XOM Options History — July 2008

In July 2008, XOM traded between $80.33 and $88.35. ATM implied volatility averaged 30.1%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.5% (HV 20d: 25.6%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2008-07-10: Highest Volume — 92,479 contracts
  • 2008-07-07: Largest IV spike — 20.7% change
  • 2008-07-17: Highest IV Rank — 80.4%
  • 2008-07-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.58$80.33$88.35$88.35$80.43
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV30.1%24.2%34.9%24.2%28.2%
Expected Move8.7%6.9%10.0%6.9%8.1%
HV 20d25.6%22.5%32.9%29.1%32.9%
HV 60d24.4%23.1%27.6%23.1%27.6%
IV Rank54.8%26.6%80.4%26.6%44.2%
IV Percentile74.7%23.8%97.2%23.8%62.3%
Term Structure-1.6%-4.0%3.9%3.4%0.3%
VWIV30.3%24.9%34.3%24.9%28.2%
Skew 25d3.5%2.0%4.7%2.9%2.6%
Skew 10d6.4%3.3%9.0%6.4%3.7%
Call IV 25d28.5%23.7%33.2%23.7%27.0%
Put IV 25d32.1%26.7%36.0%26.7%29.6%
Bid-Ask Spread %3.301.496.061.491.74
Gamma HHI0.160.140.200.190.14
Net GEX9.8M-18.6M40.8M39.0M-474.2K
Net DEX-2.8M-873.1M662.5M-841.0M468.0M
Net VEX-14.9M-16.2M-13.6M-16.0M-13.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.341.230.780.74
Total Volume52,627.68227,69492,47934,70661,092
Total OI1,088,073.591927,8511,235,5831,091,5431,010,528

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$88.35$85.0024.2%6.9%29.1%26.6%24.9%2.9%3.4%39.0M-841.0M-16.0M0.781.4919,51115,195617,926473,617
2008-07-02$87.41$85.0027.7%7.9%29.4%44.3%25.4%3.9%3.1%31.3M-668.2M-16.1M0.532.0637,27219,712624,099480,006
2008-07-03$88.27$85.0024.6%7.1%25.7%28.0%25.3%3.6%3.9%40.8M-873.1M-16.2M0.673.1521,86214,707636,855484,574
2008-07-07$86.95$85.0029.7%9.1%24.2%53.8%30.7%4.4%-2.5%31.0M-583.1M-15.8M0.883.6022,40019,739642,802485,878
2008-07-08$85.94$85.0027.5%8.8%22.5%40.6%30.3%4.3%-2.2%19.7M-342.7M-15.5M1.145.3429,42933,507645,843494,965
2008-07-09$84.31$85.0029.2%9.1%22.9%49.6%31.7%4.2%-2.6%7.3M43.6K-15.3M1.023.5926,17826,711651,828502,610
2008-07-10$86.06$85.0031.0%8.9%24.1%59.4%32.6%4.3%-1.9%17.7M-325.6M-15.8M0.893.3548,92743,552654,870512,220
2008-07-11$85.48$85.0031.7%9.1%23.4%63.1%32.2%4.7%-2.5%14.5M-261.9M-16.0M0.793.9127,87921,916673,067531,072
2008-07-14$85.42$85.0032.3%9.3%22.6%66.5%31.9%4.4%-2.8%10.2M-211.3M-15.7M0.604.0723,90014,447675,714536,181
2008-07-15$82.19$85.0034.4%9.9%26.2%77.8%32.9%4.3%-4.0%-12.7M513.1M-14.8M1.123.1527,26130,562678,657537,226
2008-07-16$80.81$85.0033.4%9.6%26.3%72.2%32.9%3.7%-2.8%-18.6M662.5M-14.4M0.484.2455,98126,733683,000526,612
2008-07-17$80.33$85.0034.9%10.0%26.2%80.4%34.3%2.8%-3.7%-15.8M593.3M-14.4M0.696.0652,05535,860690,620529,148
2008-07-18$81.54$85.0032.5%9.3%26.1%67.4%32.0%2.9%-2.9%-7.9M454.2M-14.4M0.924.2634,19631,461699,626535,957
2008-07-21$82.98$85.0030.6%8.8%26.8%57.1%30.6%3.4%-2.6%7.9M32.2M-14.7M0.342.6832,66111,253495,322432,529
2008-07-22$82.86$85.0028.3%8.1%23.7%44.8%29.0%3.1%-1.2%10.0M23.3M-14.5M0.661.9318,44612,156506,080434,344
2008-07-23$80.99$85.0030.0%8.6%24.7%54.3%29.8%2.0%-1.9%3.0M311.4M-13.9M0.853.3821,43318,240510,575437,151
2008-07-24$80.80$85.0031.8%9.1%24.4%63.4%31.1%3.1%-2.5%1.8M347.9M-13.9M0.732.9631,53123,066515,143443,938
2008-07-25$81.70$85.0030.2%8.7%24.6%55.3%30.1%3.5%-2.1%6.8M225.4M-14.4M0.822.4915,93913,018528,348450,060
2008-07-28$80.68$85.0031.2%8.9%24.8%60.3%30.8%3.5%-2.5%2.2M357.1M-13.7M0.484.0818,7338,961532,667451,749
2008-07-29$80.90$85.0029.7%8.5%23.6%52.4%29.8%2.7%-2.3%2.3M366.1M-13.6M1.231.7017,00420,902532,036451,336
2008-07-30$84.38$85.0028.3%8.1%28.7%45.2%29.3%3.8%-1.8%24.9M-309.9M-14.8M0.443.3550,20622,215535,774465,066
2008-07-31$80.43$85.0028.2%8.1%32.9%44.2%28.2%2.6%0.3%-474.2K468.0M-13.7M0.741.7435,09625,996548,598461,930