XOM Options History — March 2007

In March 2007, XOM traded between $69.86 and $76.24. ATM implied volatility averaged 19.9%. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.0% (HV 20d: 20.9%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2007-03-13: Highest Volume — 110,304 contracts
  • 2007-03-12: Largest IV spike — 14.6% change
  • 2007-03-05: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.41$69.86$76.24$70.99$75.45
Max Pain$71.59$70.00$72.50$72.50$72.50
ATM IV19.9%16.9%24.8%23.1%18.4%
Expected Move5.6%4.8%6.7%6.6%5.3%
HV 20d20.9%16.4%25.1%20.0%16.4%
HV 60d20.0%19.6%20.3%20.1%19.6%
Term Structure0.6%-1.2%1.8%-0.7%1.8%
VWIV19.4%16.0%23.3%22.2%18.6%
Skew 25d2.5%1.4%4.2%2.9%2.3%
Skew 10d5.4%3.3%9.5%6.2%4.6%
Call IV 25d18.4%13.7%22.3%21.2%17.1%
Put IV 25d20.9%17.8%25.2%24.1%19.4%
Bid-Ask Spread %7.434.2013.0111.207.73
Gamma HHI0.190.140.260.160.25
Net GEX17.9M-13.4M49.0M6.9M43.7M
Net DEX-675.6M-1.91B218.2M-181.3M-1.71B
Net VEX-15.0M-15.5M-14.4M-15.1M-15.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.405.090.760.85
Total Volume56,747.59127,308110,30447,35234,188
Total OI1,117,993.591996,7861,224,2881,089,9191,126,347

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$70.99$72.5023.1%6.6%20.0%0.0%22.2%2.9%-0.7%6.9M-181.3M-15.1M0.7611.2026,90820,444563,402526,517
2007-03-02$70.01$72.5023.4%6.7%19.6%0.0%23.3%2.9%-0.7%113.7K137.2M-14.8M1.777.3423,91942,454560,423534,244
2007-03-05$69.98$72.5024.8%6.7%19.3%0.0%23.3%3.4%-1.2%1.0M117.4M-15.0M0.797.7626,50220,882569,847548,732
2007-03-06$71.00$72.5022.3%6.2%20.3%0.0%17.1%3.0%0.0%6.7M-166.5M-15.2M2.7813.0119,77855,053575,995549,379
2007-03-07$71.64$72.5020.1%5.8%20.7%0.0%20.9%2.9%0.3%9.7M-321.1M-15.1M1.2110.9518,55922,443580,571551,993
2007-03-08$71.85$72.5019.6%5.7%20.7%0.0%19.7%2.7%0.4%10.6M-394.5M-15.2M0.418.8220,3518,395583,883559,470
2007-03-09$71.12$72.5019.3%5.8%20.4%0.0%20.3%2.4%-0.2%5.6M-165.7M-14.9M1.257.4312,70415,867588,233561,221
2007-03-12$70.87$72.5022.1%5.7%20.4%0.0%19.3%2.7%0.0%1.1M-22.9M-14.6M1.166.2531,10036,151592,353565,130
2007-03-13$69.91$72.5022.2%5.9%20.7%0.0%23.3%2.3%-0.2%-3.4M218.2M-14.6M2.865.5128,59281,712615,016573,393
2007-03-14$71.02$72.5022.4%6.0%21.2%0.0%18.7%2.5%-0.1%952.4K-68.7M-15.5M1.606.5423,84638,044621,561597,483
2007-03-15$70.69$70.0019.9%5.7%21.1%0.0%17.6%2.5%0.3%-3.1M82.6M-15.1M5.099.5013,46268,529623,570600,718
2007-03-16$69.86$70.0019.7%5.7%21.3%0.0%20.4%2.4%0.8%-13.4M167.7M-14.5M2.036.5731,44263,905618,681578,965
2007-03-19$71.10$70.0018.7%5.4%22.6%0.0%18.3%2.2%0.9%6.0M-505.3M-14.4M0.615.8821,65213,281500,348496,438
2007-03-20$72.00$70.0017.0%4.9%23.2%0.0%19.2%2.7%1.3%15.6M-726.0M-14.6M2.844.2022,99965,331512,374503,057
2007-03-21$73.23$70.0016.9%4.8%24.2%0.0%16.0%4.2%1.7%29.3M-1.09B-14.7M0.745.3144,40632,668526,994508,785
2007-03-22$74.36$70.0016.9%4.8%24.8%0.0%17.3%1.6%1.1%41.5M-1.43B-14.7M0.526.1340,58021,220544,919515,470
2007-03-23$75.02$70.0017.3%5.0%25.0%0.0%17.6%1.4%1.0%44.2M-1.60B-15.0M0.517.2926,44213,584555,676524,642
2007-03-26$75.47$70.0017.8%5.1%25.1%0.0%18.2%2.1%1.1%47.8M-1.73B-14.7M0.656.0216,60010,708564,215527,323
2007-03-27$75.71$72.5017.8%5.1%17.4%0.0%17.7%1.9%1.6%49.0M-1.81B-14.8M0.457.1233,52814,946566,511531,786
2007-03-28$75.56$72.5018.7%5.4%17.4%0.0%18.6%2.0%1.7%46.3M-1.76B-15.5M0.526.3336,51918,937581,137538,591
2007-03-29$76.24$72.5018.8%5.4%16.9%0.0%19.0%2.0%1.8%47.9M-1.91B-15.5M0.406.5021,3178,499584,067546,399
2007-03-30$75.45$72.5018.4%5.3%16.4%0.0%18.6%2.3%1.8%43.7M-1.71B-15.3M0.857.7318,46815,720580,773545,574