XOP Options History — September 2020

In September 2020, XOP traded between $41.95 and $51.16. ATM implied volatility averaged 50.4%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 11.7% (HV 20d: 38.7%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2020-09-16: Highest Volume — 77,720 contracts
  • 2020-09-21: Largest IV spike — 10.0% change
  • 2020-09-03: Highest IV Rank — 29.4%
  • 2020-09-03: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.85$41.95$51.16$51.16$41.95
Max Pain$46.57$45.00$51.00$51.00$45.00
ATM IV50.4%45.5%54.6%48.6%53.7%
Expected Move14.4%13.1%15.7%13.7%15.3%
HV 20d38.7%31.7%44.7%32.9%44.7%
HV 60d40.5%38.1%46.5%46.5%39.9%
IV Rank27.1%24.5%29.4%26.1%28.9%
IV Percentile58.4%48.4%65.9%57.9%64.3%
Term Structure0.8%-0.6%4.2%0.5%4.0%
VWIV50.5%44.7%54.5%47.9%54.1%
Skew 25d3.7%2.3%4.6%2.3%3.2%
Skew 10d6.1%3.4%9.6%5.0%4.6%
Call IV 25d49.2%44.1%53.5%48.1%53.2%
Put IV 25d52.9%48.2%57.1%50.4%56.4%
Bid-Ask Spread %5.993.759.043.755.26
Gamma HHI0.070.040.140.050.08
Net GEX-6.0M-12.9M4.3M-4.1M-12.9M
Net DEX-213.3M-512.5M9.6M-512.5M9.6M
Net VEX-2.4M-2.8M-1.8M-2.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.214.100.802.22
Total Volume28,815.38111,34677,72020,97721,377
Total OI791,683739,558893,764744,700818,336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$51.16$51.0048.6%13.7%32.9%26.1%47.9%2.3%0.5%-4.1M-512.5M-2.4M0.803.7511,6649,313345,133399,567
2020-09-02$49.94$51.0051.0%14.3%32.9%27.4%50.5%3.2%0.7%-6.1M-422.6M-2.5M0.384.758,5633,238350,078402,515
2020-09-03$49.32$47.0054.6%15.7%32.9%29.4%54.5%3.5%-0.6%-6.2M-398.6M-2.6M1.467.615,5498,120355,705403,423
2020-09-04$49.56$47.0053.5%15.1%31.7%28.8%54.2%2.3%0.5%-7.5M-394.3M-2.6M0.749.046,5024,844357,971405,484
2020-09-08$46.91$47.0053.5%15.2%32.9%28.8%53.0%4.3%-0.2%-6.5M-246.5M-2.2M1.717.2912,90422,118353,426397,903
2020-09-09$47.26$47.0048.9%14.1%33.3%26.3%49.8%3.9%0.2%-7.7M-255.1M-2.2M1.416.536,7569,503361,846405,008
2020-09-10$44.75$47.0050.7%14.8%36.4%27.3%51.3%4.0%1.5%-7.9M-118.8M-2.0M0.927.0813,46012,367365,387408,878
2020-09-11$44.59$47.0048.2%13.8%36.4%25.9%49.0%4.2%-0.2%-8.2M-115.6M-1.8M1.877.298,62116,083371,003412,256
2020-09-14$45.43$46.0046.0%13.2%36.1%24.7%44.7%4.6%0.5%-7.2M-157.1M-2.0M0.276.0630,6188,180370,830415,936
2020-09-15$45.16$46.0045.5%13.1%36.0%24.5%45.3%4.1%0.8%-5.5M-161.1M-1.9M0.946.6712,05811,394392,262419,986
2020-09-16$47.56$46.0045.6%13.1%42.0%24.5%45.8%3.9%0.5%-3.9M-323.5M-2.3M0.217.7664,49313,227403,606443,034
2020-09-17$47.25$46.0046.7%13.4%42.0%25.1%45.6%4.1%0.3%526.4K-312.7M-2.4M1.405.2015,21721,261426,859444,473
2020-09-18$47.28$46.0045.7%13.1%41.3%24.5%45.4%4.1%-0.0%4.3M-314.1M-2.4M0.664.7529,67619,621436,245457,519
2020-09-21$45.20$46.0050.2%14.3%43.2%27.0%51.8%4.5%-0.5%145.3K-238.3M-2.5M1.384.969,12212,624363,091376,467
2020-09-22$45.06$46.0049.8%14.0%40.9%26.8%51.1%3.4%0.1%-625.2K-233.6M-2.5M4.105.647,96732,659367,172382,237
2020-09-23$42.89$46.0053.0%15.2%43.0%28.5%52.5%4.4%0.1%-6.9M-65.4M-2.7M0.295.5629,5448,630369,663410,635
2020-09-24$42.84$46.0054.5%15.3%42.5%29.3%54.4%3.9%-0.2%-9.7M-37.2M-2.8M0.805.4518,91215,193371,659442,584
2020-09-25$42.40$45.0052.8%15.1%42.0%28.4%53.2%3.0%1.6%-10.9M-3.3M-2.8M1.155.165,9946,914366,237447,614
2020-09-28$43.93$45.0052.3%14.7%44.4%28.1%52.1%2.9%4.2%-8.3M-141.7M-2.6M1.135.9414,58616,498347,423445,059
2020-09-29$42.50$45.0053.6%15.4%44.7%28.9%53.9%3.4%3.3%-10.9M-36.0M-2.6M1.574.097,67412,079356,558454,275
2020-09-30$41.95$45.0053.7%15.3%44.7%28.9%54.1%3.2%4.0%-12.9M9.6M-2.6M2.225.266,64714,730358,134460,202