XOP Options History — January 2017

In January 2017, XOP traded between $160.08 and $168.84. ATM implied volatility averaged 26.2%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.2% (HV 20d: 17.1%). Max pain ranged from $160.00 to $168.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2017-01-18: Highest Volume — 38,827 contracts
  • 2017-01-30: Largest IV spike — 17.5% change
  • 2017-01-31: Highest IV Rank — 9.4%
  • 2017-01-05: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.53$160.08$168.84$167.76$160.08
Max Pain$167.20$160.00$168.00$160.00$168.00
ATM IV26.2%22.3%30.6%30.2%26.6%
Expected Move7.5%6.2%9.0%8.4%7.7%
HV 20d17.1%14.4%19.4%17.6%19.3%
HV 60d32.1%31.5%32.4%32.4%32.0%
IV Rank3.2%0.0%9.4%8.3%9.4%
IV Percentile3.1%0.0%13.5%10.3%4.4%
Term Structure0.5%-0.0%1.0%0.3%0.6%
VWIV25.9%20.8%30.9%29.4%26.7%
Skew 25d2.4%1.5%3.3%3.3%3.1%
Skew 10d5.1%2.3%9.4%9.2%4.6%
Call IV 25d25.5%21.7%29.7%29.0%25.5%
Put IV 25d27.9%23.6%32.3%32.3%28.7%
Bid-Ask Spread %12.137.1920.7111.189.82
Gamma HHI0.100.070.300.100.10
Net GEX-2.7M-33.3M34.0M8.1M-33.3M
Net DEX16.9M-511.5M570.6M-396.0M570.6M
Net VEX-5.8M-6.5M-5.2M-5.5M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.234.120.771.67
Total Volume21,422.412,95338,82718,06924,268
Total OI376,102.4264,605476,506383,105297,335

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$167.76$160.0030.2%8.4%17.6%8.3%29.4%3.3%0.3%8.1M-396.0M-5.5M0.7711.1810,1857,884141,802241,303
2017-01-04$168.84$160.0030.6%8.6%17.2%9.2%30.1%2.5%0.5%15.4M-511.5M-5.5M0.4410.2813,4885,882146,961243,024
2017-01-05$168.40$168.0030.3%9.0%17.2%8.5%30.9%2.4%0.6%18.1M-498.9M-5.5M0.239.8322,4465,053155,161244,771
2017-01-06$167.52$168.0028.1%8.4%17.2%3.3%29.0%1.7%0.9%12.4M-447.2M-5.4M0.627.8812,1367,546157,180246,338
2017-01-09$162.60$168.0029.2%8.4%19.1%6.1%30.0%2.4%0.3%5.2M-50.7M-5.4M0.967.206,6066,347160,718245,599
2017-01-10$162.56$168.0029.1%8.4%19.1%5.8%30.7%2.8%0.2%3.9M-31.8M-5.3M1.5910.617,13411,332161,999248,401
2017-01-11$163.72$168.0027.6%8.0%19.4%2.0%28.0%2.4%0.2%4.4M-119.7M-5.2M1.0315.9111,10111,430163,617249,112
2017-01-12$163.04$168.0026.6%7.8%18.4%0.0%20.8%2.4%0.7%3.4M-1.3M-5.3M2.849.896,77319,250171,616256,096
2017-01-13$162.08$168.0025.9%7.5%14.4%0.0%21.6%2.1%0.4%-252.0K135.6M-5.8M3.2813.696,52521,385177,296268,959
2017-01-17$164.28$168.0026.7%7.7%15.4%1.7%27.2%2.5%0.2%-480.2K-19.6M-6.1M1.857.376,16711,417176,059279,574
2017-01-18$164.04$168.0025.4%7.3%15.4%0.0%25.8%2.6%0.4%1.5M10.1M-6.1M4.1215.467,58331,244178,406283,181
2017-01-19$163.68$168.0025.1%7.2%15.1%0.0%24.6%2.8%0.1%-2.0M131.7M-6.3M1.5820.715,8509,267181,509294,997
2017-01-20$164.16$168.0023.0%6.6%15.1%0.0%23.3%2.2%-0.0%34.0M60.0M-6.0M1.3715.889,45512,972181,499294,384
2017-01-23$162.88$168.0023.7%6.8%15.2%1.6%23.5%3.0%0.8%-23.9M346.8M-6.0M3.957.193,46813,68583,400181,205
2017-01-24$165.76$168.0023.0%6.5%16.6%0.1%22.6%1.7%1.0%-18.7M181.0M-6.0M1.3511.167,2039,71184,356187,181
2017-01-25$166.56$168.0022.5%6.5%16.7%0.0%22.8%1.5%0.9%-15.3M124.4M-6.0M1.1920.719,64111,51787,537188,075
2017-01-26$167.00$168.0022.6%6.4%16.6%0.1%21.8%1.8%0.8%-13.8M85.9M-6.0M2.538.905,29913,43392,587192,057
2017-01-27$165.20$168.0022.3%6.2%16.8%0.0%22.9%1.9%0.7%-21.2M228.6M-6.1M1.9913.466,53513,00894,252192,791
2017-01-30$160.40$168.0026.2%7.4%19.4%8.5%25.5%3.1%0.6%-32.3M540.9M-6.3M2.0715.467,88816,33495,082196,628
2017-01-31$160.08$168.0026.6%7.7%19.3%9.4%26.7%3.1%0.6%-33.3M570.6M-6.5M1.679.829,07415,19496,813200,522