XOP Options History — March 2020

In March 2020, XOP traded between $30.20 and $60.72. ATM implied volatility averaged 114.1%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 33.3%. IV traded above realized volatility by 0.4% (HV 20d: 113.6%). Max pain ranged from $10.00 to $80.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-03-06: Highest Volume — 84,470 contracts
  • 2020-03-31: Largest IV spike — 18259.6% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 52.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.20$30.20$60.72$60.72$32.50
Max Pain$55.43$10.00$80.00$80.00$10.00
ATM IV114.1%0.5%184.4%63.2%95.5%
Expected Move33.3%17.5%52.9%20.0%27.4%
HV 20d113.6%41.5%147.4%47.9%146.9%
HV 60d73.4%37.3%90.1%38.2%90.0%
IV Rank73.6%0.0%100.0%72.4%51.6%
IV Percentile93.7%0.0%100.0%99.6%94.0%
Term Structure-6.3%-51.4%8.7%-2.9%-0.9%
VWIV109.7%61.8%182.9%69.5%86.1%
Skew 25d41.2%-45.8%290.4%10.1%122.6%
Skew 10d63.3%-10.3%226.5%18.2%116.3%
Call IV 25d100.2%16.3%158.9%55.6%73.8%
Put IV 25d141.4%60.5%306.7%65.7%196.4%
Bid-Ask Spread %6.292.1039.242.2630.35
Gamma HHI0.070.060.100.090.09
Net GEX-3.9M-11.3M0-10.4M-679
Net DEX1.12B-676.2M1.71B1.61B-676.2M
Net VEX-3.2M-6.1M0-6.1M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.252.941.270.80
Total Volume31,094.6825,77184,47028,4645,771
Total OI765,499.8640942,488766,104646,128

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$60.72$80.0063.2%20.0%47.9%72.4%69.5%10.1%-2.9%-10.4M1.61B-6.1M1.272.2612,52115,943363,253402,851
2020-03-03$60.20$80.0061.2%20.0%47.9%68.4%70.4%10.6%-1.9%-10.8M1.64B-6.0M0.873.1714,36212,522369,305409,236
2020-03-04$59.28$78.0055.1%17.5%47.7%55.9%61.8%9.7%-1.7%-11.3M1.71B-5.5M1.162.1016,41019,114376,390414,587
2020-03-05$56.72$64.0069.5%18.3%41.5%85.4%62.1%12.6%-2.3%-10.2M1.66B-5.5M0.462.5635,62316,501388,703419,390
2020-03-06$51.20$64.0082.6%21.7%51.4%100.0%71.4%17.3%-3.7%-6.5M1.66B-4.8M1.293.2136,88247,588413,723428,269
2020-03-09$37.76$60.00135.9%38.2%112.9%100.0%119.8%37.9%2.0%-3.4M1.39B-3.0M1.046.5437,98639,502407,039436,995
2020-03-10$39.52$60.00127.8%30.1%116.5%92.6%105.0%22.8%-15.9%-4.3M1.46B-3.1M0.783.2924,76419,371428,885452,550
2020-03-11$35.44$60.00130.2%34.5%118.5%94.8%112.3%-45.8%3.6%-3.1M1.33B-2.6M0.458.1930,20813,492443,811457,673
2020-03-12$32.28$56.00170.3%40.1%118.5%100.0%132.4%-42.1%-51.4%-2.5M1.23B-2.5M1.462.3616,41624,022462,486460,095
2020-03-13$34.96$56.00141.0%36.7%125.8%79.5%128.0%58.2%-14.0%-2.8M1.31B-2.9M0.443.3112,9295,635472,647469,841
2020-03-16$36.48$56.00155.4%43.9%128.7%89.6%153.4%46.3%-2.4%-2.6M1.24B-3.2M0.653.4614,8629,669451,805452,412
2020-03-17$34.04$56.00152.1%43.3%128.8%87.3%142.4%45.0%-1.1%-2.3M1.22B-2.8M0.882.618,3497,375453,517454,296
2020-03-18$30.24$52.00184.4%52.9%128.9%100.0%182.9%58.5%-0.6%-1.7M1.08B-2.5M2.942.408,42824,783454,898449,557
2020-03-19$32.44$52.00165.0%47.5%134.6%87.6%145.8%51.7%-3.9%-1.9M1.15B-2.6M1.264.3111,31714,313458,564455,165
2020-03-20$33.04$52.00130.1%37.7%136.1%65.4%119.6%35.0%-8.6%-1.7M1.21B-2.3M1.384.1411,30215,600460,601461,547
2020-03-23$30.20$52.00135.2%39.8%137.1%68.6%128.3%37.1%8.7%-1.7M848.1M-1.9M0.552.546,6833,657265,605357,531
2020-03-24$32.56$48.00122.4%36.4%143.1%60.4%109.9%39.4%-24.0%-1.8M867.2M-2.1M0.623.769,3945,818270,335353,144
2020-03-25$34.72$44.00119.9%32.9%147.4%58.8%108.7%32.0%-1.0%-1.9M867.1M-2.6M0.252.9822,8875,791273,420354,904
2020-03-26$33.96$44.00107.5%30.7%146.9%51.0%96.0%30.6%-3.0%-1.7M870.2M-2.3M0.342.8815,7695,429283,129355,146
2020-03-27$32.36$40.00104.3%29.9%146.4%48.9%98.6%26.5%-0.9%-2.1M859.1M-2.2M0.922.838,6958,021293,839357,725
2020-03-30$31.87$0.000.5%0.0%145.9%0.0%0.0%290.4%0.0%0000.4539.245,7642,61500
2020-03-31$32.50$10.0095.5%27.4%146.9%51.6%86.1%122.6%0.0%-679-676.2M-3.0M0.8030.353,2002,571289,271356,857