XOM Options History — April 2008

In April 2008, XOM traded between $87.02 and $94.39. ATM implied volatility averaged 25.4%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.7% (HV 20d: 23.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2008-04-18: Highest Volume — 83,614 contracts
  • 2008-04-02: Largest IV drop — 12.6% change
  • 2008-04-01: Highest IV Rank — 58.2%
  • 2008-04-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.13$87.02$94.39$87.02$93.07
Max Pain$88.64$85.00$90.00$85.00$90.00
ATM IV25.4%23.0%28.3%28.3%25.7%
Expected Move7.5%6.8%8.1%8.1%7.4%
HV 20d23.8%14.3%35.1%34.8%14.3%
HV 60d27.4%25.4%29.3%29.3%25.7%
IV Rank46.6%36.7%58.2%58.2%47.8%
IV Percentile46.9%32.1%70.6%70.6%45.2%
Term Structure-0.4%-2.1%2.6%1.5%-1.4%
VWIV26.2%24.7%28.0%27.1%26.2%
Skew 25d4.0%2.2%4.8%4.7%2.2%
Skew 10d7.4%4.1%9.4%8.8%4.1%
Call IV 25d24.3%22.7%25.9%25.0%25.2%
Put IV 25d28.3%26.5%30.5%29.8%27.4%
Bid-Ask Spread %4.622.068.792.064.85
Gamma HHI0.210.160.300.180.19
Net GEX42.6M18.1M69.7M18.1M43.1M
Net DEX-1.23B-2.13B-504.9M-504.9M-1.36B
Net VEX-16.7M-17.0M-16.2M-16.7M-16.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.341.510.540.61
Total Volume37,843.63613,19683,61429,21763,755
Total OI993,992.409862,9211,094,479984,307946,770

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$87.02$85.0028.3%8.1%34.8%58.2%27.1%4.7%1.5%18.1M-504.9M-16.7M0.542.0618,93410,283515,015469,292
2008-04-02$88.52$85.0024.7%7.1%35.1%43.7%26.4%4.0%2.4%29.4M-783.2M-16.7M1.262.6218,45523,283520,865471,682
2008-04-03$88.23$85.0024.6%7.0%35.1%43.1%25.6%3.6%2.6%29.4M-769.5M-16.8M0.344.1226,9719,117528,098475,478
2008-04-04$88.74$85.0023.7%7.6%33.0%39.5%26.9%4.6%-0.6%37.2M-901.6M-16.9M1.516.7713,53120,476542,161476,552
2008-04-07$88.92$85.0023.9%7.6%31.5%40.6%26.3%4.5%-0.9%36.2M-929.0M-16.7M0.955.1111,05510,518539,081488,317
2008-04-08$89.61$85.0023.0%7.5%31.5%36.7%25.7%4.5%-0.7%41.8M-1.06B-16.7M1.165.5211,38913,164543,731491,196
2008-04-09$89.70$90.0024.0%8.1%26.4%41.0%28.0%4.8%-1.1%43.7M-1.10B-17.0M0.804.1325,03619,921548,469497,716
2008-04-10$89.55$90.0026.9%7.7%26.2%52.7%27.5%4.4%-0.5%41.7M-1.02B-16.9M1.095.6512,51113,603552,215505,731
2008-04-11$88.62$90.0027.6%7.9%26.3%55.4%27.8%4.5%-0.9%31.8M-813.6M-16.8M1.024.4412,01012,194554,493508,252
2008-04-14$89.70$90.0027.9%8.0%26.0%56.6%27.9%4.5%-1.3%52.8M-1.07B-16.7M0.624.0212,2427,562555,347507,802
2008-04-15$90.80$90.0027.1%7.8%26.2%53.3%26.2%4.7%-1.1%62.2M-1.34B-16.6M0.976.8518,60217,977555,260509,146
2008-04-16$92.89$90.0023.7%6.8%25.2%39.6%24.7%4.6%0.3%66.4M-1.83B-16.3M0.543.8440,09421,457557,441513,986
2008-04-17$93.38$90.0024.2%6.9%17.2%41.8%25.2%4.5%-0.1%68.8M-1.97B-16.4M0.523.9626,71813,902567,207518,790
2008-04-18$94.00$90.0024.3%7.0%17.2%42.0%25.2%3.8%-0.7%69.7M-2.13B-16.2M0.578.7953,28230,332571,908522,571
2008-04-21$94.26$90.0024.5%7.0%17.1%42.7%25.4%3.7%-0.7%35.3M-1.48B-16.4M0.503.3128,78914,377449,167413,754
2008-04-22$94.39$90.0025.1%7.2%16.4%45.3%25.9%3.8%-0.6%34.7M-1.51B-16.4M0.423.8632,32013,623449,211413,764
2008-04-23$94.22$90.0025.2%7.2%16.4%45.8%25.8%3.7%-0.3%40.6M-1.54B-16.9M1.103.8215,20916,694477,246421,342
2008-04-24$92.60$90.0023.9%6.8%18.0%40.3%24.8%3.2%0.3%37.4M-1.27B-16.9M0.934.3617,58316,307484,482427,178
2008-04-25$92.46$90.0026.5%7.6%17.3%51.0%25.4%3.6%-1.5%38.3M-1.25B-17.0M0.575.2217,2469,846490,454429,190
2008-04-28$92.45$90.0027.3%7.8%16.8%54.3%26.2%3.1%-2.1%40.0M-1.27B-16.7M0.684.007,8505,346495,980431,036
2008-04-29$91.79$90.0027.4%7.8%14.7%54.5%26.4%2.5%-1.9%37.3M-1.17B-16.6M1.074.4223,66425,332497,651432,806
2008-04-30$93.07$90.0025.7%7.4%14.3%47.8%26.2%2.2%-1.4%43.1M-1.36B-16.7M0.614.8539,58024,175505,044441,726