XOP Options History — August 2017 In August 2017, XOP traded between $116.52 and $128.96. ATM implied volatility averaged 29.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.0% (HV 20d: 24.7%). Max pain ranged from $128.00 to $136.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.59.
Notable Days 2017-08-03 : Highest Volume — 93,687 contracts2017-08-09 : Largest IV drop — 9.2% change2017-08-08 : Highest IV Rank — 51.3%2017-08-08 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $120.61 $116.52 $128.96 $128.96 $120.68 Max Pain $132.52 $128.00 $136.00 $128.00 $132.00 ATM IV 29.7% 26.6% 33.8% 28.6% 27.9% Expected Move 8.4% 7.4% 9.4% 8.2% 7.6% HV 20d 24.7% 18.6% 28.1% 27.1% 18.6% HV 60d 28.8% 26.8% 29.4% 28.5% 26.8% IV Rank 33.0% 19.3% 51.3% 28.0% 24.8% IV Percentile 46.0% 12.3% 82.5% 32.1% 22.2% Term Structure -0.1% -0.9% 0.7% -0.4% 0.1% VWIV 29.9% 26.4% 35.1% 27.8% 28.9% Skew 25d 4.1% 2.8% 5.0% 4.0% 2.8% Skew 10d 8.0% 5.5% 10.2% 8.5% 5.8% Call IV 25d 28.0% 25.5% 31.8% 26.8% 26.7% Put IV 25d 32.0% 28.4% 36.4% 30.8% 29.5% Bid-Ask Spread % 2.64 1.68 5.06 2.48 2.38 Gamma HHI 0.15 0.12 0.17 0.14 0.15 Net GEX -105.5M -123.2M -64.1M -64.1M -101.7M Net DEX 2.43B 1.26B 3.09B 1.26B 2.37B Net VEX -13.4M -14.4M -12.8M -13.1M -13.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 0.69 4.13 0.98 1.13 Total Volume 45,647.783 23,470 93,687 23,766 31,011 Total OI 779,506.826 658,790 833,801 658,790 825,694
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2017-08-01 $128.96 $128.00 28.6% 8.2% 27.1% 28.0% 27.8% 4.0% -0.4% -64.1M 1.26B -13.1M 0.98 2.48 12,025 11,741 182,547 476,243 2017-08-02 $126.64 $128.00 28.8% 8.7% 25.0% 29.1% 31.3% 4.3% -0.1% -79.1M 1.58B -13.1M 1.93 4.03 11,573 22,370 187,153 480,799 2017-08-03 $122.24 $136.00 31.1% 8.5% 26.5% 39.2% 30.3% 4.9% -0.9% -98.1M 2.14B -12.8M 2.11 1.96 30,083 63,604 188,951 491,195 2017-08-04 $125.16 $136.00 28.6% 8.2% 27.9% 28.4% 29.1% 4.1% -0.8% -95.5M 1.84B -13.9M 1.84 2.08 11,018 20,318 201,909 527,480 2017-08-07 $122.96 $136.00 31.1% 8.7% 28.0% 39.5% 31.0% 4.4% -0.8% -101.2M 2.14B -13.7M 1.16 1.91 13,396 15,528 202,894 524,000 2017-08-08 $122.72 $136.00 33.8% 9.4% 27.8% 51.3% 35.1% 4.7% -0.7% -96.6M 2.15B -13.8M 0.74 5.06 31,555 23,484 204,926 525,549 2017-08-09 $123.16 $136.00 30.7% 8.6% 27.9% 37.4% 30.6% 4.3% -0.9% -94.9M 2.04B -13.8M 2.26 2.05 16,386 37,023 227,666 534,098 2017-08-10 $121.52 $132.00 31.9% 9.1% 28.1% 43.0% 31.7% 5.0% -0.1% -101.0M 2.30B -14.1M 4.13 2.53 12,840 53,060 236,615 546,881 2017-08-11 $122.00 $132.00 31.3% 9.0% 27.8% 40.0% 30.8% 4.8% -0.1% -112.9M 2.33B -14.4M 0.92 3.25 31,371 28,883 237,844 567,469 2017-08-14 $120.36 $132.00 29.6% 8.5% 28.1% 32.8% 29.4% 4.2% 0.6% -114.9M 2.54B -13.5M 1.28 1.88 20,835 26,568 235,100 560,385 2017-08-15 $119.72 $132.00 29.6% 8.5% 27.9% 32.7% 29.8% 3.6% 0.1% -115.1M 2.61B -13.2M 2.53 1.88 22,965 58,104 237,156 559,285 2017-08-16 $117.92 $132.00 29.4% 8.4% 24.5% 31.6% 28.8% 4.7% -0.1% -122.1M 2.89B -12.9M 2.04 2.13 17,567 35,826 237,319 569,780 2017-08-17 $116.60 $132.00 31.2% 9.0% 24.3% 39.8% 31.9% 4.6% -0.2% -118.2M 3.09B -13.1M 0.95 1.68 18,972 18,009 240,376 583,194 2017-08-18 $118.12 $132.00 30.3% 8.6% 24.8% 35.5% 31.2% 4.5% 0.7% -123.2M 2.91B -13.5M 2.26 3.34 21,134 47,683 246,072 587,729 2017-08-21 $116.52 $132.00 30.4% 8.8% 25.0% 36.3% 30.0% 4.1% 0.1% -110.0M 2.84B -13.2M 0.96 3.26 29,705 28,509 217,064 564,581 2017-08-22 $117.28 $132.00 29.9% 8.6% 20.7% 33.8% 30.7% 4.0% 0.3% -109.5M 2.79B -13.3M 1.40 2.55 20,153 28,265 226,190 572,978 2017-08-23 $118.84 $132.00 28.9% 8.3% 21.6% 29.7% 29.0% 3.7% 0.0% -111.6M 2.63B -13.5M 1.37 2.75 13,369 18,319 231,437 582,790 2017-08-24 $118.84 $132.00 28.8% 8.2% 21.6% 29.0% 29.5% 3.7% 0.5% -109.9M 2.62B -13.5M 1.31 2.40 12,406 16,260 233,909 587,490 2017-08-25 $119.08 $132.00 26.6% 7.4% 21.5% 19.3% 26.4% 2.9% 0.4% -111.8M 2.60B -13.2M 1.56 2.32 11,605 18,089 235,408 589,824 2017-08-28 $118.20 $132.00 27.9% 7.9% 21.5% 24.8% 28.2% 3.2% 0.2% -111.1M 2.72B -12.9M 1.10 2.38 11,154 12,316 233,098 582,780 2017-08-29 $118.04 $132.00 28.2% 7.9% 21.5% 26.5% 29.0% 3.6% 0.6% -113.0M 2.75B -12.9M 1.99 2.71 13,387 26,669 233,762 585,709 2017-08-30 $118.56 $132.00 28.3% 7.9% 21.0% 26.9% 27.1% 3.1% 0.3% -111.3M 2.69B -12.9M 0.69 3.78 14,629 10,132 234,189 591,139 2017-08-31 $120.68 $132.00 27.9% 7.6% 18.6% 24.8% 28.9% 2.8% 0.1% -101.7M 2.37B -13.0M 1.13 2.38 14,547 16,464 234,858 590,836
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