XOM Options History — December 2007

In December 2007, XOM traded between $88.12 and $95.00. ATM implied volatility averaged 24.6%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.7% (HV 20d: 26.3%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-12-12: Highest Volume — 51,661 contracts
  • 2007-12-21: Largest IV drop — 17.1% change
  • 2007-12-03: Highest IV Rank — 56.7%
  • 2007-12-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.85$88.12$95.00$88.85$93.69
Max Pain$82.00$80.00$90.00$90.00$80.00
ATM IV24.6%20.3%27.1%27.1%22.6%
Expected Move7.0%5.8%7.8%7.8%6.5%
HV 20d26.3%18.9%35.4%35.3%20.5%
HV 60d26.9%26.5%27.3%26.7%27.3%
IV Rank45.6%27.6%56.7%56.7%37.2%
IV Percentile63.3%39.4%79.7%79.7%53.2%
Term Structure2.0%-0.5%4.0%0.3%2.1%
VWIV24.7%21.1%28.8%28.8%24.1%
Skew 25d4.8%3.4%5.8%5.5%4.8%
Skew 10d9.4%6.4%15.3%11.6%9.2%
Call IV 25d22.2%19.7%25.4%25.4%21.3%
Put IV 25d27.0%23.3%30.9%30.9%26.1%
Bid-Ask Spread %6.823.6512.867.775.45
Gamma HHI0.230.180.290.190.25
Net GEX66.4M36.8M94.3M40.2M73.0M
Net DEX-2.95B-3.65B-1.97B-2.14B-3.30B
Net VEX-17.2M-18.8M-15.5M-18.8M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.341.701.700.62
Total Volume30,199.418,68851,66135,77223,790
Total OI1,457,348.81,395,4101,494,2311,436,0451,421,243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$88.85$90.0027.1%7.8%35.3%56.7%28.8%5.5%0.3%40.2M-2.14B-18.8M1.707.7713,26022,512715,719720,326
2007-12-04$88.12$90.0026.4%7.6%35.4%53.4%27.8%5.0%0.4%36.8M-1.97B-18.7M0.527.4613,0006,708717,342723,992
2007-12-05$89.92$90.0026.2%7.5%34.4%52.8%26.2%5.4%-0.5%52.1M-2.47B-18.5M0.676.1727,20618,099724,097724,292
2007-12-06$91.44$90.0025.6%7.3%32.2%50.1%26.0%5.7%-0.3%65.5M-2.88B-18.2M0.924.3317,87016,404731,761728,533
2007-12-07$91.50$80.0025.2%7.2%31.1%48.4%25.1%5.5%2.5%66.2M-2.90B-18.1M0.646.3011,9477,655734,786731,624
2007-12-10$92.03$80.0026.8%7.3%28.9%55.4%25.8%5.8%1.9%71.1M-3.06B-17.7M0.967.6811,74411,312734,894733,689
2007-12-11$90.28$80.0026.7%7.4%28.0%55.0%25.8%4.9%1.9%50.1M-2.58B-17.7M0.8010.6416,80113,362738,320737,180
2007-12-12$91.92$80.0026.5%7.2%27.1%53.9%25.3%4.3%2.2%75.1M-3.09B-17.5M1.059.1825,21826,443737,202737,827
2007-12-13$92.72$80.0023.3%6.7%27.0%40.4%24.9%5.1%3.2%74.7M-3.10B-17.9M0.8612.8615,41313,228739,213742,988
2007-12-14$91.18$80.0025.7%7.4%26.4%50.6%25.1%4.5%2.3%65.1M-2.83B-17.5M0.6611.3912,5888,286741,302742,488
2007-12-17$89.89$80.0026.5%7.6%27.2%54.0%26.3%5.2%1.9%50.0M-2.43B-17.4M1.037.449,2109,478745,009744,427
2007-12-18$91.42$80.0026.1%7.5%27.0%52.0%24.5%4.6%2.3%65.4M-2.75B-17.2M0.564.2718,76710,446743,184745,624
2007-12-19$91.43$80.0025.4%7.3%22.8%49.5%24.1%4.3%2.0%64.5M-2.91B-16.8M0.666.3214,0929,319747,295746,258
2007-12-20$92.13$80.0025.1%7.2%22.5%48.1%24.7%5.2%2.6%68.7M-3.04B-16.6M0.705.5114,47010,134746,006746,438
2007-12-21$93.43$80.0020.8%6.0%22.5%29.7%21.4%4.4%4.0%94.3M-3.53B-16.3M0.347.7536,68812,598747,330746,901
2007-12-24$93.66$80.0020.3%5.8%18.9%27.6%21.1%3.6%3.4%79.1M-3.35B-15.9M0.773.8115,97912,334695,913699,497
2007-12-26$94.81$80.0021.4%6.1%19.0%32.2%22.1%3.4%2.8%80.2M-3.63B-15.7M0.603.6524,20914,589698,784704,972
2007-12-27$93.67$80.0021.4%6.1%19.3%32.0%23.0%4.0%2.9%76.0M-3.42B-15.8M0.994.2911,80911,653704,046708,779
2007-12-28$95.00$80.0021.7%6.2%19.6%33.5%22.2%4.5%2.4%81.0M-3.65B-15.8M0.974.1517,90717,460706,477711,218
2007-12-31$93.69$80.0022.6%6.5%20.5%37.2%24.1%4.8%2.1%73.0M-3.30B-15.5M0.625.4514,6479,143705,427715,816