XOP Options History — November 2016

In November 2016, XOP traded between $139.08 and $167.20. ATM implied volatility averaged 38.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 12.7% (HV 20d: 25.9%). Max pain ranged from $144.00 to $156.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.56.

Notable Days

  • 2016-11-30: Highest Volume — 172,088 contracts
  • 2016-11-30: Largest IV drop — 22.9% change
  • 2016-11-29: Highest IV Rank — 40.9%
  • 2016-11-29: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.29$139.08$167.20$141.48$167.20
Max Pain$148.48$144.00$156.00$156.00$156.00
ATM IV38.6%34.5%44.7%37.5%34.5%
Expected Move11.5%10.2%15.2%10.8%10.9%
HV 20d25.9%17.5%48.9%20.1%48.9%
HV 60d30.2%28.4%38.5%29.0%38.5%
IV Rank25.7%15.3%40.9%22.8%15.3%
IV Percentile42.7%23.0%70.6%36.9%23.0%
Term Structure-0.8%-2.5%1.1%-0.3%-0.5%
VWIV42.5%36.8%54.0%39.3%43.3%
Skew 25d6.0%4.4%7.3%5.4%4.4%
Skew 10d12.3%6.5%22.4%8.2%10.4%
Call IV 25d36.0%32.4%41.9%35.2%32.9%
Put IV 25d41.9%37.4%47.0%40.6%37.4%
Bid-Ask Spread %10.137.3416.4514.539.40
Gamma HHI0.090.070.100.090.07
Net GEX-31.8M-81.9M16.7M-46.0M16.7M
Net DEX232.2M-1.23B999.6M815.2M-1.23B
Net VEX-7.5M-8.4M-6.6M-7.2M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.885.593.565.11
Total Volume50,504.14313,576172,08814,651172,088
Total OI495,044.429396,735670,812400,014670,812

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$141.48$156.0037.5%10.8%20.1%22.8%39.3%5.4%-0.3%-46.0M815.2M-7.2M3.5614.533,21111,440129,919270,095
2016-11-02$139.40$156.0038.7%11.2%17.8%25.9%38.7%6.1%-0.4%-49.9M954.4M-7.1M2.8816.4518,36452,963127,602269,133
2016-11-03$139.96$144.0040.2%11.4%18.1%29.6%41.6%6.1%-0.7%-52.4M993.1M-7.7M2.9711.0810,36130,746137,219291,083
2016-11-04$139.08$144.0039.0%11.1%17.7%26.5%38.6%6.0%-0.7%-50.9M999.6M-7.5M2.257.3412,57528,324138,482290,555
2016-11-07$141.88$144.0035.8%10.6%17.5%18.7%36.8%6.4%1.1%-49.6M804.7M-7.6M2.058.014,4579,119143,114301,898
2016-11-08$142.64$144.0037.2%10.7%17.5%22.2%40.4%5.2%-0.4%-46.1M747.9M-7.6M4.129.145,52822,797143,493303,304
2016-11-09$148.08$144.0035.0%10.3%22.7%16.7%39.3%5.7%0.8%-26.8M272.7M-7.5M3.1111.798,92627,717145,938310,420
2016-11-10$148.24$144.0035.0%10.2%22.7%16.7%38.0%5.3%0.8%-25.3M257.7M-7.5M2.117.868,42817,817148,793317,693
2016-11-11$146.08$144.0037.8%10.9%23.1%23.6%39.0%5.8%0.2%-43.8M515.4M-7.7M1.019.2416,88617,116151,055323,207
2016-11-14$147.36$144.0038.6%11.1%23.1%25.6%39.7%5.0%-1.9%-47.7M454.0M-7.2M1.617.779,59615,481139,579320,469
2016-11-15$154.12$144.0036.9%10.6%28.2%21.3%39.1%4.9%-0.8%-11.1M-194.8M-6.7M0.888.3031,96928,048140,494317,659
2016-11-16$152.72$148.0040.0%11.5%27.8%29.2%44.4%6.3%-1.7%-17.9M-34.2M-7.2M2.5111.0124,19160,808148,372324,054
2016-11-17$152.56$148.0038.2%11.0%27.8%24.7%40.8%5.8%-1.1%-16.8M25.0M-7.4M1.8110.7311,78521,336158,704353,804
2016-11-18$153.28$148.0040.2%11.7%27.8%29.5%43.0%6.8%-2.3%-17.1M12.5M-7.5M1.0710.9722,85224,495159,438365,875
2016-11-21$159.28$148.0038.9%11.5%30.4%26.4%45.6%6.9%-1.4%-5.9M-462.7M-7.4M1.878.8616,09030,137149,849340,838
2016-11-22$159.72$148.0039.4%11.9%29.4%27.6%44.4%7.1%-1.4%-9.4M-449.6M-7.4M1.369.8318,47625,056151,245358,441
2016-11-23$160.84$148.0038.7%11.9%29.3%25.9%44.4%7.1%-1.7%-6.8M-517.9M-7.8M5.5910.618,80949,227161,460405,770
2016-11-25$158.68$154.0041.7%13.1%30.0%33.3%48.1%7.3%-2.5%-23.9M-262.7M-8.0M2.6510.856,73817,829163,776420,368
2016-11-28$153.40$156.0043.1%14.8%31.9%36.9%53.2%6.6%-1.4%-54.2M365.9M-8.1M2.479.2417,99144,504156,201422,719
2016-11-29$150.12$156.0044.7%15.2%31.9%40.9%54.0%5.1%-1.5%-81.9M812.5M-8.4M2.669.7426,29870,008161,252461,751
2016-11-30$167.20$156.0034.5%10.9%48.9%15.3%43.3%4.4%-0.5%16.7M-1.23B-6.6M5.119.4028,173143,915175,721495,091