,511.47615,04255,33520,13555,335
Total OI418,769.524360,877475,011410,072392,439

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$154.40$150.0034.9%10.4%39.9%16.5%37.2%5.2%0.3%24.1M-563.6M-7.2M1.736.547,37112,764156,506253,566
2016-10-04$152.40$150.0035.0%10.2%40.0%16.6%35.9%5.4%0.4%21.0M-394.2M-7.3M0.697.7015,03010,443158,627257,329
2016-10-05$155.88$150.0033.8%9.6%40.7%13.6%34.7%4.7%0.9%18.3M-635.0M-7.0M1.847.469,56817,643152,901265,912
2016-10-06$155.68$148.0033.4%9.7%39.3%12.6%36.1%4.6%1.1%24.5M-643.6M-7.1M1.117.309,20410,213157,481271,431
2016-10-07$153.32$148.0032.9%9.8%38.0%11.3%35.8%4.3%1.4%21.7M-400.8M-7.2M1.396.978,48011,804160,272275,984
2016-10-10$156.60$148.0032.2%9.3%38.7%9.5%32.2%4.9%0.5%18.8M-673.5M-6.6M1.287.086,7248,590151,897262,822
2016-10-11$154.40$152.0034.5%9.8%35.1%15.4%37.6%6.3%-0.9%13.8M-456.9M-6.8M1.965.335,39410,553153,629265,441
2016-10-12$152.88$152.0034.6%9.7%34.0%15.8%36.6%5.0%-0.7%6.7M-297.4M-6.9M2.107.698,85218,573153,436268,349
2016-10-13$152.28$152.0035.3%9.9%33.8%17.3%33.4%5.3%-1.0%-960.3K-199.3M-7.0M0.886.2213,68712,024152,392275,936
2016-10-14$151.08$156.0033.4%9.4%34.0%12.5%31.3%6.5%-0.1%2.1M-58.6M-6.9M2.406.5610,20724,537156,632280,002
2016-10-17$149.56$160.0033.7%9.6%34.2%13.2%32.2%5.3%-0.8%-4.3M113.8M-6.9M2.805.644,66413,072155,244285,926
2016-10-18$149.52$156.0032.9%9.4%33.6%11.4%33.0%5.0%-0.9%-6.1M160.5M-7.0M2.415.345,80513,978155,998293,278
2016-10-19$152.20$160.0031.1%8.9%32.2%7.0%32.8%5.0%-0.9%10.9M-134.5M-7.0M2.907.456,51818,902156,068299,755
2016-10-20$152.12$160.0030.4%8.7%32.0%5.1%32.9%4.7%-0.5%14.5M-129.9M-7.0M2.048.797,24614,783157,917310,856
2016-10-21$151.60$156.0029.7%8.6%30.0%3.4%31.0%5.1%-0.4%-13.0M-91.9M-7.0M3.646.534,78317,403159,240315,771
2016-10-24$149.68$156.0029.4%8.6%30.4%2.7%29.7%4.4%1.1%-24.8M235.4M-6.8M2.3511.144,49510,547113,447247,430
2016-10-25$147.08$156.0030.0%8.9%29.6%4.1%30.9%4.3%0.9%-30.4M377.7M-6.8M3.0314.754,05412,276114,993248,957
2016-10-26$146.76$156.0031.4%9.1%20.4%7.6%32.7%5.1%1.2%-32.4M423.4M-6.9M1.9516.8913,44826,240116,497253,284
2016-10-27$147.36$156.0031.5%9.2%19.8%7.9%33.6%4.9%2.1%-30.2M389.9M-7.3M2.9613.174,69413,878126,220266,805
2016-10-28$144.68$156.0034.6%10.1%19.3%15.7%36.9%5.4%1.2%-37.4M581.7M-7.3M1.7513.0611,26219,697127,904265,586
2016-10-31$141.52$156.0035.4%10.3%20.3%17.6%35.4%6.0%-0.3%-46.5M821.4M-7.0M6.0714.087,82447,511125,616266,823