XOP Options History — September 2017

In September 2017, XOP traded between $119.44 and $137.24. ATM implied volatility averaged 25.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.6% (HV 20d: 20.3%). Max pain ranged from $124.00 to $132.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2017-09-20: Highest Volume — 48,798 contracts
  • 2017-09-25: Largest IV spike — 10.5% change
  • 2017-09-08: Highest IV Rank — 27.2%
  • 2017-09-05: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.52$119.44$137.24$122.48$136.36
Max Pain$126.40$124.00$132.00$132.00$128.00
ATM IV25.9%23.6%28.4%26.9%24.3%
Expected Move7.4%6.6%8.4%7.4%6.6%
HV 20d20.3%16.3%22.7%17.3%21.4%
HV 60d24.7%22.6%27.0%27.0%22.6%
IV Rank15.9%5.9%27.2%20.4%8.8%
IV Percentile11.2%2.0%32.9%14.7%3.6%
Term Structure0.4%-0.2%1.1%0.4%0.6%
VWIV26.4%23.1%30.6%26.0%23.2%
Skew 25d2.5%1.8%3.6%2.7%2.0%
Skew 10d4.9%3.5%7.1%5.1%3.5%
Call IV 25d24.8%22.7%27.1%25.6%23.2%
Put IV 25d27.4%25.0%30.7%28.2%25.2%
Bid-Ask Spread %2.732.157.172.263.72
Gamma HHI0.130.090.200.150.20
Net GEX-47.0M-111.8M12.6M-91.8M-52.8M
Net DEX1.01B-279.4M2.61B2.05B-120.5M
Net VEX-12.2M-13.0M-11.8M-13.0M-12.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.304.371.140.30
Total Volume32,201.917,41548,79827,24834,273
Total OI726,671.15578,472852,923830,818650,808

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$122.48$132.0026.9%7.4%17.3%20.4%26.0%2.7%0.4%-91.8M2.05B-13.0M1.142.2612,70814,540242,326588,492
2017-09-05$121.72$124.0028.1%8.4%16.3%26.1%30.6%3.5%0.0%-96.6M2.21B-12.8M1.882.207,71114,522243,039586,084
2017-09-06$123.92$124.0027.2%7.9%17.5%22.0%28.1%3.1%0.1%-88.5M1.85B-12.7M1.432.1516,10323,024243,812586,896
2017-09-07$122.88$124.0027.1%7.7%17.8%21.7%27.7%2.9%0.4%-92.9M2.00B-12.5M2.632.408,12521,364247,446588,854
2017-09-08$119.44$124.0028.4%8.2%19.9%27.2%29.7%3.6%0.2%-111.5M2.61B-12.5M1.802.4311,57720,857248,178595,119
2017-09-11$120.68$124.0027.4%8.0%20.2%22.8%29.6%3.1%0.3%-111.8M2.38B-12.2M1.522.2610,29415,656244,195592,342
2017-09-12$123.32$124.0026.9%7.7%21.1%20.6%28.9%3.3%0.1%-92.9M1.93B-12.3M1.412.3512,87518,097246,933590,182
2017-09-13$126.64$124.0026.9%7.7%22.7%20.7%28.5%2.8%-0.2%-73.8M1.30B-12.5M0.842.3917,82714,944249,825595,499
2017-09-14$127.32$124.0026.3%7.6%21.7%17.8%28.0%2.9%-0.1%-64.2M1.16B-12.4M3.122.429,65530,165256,499596,424
2017-09-15$127.20$124.0024.4%7.0%21.1%9.7%25.5%2.3%0.2%-26.6M1.35B-12.1M1.692.286,69211,324241,503592,491
2017-09-18$128.52$128.0024.7%7.1%21.0%10.9%25.7%2.2%1.0%-22.3M624.7M-11.9M1.022.768,6358,780177,493400,979
2017-09-19$128.72$128.0024.3%7.0%19.9%9.1%24.3%1.8%0.4%-18.0M597.8M-11.8M0.802.4713,44110,784180,400404,848
2017-09-20$131.52$128.0024.2%6.9%20.8%8.7%24.6%2.0%0.7%-5.7M301.1M-11.9M0.837.1726,63922,159185,837407,595
2017-09-21$131.52$128.0024.4%7.0%20.7%9.4%24.6%1.8%0.2%-20.0M313.9M-12.0M3.512.769,12732,057191,116418,570
2017-09-22$132.12$128.0023.6%6.7%20.6%5.9%23.1%2.3%1.1%-1.0M294.2M-12.3M4.372.288,73938,151191,775439,251
2017-09-25$135.80$128.0026.1%7.4%22.0%17.0%26.2%2.1%0.5%2.6M-96.5M-12.0M0.552.9620,49411,204192,904430,881
2017-09-26$136.44$128.0025.4%7.2%21.4%13.8%25.1%2.2%0.3%9.1M-200.9M-11.9M0.892.7223,77021,144198,850419,213
2017-09-27$137.24$128.0026.1%7.0%21.1%17.0%24.4%1.8%0.5%12.6M-279.4M-11.9M1.702.3214,30324,369201,219423,760
2017-09-28$136.60$128.0024.2%6.9%21.6%8.7%24.0%2.2%0.9%6.4M-137.1M-12.1M0.832.349,7838,126201,332440,453
2017-09-29$136.36$128.0024.3%6.6%21.4%8.8%23.2%2.0%0.6%-52.8M-120.5M-12.0M0.303.7226,3707,903203,789447,019