XOM Options History — April 2007

In April 2007, XOM traded between $76.16 and $80.55. ATM implied volatility averaged 18.3%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.4% (HV 20d: 14.9%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-04-11: Highest Volume — 56,850 contracts
  • 2007-04-12: Largest IV spike — 19.4% change
  • 2007-04-19: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.16$76.16$80.55$76.16$79.38
Max Pain$74.50$72.50$75.00$72.50$75.00
ATM IV18.3%15.8%21.0%18.8%17.5%
Expected Move5.3%4.8%6.0%5.4%5.0%
HV 20d14.9%11.9%16.5%16.5%16.3%
HV 60d18.3%17.2%19.3%19.3%17.9%
Term Structure-0.1%-1.6%2.2%1.6%0.0%
VWIV18.6%17.0%20.1%18.9%17.8%
Skew 25d2.6%1.4%6.2%1.9%6.2%
Skew 10d4.8%1.6%11.0%4.7%11.0%
Call IV 25d17.2%13.7%19.3%17.7%13.7%
Put IV 25d19.8%17.5%21.3%19.6%20.0%
Bid-Ask Spread %6.374.259.867.064.25
Gamma HHI0.320.260.760.260.28
Net GEX57.2M37.0M215.3M45.3M44.0M
Net DEX-2.16B-2.74B-1.77B-1.86B-1.98B
Net VEX-14.7M-15.1M-14.2M-15.1M-15.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.351.230.940.42
Total Volume37,313.9512,63756,85027,21739,597
Total OI1,151,780.35969,1711,270,3001,133,3981,064,835

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$76.16$72.5018.8%5.4%16.5%0.0%18.9%1.9%1.6%45.3M-1.86B-15.1M0.947.0614,05513,162580,245553,153
2007-04-03$76.80$72.5018.8%5.4%16.1%0.0%18.6%1.8%1.7%48.0M-2.00B-15.0M0.865.6125,53421,844584,722559,013
2007-04-04$77.11$72.5017.8%5.1%16.0%0.0%17.0%2.2%2.2%51.6M-2.15B-14.9M1.234.3412,30115,091595,881569,537
2007-04-05$77.22$72.5017.7%5.1%16.0%0.0%17.2%2.1%1.7%52.5M-2.16B-15.1M0.734.857,2865,351600,742574,077
2007-04-09$76.80$75.0018.3%5.6%15.6%0.0%18.9%3.0%-0.2%51.2M-2.07B-14.7M0.757.2916,27812,219603,139573,447
2007-04-10$77.57$75.0015.8%5.0%15.4%0.0%18.7%2.7%0.1%57.3M-2.28B-14.5M0.945.1212,54911,760607,504577,342
2007-04-11$76.77$75.0017.0%5.6%15.0%0.0%19.4%2.9%-0.6%50.9M-2.06B-14.7M0.919.8629,77027,080610,130580,800
2007-04-12$77.39$75.0020.3%5.8%14.5%0.0%19.0%3.3%-1.2%54.4M-2.20B-15.0M0.805.2313,79111,067621,604600,040
2007-04-13$77.41$75.0019.4%5.6%14.2%0.0%18.7%2.4%-0.2%53.7M-2.21B-14.9M0.815.6611,6389,415625,498603,335
2007-04-16$78.17$75.0019.5%5.6%12.9%0.0%20.1%2.1%-1.3%59.4M-2.37B-14.5M0.447.8737,00116,150627,330607,269
2007-04-17$78.40$75.0019.3%5.5%12.1%0.0%19.8%2.3%-1.2%57.9M-2.45B-14.6M0.988.9222,24621,841639,527614,796
2007-04-18$78.20$75.0019.0%5.4%12.0%0.0%19.3%3.0%-0.8%40.5M-2.34B-14.5M0.357.8919,3276,702637,677617,885
2007-04-19$77.46$75.0021.0%6.0%11.9%0.0%19.9%2.1%-1.6%37.0M-2.19B-14.7M0.566.0328,89916,206640,235620,787
2007-04-20$79.76$75.0018.3%5.3%14.6%0.0%18.8%2.9%-1.1%215.3M-2.74B-14.2M0.448.8334,51015,158645,660624,640
2007-04-23$79.20$75.0017.7%5.1%14.9%0.0%18.3%1.4%-0.7%42.5M-1.91B-14.2M0.755.3427,75620,825500,157469,014
2007-04-24$78.60$75.0018.2%5.2%15.3%0.0%18.3%1.9%-0.6%42.2M-1.77B-14.6M0.705.1731,89922,383511,052476,677
2007-04-25$79.92$75.0018.4%5.3%16.1%0.0%18.7%2.0%-0.8%45.2M-2.05B-14.6M0.486.2727,90413,514527,638493,757
2007-04-26$80.55$75.0016.9%4.8%16.1%0.0%17.0%2.2%-0.1%47.1M-2.24B-14.5M0.457.4637,80516,982537,453500,792
2007-04-27$80.36$75.0016.8%4.8%16.1%0.0%17.4%3.6%0.5%47.0M-2.21B-14.8M0.744.4311,1268,257550,829507,388
2007-04-30$79.38$75.0017.5%5.0%16.3%0.0%17.8%6.2%0.0%44.0M-1.98B-15.0M0.424.2527,79111,806553,324511,511