XOM Options History — November 2007

In November 2007, XOM traded between $84.11 and $90.38. ATM implied volatility averaged 29.7%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 3.2% (HV 20d: 32.9%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2007-11-01: Highest Volume — 107,891 contracts
  • 2007-11-07: Largest IV spike — 25.5% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-12: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.15$84.11$90.38$88.50$89.16
Max Pain$90.95$90.00$95.00$95.00$90.00
ATM IV29.7%25.5%37.3%27.7%26.2%
Expected Move8.4%7.5%9.5%8.0%7.5%
HV 20d32.9%24.9%38.6%25.0%35.4%
HV 60d25.7%23.4%27.0%25.7%27.0%
IV Rank67.8%50.1%100.0%59.8%52.7%
IV Percentile88.1%73.5%100.0%87.1%73.5%
Term Structure0.6%-0.5%2.1%0.4%0.9%
VWIV29.5%25.9%33.9%29.2%25.9%
Skew 25d4.9%3.7%5.8%4.5%5.7%
Skew 10d9.2%6.0%14.2%7.0%14.2%
Call IV 25d27.4%24.1%31.3%27.6%24.1%
Put IV 25d32.3%29.4%36.3%32.1%29.8%
Bid-Ask Spread %8.834.9513.927.705.01
Gamma HHI0.170.120.400.180.19
Net GEX10.2M-56.2M43.3M7.8M43.3M
Net DEX-1.50B-2.27B-756.7M-1.56B-2.27B
Net VEX-19.1M-20.0M-18.5M-19.8M-18.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.401.591.220.90
Total Volume52,375.76212,673107,891107,89145,235
Total OI1,409,043.9521,334,5901,449,9941,420,4741,421,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$88.50$95.0027.7%8.0%25.0%59.8%29.2%4.5%0.4%7.8M-1.56B-19.8M1.227.7048,61159,280679,094741,380
2007-11-02$87.93$90.0026.2%7.5%24.9%53.3%27.5%3.7%2.1%4.3M-1.47B-19.6M1.259.9025,09931,318684,345743,916
2007-11-05$87.66$95.0027.2%8.0%24.9%57.5%28.4%4.3%0.6%4.2M-1.41B-19.4M1.2512.2115,30519,085686,869742,342
2007-11-06$90.38$95.0025.5%7.7%26.1%50.1%26.1%5.3%0.6%21.6M-2.05B-19.2M0.4913.1138,82319,146688,967747,241
2007-11-07$87.20$95.0032.0%8.8%28.7%78.1%28.8%4.8%0.4%3.2M-1.32B-19.5M1.3512.2419,04025,713683,236749,465
2007-11-08$89.42$90.0027.9%8.3%30.4%60.6%30.6%5.0%0.3%14.7M-1.87B-19.9M1.298.3242,36854,663688,348738,934
2007-11-09$86.85$90.0031.2%9.1%31.6%74.6%31.5%4.9%-0.1%-494.8K-1.23B-20.0M0.954.9519,58218,679695,330742,919
2007-11-12$84.54$90.0037.3%9.5%31.9%100.0%33.9%5.0%-0.1%-6.5M-789.4M-19.5M1.195.4326,86431,911693,988737,273
2007-11-13$86.88$90.0033.8%8.8%34.0%85.1%29.9%5.1%0.2%1.2M-1.34B-19.2M0.677.4534,13022,976694,151735,054
2007-11-14$86.31$90.0032.5%8.8%33.9%79.8%31.2%5.0%0.0%-1.8M-1.21B-18.9M0.759.2122,84217,214700,564731,550
2007-11-15$84.49$90.0031.5%9.0%34.3%75.3%31.9%5.3%0.3%-10.3M-756.7M-19.0M0.687.1936,58825,034699,538731,001
2007-11-16$85.10$90.0029.9%8.6%33.3%68.4%30.6%4.8%0.7%-56.2M-1.05B-18.7M1.1111.1729,07332,169719,715730,279
2007-11-19$84.11$90.0029.9%8.6%33.2%68.4%30.6%4.6%1.0%8.2M-1.01B-18.6M1.065.5514,48115,323641,948692,642
2007-11-20$87.82$90.0026.8%7.7%37.1%55.1%27.7%5.3%1.8%22.1M-1.77B-18.7M0.708.6542,00029,597648,358699,959
2007-11-21$87.04$90.0030.4%8.7%37.0%70.5%29.1%4.5%0.8%22.4M-1.63B-19.1M1.3113.9215,05219,705663,471701,748
2007-11-23$88.29$90.0028.2%8.1%37.4%61.2%27.7%5.8%1.0%28.8M-1.88B-18.8M0.7312.377,3385,335664,694702,435
2007-11-26$85.68$90.0032.8%9.4%38.6%81.0%31.7%4.4%-0.5%17.4M-1.34B-18.5M1.595.9217,65328,083667,620704,761
2007-11-27$86.38$90.0032.5%9.3%38.2%79.4%30.8%5.4%-0.5%20.6M-1.50B-18.8M0.656.1028,57418,457670,966711,269
2007-11-28$87.92$90.0027.3%7.8%37.9%57.4%28.8%4.8%0.9%31.1M-1.92B-18.5M0.406.6448,25519,294678,880709,751
2007-11-29$88.59$90.0027.0%7.8%37.9%56.2%28.6%4.9%1.1%37.9M-2.12B-19.0M0.7312.4717,30112,695707,319716,990
2007-11-30$89.16$90.0026.2%7.5%35.4%52.7%25.9%5.7%0.9%43.3M-2.27B-18.7M0.905.0123,82721,408707,806713,807