XOM Options History — September 2007

In September 2007, XOM traded between $84.86 and $92.97. ATM implied volatility averaged 25.8%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.8% (HV 20d: 25.0%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2007-09-19: Highest Volume — 63,607 contracts
  • 2007-09-27: Largest IV drop — 13.3% change
  • 2007-09-10: Highest IV Rank — 66.1%
  • 2007-09-10: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.66$84.86$92.97$87.23$92.56
Max Pain$81.58$80.00$85.00$85.00$85.00
ATM IV25.8%20.9%29.2%26.5%20.9%
Expected Move7.4%6.0%8.3%7.6%6.0%
HV 20d25.0%17.0%34.5%34.5%17.2%
HV 60d29.9%29.4%30.7%30.5%29.4%
IV Rank51.4%30.4%66.1%54.3%30.4%
IV Percentile80.1%53.8%91.3%86.9%53.8%
Term Structure0.3%-1.0%2.5%0.5%2.5%
VWIV26.2%22.8%30.5%25.1%23.2%
Skew 25d5.1%4.4%5.7%5.2%4.6%
Skew 10d9.7%8.1%11.7%9.5%8.1%
Call IV 25d23.1%20.0%26.9%22.7%20.7%
Put IV 25d28.2%24.4%31.6%27.8%25.3%
Bid-Ask Spread %7.704.1613.005.925.94
Gamma HHI0.270.220.310.250.28
Net GEX53.9M34.7M70.1M48.7M57.1M
Net DEX-3.16B-3.91B-2.08B-2.68B-3.66B
Net VEX-18.5M-19.8M-17.0M-18.9M-17.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.502.850.510.66
Total Volume35,691.10517,98763,60729,31117,987
Total OI1,345,524.1581,293,7291,416,9491,293,7291,338,678

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$87.23$85.0026.5%7.6%34.5%54.3%25.1%5.2%0.5%48.7M-2.68B-18.9M0.515.9219,4499,862659,889633,840
2007-09-05$87.22$85.0027.7%7.9%33.4%59.4%26.3%4.9%-0.2%48.4M-2.64B-19.2M2.8511.769,18926,173667,159635,347
2007-09-06$87.49$85.0026.8%7.7%32.2%55.6%25.9%4.8%0.7%47.4M-2.68B-19.3M0.615.2818,92511,605666,967648,431
2007-09-07$85.75$80.0027.5%8.1%27.4%58.8%27.7%4.9%-1.0%40.1M-2.28B-19.8M1.048.5213,08413,660674,308647,286
2007-09-10$84.86$80.0029.2%8.3%27.4%66.1%30.5%4.7%-0.7%34.7M-2.08B-19.8M0.969.3719,30818,534675,001651,627
2007-09-11$86.94$80.0028.7%8.1%27.7%64.2%27.6%5.3%-0.7%47.0M-2.58B-19.4M0.7312.1116,04911,669677,739658,106
2007-09-12$87.65$80.0025.5%7.7%27.8%50.2%28.6%5.3%-0.4%50.9M-2.76B-19.2M0.8410.6725,73621,582679,876660,656
2007-09-13$88.62$80.0026.1%7.5%26.9%52.7%28.1%5.1%-0.4%56.7M-3.06B-19.0M0.9413.0019,14817,993686,580667,033
2007-09-14$88.67$80.0025.8%7.4%26.2%51.4%26.5%5.0%-0.0%56.9M-2.88B-19.2M0.917.3026,57424,122686,903673,299
2007-09-17$89.26$80.0027.3%7.8%22.2%57.9%28.5%5.7%-0.6%56.9M-3.07B-19.3M1.596.7517,04127,155695,164682,967
2007-09-18$91.76$80.0024.7%7.1%23.9%46.8%24.4%5.2%0.8%70.1M-3.72B-18.0M0.625.4732,70320,225692,354692,813
2007-09-19$92.12$80.0026.5%7.6%22.6%54.2%26.8%5.3%-1.0%61.0M-3.80B-18.1M1.104.1630,33733,270695,563692,193
2007-09-20$92.09$80.0026.4%7.6%22.7%54.0%25.7%5.6%-0.6%62.7M-3.79B-18.0M0.516.1623,06511,775700,345702,326
2007-09-21$92.31$80.0025.2%7.2%22.7%49.0%24.5%5.4%-0.2%68.3M-3.91B-17.8M0.655.2521,53313,984708,491708,458
2007-09-24$91.73$80.0025.4%7.3%22.0%49.5%25.0%5.1%0.8%52.2M-3.46B-17.8M0.785.9614,14711,052660,929657,047
2007-09-25$91.96$80.0024.6%7.0%21.6%46.0%25.2%4.8%1.5%53.4M-3.50B-17.7M1.287.3514,02017,952661,770657,713
2007-09-26$92.37$85.0024.3%7.0%18.7%45.2%25.1%5.1%1.9%54.9M-3.64B-17.3M1.149.8113,15814,934664,441666,751
2007-09-27$92.97$85.0021.1%6.1%17.0%31.1%22.8%4.4%2.1%57.2M-3.77B-17.0M0.505.5814,0607,071667,810669,099
2007-09-28$92.56$85.0020.9%6.0%17.2%30.4%23.2%4.6%2.5%57.1M-3.66B-17.2M0.665.9410,8067,181670,292668,386