XOP Options History — December 2016

In December 2016, XOP traded between $165.32 and $173.80. ATM implied volatility averaged 29.2%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 14.1% (HV 20d: 43.3%). Max pain ranged from $152.00 to $160.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2016-12-05: Highest Volume — 48,125 contracts
  • 2016-12-02: Largest IV drop — 14.5% change
  • 2016-12-01: Highest IV Rank — 17.6%
  • 2016-12-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$169.26$165.32$173.80$168.24$165.32
Max Pain$158.29$152.00$160.00$156.00$160.00
ATM IV29.2%26.7%35.4%35.4%29.2%
Expected Move8.4%7.3%11.2%11.2%8.0%
HV 20d43.3%16.8%48.3%48.2%16.8%
HV 60d35.2%32.3%38.5%38.5%32.3%
IV Rank3.9%0.0%17.6%17.6%6.1%
IV Percentile4.9%0.0%31.0%31.0%5.2%
Term Structure0.6%-0.6%1.4%-0.6%1.2%
VWIV29.8%24.6%39.8%39.8%27.6%
Skew 25d3.0%2.2%4.4%4.4%3.0%
Skew 10d5.3%1.6%11.9%6.8%1.9%
Call IV 25d28.3%25.5%33.7%33.7%27.9%
Put IV 25d31.3%28.0%38.1%38.1%30.9%
Bid-Ask Spread %7.974.1815.5610.474.79
Gamma HHI0.110.070.170.080.10
Net GEX7.4M-23.5M37.0M17.8M-23.5M
Net DEX-798.9M-1.41B-166.7M-1.32B-166.7M
Net VEX-6.1M-6.9M-5.6M-6.9M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.415.512.251.36
Total Volume26,1148,32348,12541,68715,044
Total OI521,987.524387,090678,343678,343402,855

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$168.24$156.0035.4%11.2%48.2%17.6%39.8%4.4%-0.6%17.8M-1.32B-6.9M2.2510.4712,83228,855186,106492,237
2016-12-02$168.08$156.0030.3%9.2%48.3%4.8%33.7%3.5%0.2%37.0M-1.41B-6.1M2.607.2212,66632,917180,959474,965
2016-12-05$170.12$152.0030.1%8.8%47.9%4.4%30.4%4.0%0.4%18.4M-1.20B-5.8M0.985.3324,30823,817158,234412,032
2016-12-06$170.80$152.0030.0%8.7%47.8%4.1%32.6%3.2%0.6%18.1M-1.19B-6.0M2.647.015,81315,356166,521412,507
2016-12-07$170.96$152.0030.6%8.9%47.9%5.6%34.3%3.3%0.5%18.2M-1.19B-6.1M5.298.434,16822,032167,859420,937
2016-12-08$173.32$156.0030.9%9.1%46.8%6.3%32.1%3.0%0.6%22.6M-1.35B-5.9M2.194.1813,10128,701167,655430,922
2016-12-09$172.80$160.0029.9%8.8%46.9%3.8%30.4%2.9%0.6%17.7M-1.25B-6.2M1.636.906,60110,788169,894447,208
2016-12-12$171.44$160.0028.3%8.1%46.5%0.0%28.7%3.1%-0.2%9.1M-1.10B-5.7M2.478.2112,81831,667161,187441,765
2016-12-13$173.80$160.0029.9%8.7%46.6%3.8%30.2%2.6%0.3%13.8M-1.28B-6.0M0.5910.3421,20212,510164,369452,651
2016-12-14$167.96$160.0031.7%9.1%46.8%8.5%31.4%2.8%0.0%1.1M-799.6M-6.6M1.9410.9012,76524,723176,811452,373
2016-12-15$167.48$160.0030.2%8.6%46.6%4.6%30.7%2.8%-0.5%-2.8M-676.0M-6.7M1.846.9712,79223,575184,287463,838
2016-12-16$167.68$160.0027.8%8.0%46.6%0.0%27.6%2.4%0.0%25.5M-399.2M-6.4M1.154.5510,44812,049159,998464,481
2016-12-19$168.84$160.0026.9%7.7%46.6%0.0%26.2%2.2%1.1%3.7M-483.6M-6.2M1.055.464,0674,256140,860250,092
2016-12-20$167.88$160.0027.2%7.8%44.9%0.7%26.4%2.7%0.6%788.5K-410.9M-6.1M5.517.202,39213,191142,379250,273
2016-12-21$168.16$160.0027.4%7.8%44.9%1.0%29.4%2.8%0.7%-954.9K-429.9M-6.1M4.9315.562,93514,456142,354249,211
2016-12-22$168.72$160.0027.5%7.8%44.9%1.3%28.1%2.6%1.0%-360.8K-462.8M-6.1M3.107.432,9039,004143,752252,509
2016-12-23$168.68$160.0026.7%7.5%44.5%0.0%25.6%2.5%1.3%-2.6M-460.5M-6.0M3.106.432,2186,883144,512255,507
2016-12-27$169.60$160.0027.0%7.3%42.4%0.7%24.6%3.2%1.4%8.2M-535.8M-5.6M0.416.1510,5194,325141,700251,485
2016-12-28$168.04$160.0028.5%7.9%41.5%4.2%27.7%3.2%1.2%-9.1M-365.6M-5.7M0.8510.8310,4858,922135,249251,841
2016-12-29$166.48$160.0028.8%7.9%16.8%5.0%27.6%3.3%1.2%-18.2M-292.9M-5.8M1.2412.949,04511,245142,721254,642
2016-12-30$165.32$160.0029.2%8.0%16.8%6.1%27.6%3.0%1.2%-23.5M-166.7M-5.8M1.364.796,3718,673145,031257,824