XOM Options History — May 2008

In May 2008, XOM traded between $88.76 and $94.56. ATM implied volatility averaged 22.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.4% (HV 20d: 20.5%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2008-05-21: Highest Volume — 123,058 contracts
  • 2008-05-21: Largest IV spike — 15.3% change
  • 2008-05-21: Highest IV Rank — 50.7%
  • 2008-05-21: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.64$88.76$94.56$89.70$88.76
Max Pain$90.71$90.00$95.00$90.00$90.00
ATM IV22.8%19.9%26.4%24.1%22.4%
Expected Move6.8%5.9%7.6%6.9%6.4%
HV 20d20.5%17.7%22.2%19.9%17.7%
HV 60d25.3%25.0%25.6%25.5%25.0%
IV Rank36.2%24.2%50.7%41.2%34.4%
IV Percentile26.3%13.1%51.6%32.5%20.2%
Term Structure1.3%0.4%2.1%0.4%2.1%
VWIV23.9%20.9%26.7%24.9%23.0%
Skew 25d2.4%0.7%3.5%3.3%0.7%
Skew 10d4.7%1.9%7.2%5.0%1.9%
Call IV 25d22.8%20.2%26.1%23.4%23.0%
Put IV 25d25.3%22.9%28.2%26.7%23.8%
Bid-Ask Spread %4.071.966.493.301.96
Gamma HHI0.190.150.260.170.20
Net GEX40.6M21.5M69.2M26.7M35.8M
Net DEX-1.00B-1.87B-256.1M-694.7M-671.2M
Net VEX-16.1M-17.8M-6.4M-16.6M-16.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.161.000.730.47
Total Volume48,892.90520,050123,058105,92832,366
Total OI979,510.048544,6301,066,328963,1311,066,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$89.70$90.0024.1%6.9%19.9%41.2%24.9%3.3%0.4%26.7M-694.7M-16.6M0.733.3061,31644,612517,317445,814
2008-05-02$89.61$90.0022.1%6.3%19.9%33.1%22.8%2.7%1.7%26.3M-692.8M-16.4M0.683.1814,1889,621525,010456,256
2008-05-05$89.51$90.0022.3%6.6%19.9%33.8%22.9%2.8%0.5%27.5M-699.0M-16.1M0.684.8516,31711,047526,352455,765
2008-05-06$90.07$90.0021.9%6.7%19.8%32.5%23.0%2.9%0.4%31.4M-800.5M-16.3M0.526.3913,1596,891528,939459,581
2008-05-07$88.82$90.0022.7%6.9%20.4%35.8%24.6%2.8%0.4%21.5M-558.7M-16.2M0.575.4716,1529,130530,088460,951
2008-05-08$89.93$90.0021.6%6.9%20.9%31.2%25.1%2.8%0.8%30.2M-762.8M-16.5M0.205.4387,27217,020535,400462,080
2008-05-09$88.82$90.0021.2%6.9%21.1%29.5%24.7%2.8%0.7%25.1M-554.7M-16.4M0.745.6316,11711,952529,306468,563
2008-05-12$89.19$90.0022.2%6.8%20.7%33.5%24.1%2.6%1.0%25.2M-256.1M-6.4M0.686.4916,02510,831317,769226,861
2008-05-13$89.68$90.0020.8%6.7%20.3%28.0%23.7%2.7%1.0%35.7M-788.9M-16.3M0.464.1319,2048,756537,230469,312
2008-05-14$89.91$90.0019.9%6.4%18.3%24.2%22.7%2.5%1.4%41.1M-838.3M-16.0M0.744.7518,80313,915536,540466,900
2008-05-15$91.30$90.0022.1%6.3%19.2%33.2%21.7%2.8%1.0%46.1M-1.12B-16.0M0.364.0034,50512,381538,898468,137
2008-05-16$92.67$90.0020.7%5.9%19.8%27.3%20.9%2.7%1.6%69.2M-1.51B-16.1M0.384.7643,26716,301557,722468,809
2008-05-19$94.36$90.0021.4%6.1%20.9%30.4%21.6%3.0%1.5%60.0M-1.79B-16.3M0.272.5151,37613,662510,425427,851
2008-05-20$94.56$90.0022.9%6.6%20.9%36.5%23.2%3.5%1.3%65.4M-1.87B-16.9M0.762.1229,57322,339530,478429,393
2008-05-21$93.67$90.0026.4%7.6%21.2%50.7%26.7%2.0%1.8%53.0M-1.69B-17.6M0.373.6989,67233,386536,861438,736
2008-05-22$92.51$95.0025.0%7.2%20.7%44.9%25.6%2.3%2.0%58.3M-1.57B-17.8M0.934.2425,74023,999570,845444,773
2008-05-23$90.70$95.0025.5%7.3%21.9%47.0%25.4%1.9%2.0%46.8M-1.17B-17.8M1.003.6917,85517,809573,344455,913
2008-05-27$89.80$95.0025.6%7.3%22.1%47.1%25.9%1.4%1.9%41.2M-994.8M-17.4M0.653.8916,41010,635570,245458,021
2008-05-28$90.43$90.0024.3%7.0%22.2%42.1%24.3%1.7%1.9%46.8M-1.11B-17.1M0.752.9213,68810,245574,882459,044
2008-05-29$89.35$90.0024.5%7.0%21.8%42.9%24.7%1.4%1.1%40.1M-865.2M-16.6M0.162.0876,90512,309574,290458,682
2008-05-30$88.76$90.0022.4%6.4%17.7%34.4%23.0%0.7%2.1%35.8M-671.2M-16.5M0.471.9621,94710,419604,640461,688