XOM Options History — May 2007

In May 2007, XOM traded between $79.39 and $84.00. ATM implied volatility averaged 18.3%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.0% (HV 20d: 17.3%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2007-05-09: Highest Volume — 431,807 contracts
  • 2007-05-25: Largest IV drop — 12.9% change
  • 2007-05-24: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.76$79.39$84.00$79.66$83.17
Max Pain$79.32$75.00$80.00$75.00$80.00
ATM IV18.3%17.0%19.6%17.0%19.0%
Expected Move5.2%4.9%5.6%4.9%5.4%
HV 20d17.3%15.2%19.6%16.1%18.2%
HV 60d17.9%16.3%19.4%17.9%16.6%
Term Structure0.1%-0.6%1.2%0.7%-0.6%
VWIV18.3%15.7%19.6%17.2%19.2%
Skew 25d3.1%1.1%8.4%6.3%1.1%
Skew 10d5.7%-3.5%11.8%10.9%-3.5%
Call IV 25d16.8%10.5%19.6%13.2%19.6%
Put IV 25d19.9%18.9%20.6%19.6%20.6%
Bid-Ask Spread %6.902.7712.904.062.77
Gamma HHI0.260.240.320.280.27
Net GEX50.1M39.3M57.4M45.8M55.3M
Net DEX-2.42B-2.87B-1.35B-2.04B-2.73B
Net VEX-14.8M-15.5M-8.0M-15.1M-14.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.031.600.510.83
Total Volume54,533.13615,582431,80729,73226,183
Total OI1,087,983.409635,6901,145,4831,079,3211,119,635

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$79.66$75.0017.0%4.9%16.1%0.0%17.2%6.3%0.7%45.8M-2.04B-15.1M0.514.0619,7489,984563,703515,618
2007-05-02$79.82$75.0017.2%4.9%16.0%0.0%18.0%7.1%0.6%47.5M-2.06B-15.4M0.804.2717,38713,931570,405519,598
2007-05-03$80.68$75.0017.3%5.0%16.3%0.0%17.5%8.4%0.4%49.4M-2.33B-15.3M0.662.8417,27911,394575,446529,212
2007-05-04$80.55$80.0017.5%5.2%16.3%0.0%17.5%2.7%-0.3%47.5M-2.27B-15.5M0.4612.0225,29211,605582,507534,905
2007-05-07$80.83$80.0018.8%5.4%16.1%0.0%19.1%2.4%-0.3%49.6M-2.37B-15.3M0.435.0317,3207,472590,329536,763
2007-05-08$81.38$80.0018.8%5.3%15.9%0.0%18.4%2.9%0.1%51.5M-2.49B-15.3M0.348.0619,4516,641594,624539,668
2007-05-09$81.42$80.0018.7%5.3%15.2%0.0%18.4%2.6%0.1%53.2M-2.49B-15.2M0.037.75419,67912,128598,662542,215
2007-05-10$79.39$80.0018.3%5.3%18.1%0.0%18.4%2.2%0.2%39.3M-1.79B-15.5M0.9612.9016,52415,909566,850544,302
2007-05-11$81.23$80.0018.5%5.3%19.6%0.0%17.9%3.1%-0.1%56.1M-2.39B-15.1M0.586.8518,15510,462572,532533,930
2007-05-14$81.25$80.0019.1%5.5%19.4%0.0%18.2%3.4%-0.3%39.8M-1.35B-8.0M0.447.0114,2856,347352,211283,479
2007-05-15$81.13$80.0019.0%5.4%19.5%0.0%18.2%2.5%-0.1%48.7M-2.37B-15.2M0.4711.9918,1188,547577,271539,683
2007-05-16$81.45$80.0019.2%5.5%19.4%0.0%19.1%2.9%-0.3%48.3M-2.47B-15.1M1.5211.0613,20720,130584,076543,530
2007-05-17$81.80$80.0019.3%5.5%18.9%0.0%18.5%2.4%-0.3%45.7M-2.58B-15.1M0.584.7814,5538,402585,245554,710
2007-05-18$83.26$80.0017.1%4.9%17.1%0.0%18.2%3.0%0.0%53.6M-2.87B-14.7M0.406.1456,15622,231588,332557,151
2007-05-21$83.59$80.0017.6%5.0%16.8%0.0%18.4%3.0%0.2%53.8M-2.79B-14.5M0.823.3924,56120,052559,078501,232
2007-05-22$82.77$80.0018.0%5.2%17.0%0.0%18.3%2.0%0.2%51.9M-2.60B-15.0M1.1211.2529,26732,859564,841507,961
2007-05-23$82.99$80.0018.2%5.2%16.2%0.0%19.6%2.0%0.3%50.8M-2.63B-15.0M0.483.7838,34918,263570,034512,820
2007-05-24$82.28$80.0019.6%5.6%16.4%0.0%18.9%2.1%0.6%49.4M-2.48B-15.2M1.0211.4318,84419,240575,285514,486
2007-05-25$83.51$80.0017.1%4.9%17.1%0.0%17.9%2.2%1.2%54.6M-2.79B-15.0M0.643.439,4906,092582,017523,903
2007-05-29$82.62$80.0018.4%5.3%16.9%0.0%19.6%1.6%-0.1%52.2M-2.57B-15.2M1.603.5424,94839,916583,578525,234
2007-05-30$84.00$80.0017.8%5.1%17.7%0.0%15.7%1.8%0.7%57.4M-2.84B-15.0M0.627.5224,23915,089586,352532,222
2007-05-31$83.17$80.0019.0%5.4%18.2%0.0%19.2%1.1%-0.6%55.3M-2.73B-14.9M0.832.7714,32811,855587,690531,945