XOM Options History — February 2008

In February 2008, XOM traded between $81.44 and $89.89. ATM implied volatility averaged 28.0%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.8% (HV 20d: 27.2%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2008-02-12: Highest Volume — 77,754 contracts
  • 2008-02-29: Largest IV spike — 19.2% change
  • 2008-02-05: Highest IV Rank — 84.6%
  • 2008-02-05: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.83$81.44$89.89$85.95$87.01
Max Pain$84.75$80.00$85.00$85.00$85.00
ATM IV28.0%23.2%34.8%28.5%28.3%
Expected Move8.1%6.6%9.7%8.2%8.1%
HV 20d27.2%22.3%31.2%28.5%24.4%
HV 60d25.8%23.9%28.6%28.6%24.7%
IV Rank57.0%37.4%84.6%58.9%58.4%
IV Percentile71.3%43.3%97.6%81.7%77.4%
Term Structure0.5%-1.1%1.8%0.0%0.7%
VWIV27.9%24.1%33.7%28.0%26.5%
Skew 25d5.8%4.7%6.7%5.5%5.1%
Skew 10d11.5%8.6%14.0%14.0%9.8%
Call IV 25d25.0%20.7%29.6%25.5%24.7%
Put IV 25d30.8%26.2%36.0%31.0%29.8%
Bid-Ask Spread %9.094.0615.564.069.54
Gamma HHI0.170.140.210.160.17
Net GEX20.2M-251.7K39.8M13.2M20.2M
Net DEX-481.9M-1.17B298.2M-316.0M-590.1M
Net VEX-16.2M-17.2M-15.1M-15.7M-17.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.601.610.851.28
Total Volume42,028.718,10777,75459,46643,018
Total OI886,527.5819,275949,036819,275949,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$85.95$85.0028.5%8.2%28.5%58.9%28.0%5.5%0.0%13.2M-316.0M-15.7M0.854.0632,14427,322434,193385,082
2008-02-04$85.44$85.0030.2%8.8%28.0%65.8%30.4%6.2%-0.5%12.2M-254.0M-15.7M0.8014.5722,58118,029442,876392,625
2008-02-05$82.11$85.0034.8%9.7%30.8%84.6%33.7%6.4%-1.1%3.7M156.1M-15.3M1.249.7619,28923,955449,808398,313
2008-02-06$81.44$85.0033.9%9.4%30.7%81.0%30.9%6.2%-0.7%-251.7K298.2M-15.1M0.718.3520,18814,407452,622409,011
2008-02-07$81.89$85.0033.8%9.4%29.9%80.4%31.4%6.7%-0.1%2.6M241.7M-15.4M1.168.6817,72220,488452,522412,847
2008-02-08$81.71$85.0031.4%9.0%29.8%70.6%32.9%6.1%0.4%895.9K185.3M-15.4M1.5010.7717,71326,540457,522403,977
2008-02-11$83.22$80.0029.1%8.4%30.7%61.4%31.1%6.0%-0.1%6.5M-105.8M-15.7M0.729.2726,25519,013465,731411,933
2008-02-12$84.38$85.0027.5%8.4%31.2%54.8%28.2%6.5%0.2%18.1M-341.9M-16.0M0.9513.0339,97237,782473,303413,737
2008-02-13$85.49$85.0025.6%8.1%31.1%47.1%27.8%5.7%0.6%23.4M-505.3M-16.3M0.748.7016,11311,866482,531424,540
2008-02-14$85.55$85.0028.3%8.1%29.5%58.3%28.5%5.6%0.4%27.9M-532.4M-16.5M0.647.3729,04718,491487,602427,394
2008-02-15$85.37$85.0027.7%7.9%27.3%55.8%27.5%4.9%0.6%29.4M-575.6M-16.3M0.938.3728,47026,588493,721427,467
2008-02-19$87.01$85.0028.5%8.2%27.7%59.2%26.2%6.0%-0.0%21.5M-706.2M-16.2M0.758.6736,01127,040440,343400,159
2008-02-20$88.10$85.0023.8%6.8%25.1%40.0%25.1%5.7%1.2%27.8M-859.8M-16.5M0.766.9722,31517,066458,363410,169
2008-02-21$86.92$85.0027.2%7.8%25.6%53.8%25.9%4.7%0.8%22.8M-629.3M-16.6M0.8813.3119,93317,519466,379416,243
2008-02-22$87.17$85.0027.1%7.8%23.3%53.3%25.1%6.2%0.8%27.0M-755.0M-16.6M1.1715.5610,95912,857474,305420,548
2008-02-25$89.13$85.0023.6%6.8%22.6%39.2%24.2%5.8%1.4%36.2M-1.05B-16.5M0.606.7021,74012,951477,943424,604
2008-02-26$89.89$85.0023.2%6.6%22.3%37.4%24.1%5.6%1.5%39.8M-1.17B-16.7M0.856.4222,00018,616486,221430,141
2008-02-27$89.39$85.0023.6%6.8%22.5%39.1%25.0%5.6%1.5%37.7M-1.09B-16.9M1.615.5010,15416,313495,838438,709
2008-02-28$89.38$85.0023.8%6.8%22.5%40.0%24.7%5.8%1.8%33.2M-1.04B-17.2M1.146.188,4679,640492,949449,243
2008-02-29$87.01$85.0028.3%8.1%24.4%58.4%26.5%5.1%0.7%20.2M-590.1M-17.2M1.289.5418,86024,158495,170453,866