XOM Options History — August 2008

In August 2008, XOM traded between $76.53 and $81.18. ATM implied volatility averaged 25.7%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 7.4% (HV 20d: 33.1%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2008-08-04: Highest Volume — 67,632 contracts
  • 2008-08-07: Largest IV spike — 21.1% change
  • 2008-08-04: Highest IV Rank — 62.3%
  • 2008-08-04: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.63$76.53$81.18$79.72$80.01
Max Pain$80.24$80.00$85.00$85.00$80.00
ATM IV25.7%22.4%31.6%27.2%22.8%
Expected Move7.3%6.4%8.6%7.8%6.5%
HV 20d33.1%25.6%36.1%32.5%25.9%
HV 60d28.8%27.6%29.5%27.6%28.0%
IV Rank30.8%13.4%62.3%38.8%15.6%
IV Percentile35.5%8.3%83.7%50.8%10.7%
Term Structure1.3%0.1%2.7%1.1%2.5%
VWIV25.6%22.1%29.7%27.8%22.9%
Skew 25d2.3%2.0%2.6%2.3%2.2%
Skew 10d4.3%3.2%5.5%3.8%3.2%
Call IV 25d24.7%21.3%28.7%26.5%22.2%
Put IV 25d27.0%23.5%31.1%28.8%24.4%
Bid-Ask Spread %2.541.414.801.591.79
Gamma HHI0.170.140.220.150.15
Net GEX-6.3M-22.0M12.5M-6.8M7.0M
Net DEX543.3M-27.7M1.13B599.3M129.4M
Net VEX-12.2M-13.5M-11.3M-13.5M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.311.751.050.56
Total Volume35,948.04818,88867,63251,78419,539
Total OI989,728.143896,2081,077,0001,025,771953,265

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$79.72$85.0027.2%7.8%32.5%38.8%27.8%2.3%1.1%-6.8M599.3M-13.5M1.051.5925,26626,518551,254474,517
2008-08-04$76.60$80.0031.6%8.6%34.7%62.3%29.7%2.4%0.1%-22.0M1.13B-12.2M0.713.8739,55028,082555,825480,888
2008-08-05$78.35$80.0027.1%7.9%36.1%38.3%27.7%2.4%0.7%-14.9M846.5M-12.7M0.842.8536,25430,426564,789480,671
2008-08-06$78.33$80.0025.2%7.6%35.7%28.3%26.8%2.5%0.9%-15.0M810.9M-12.5M0.523.1317,5919,160568,773484,441
2008-08-07$77.44$80.0030.5%8.2%34.6%56.7%28.3%2.1%0.2%-17.4M948.9M-12.4M1.754.8015,08426,334574,443486,686
2008-08-08$78.72$80.0024.9%7.6%35.4%26.6%26.9%2.4%0.9%-15.8M761.1M-12.7M0.423.2842,12517,527579,434497,566
2008-08-11$78.16$80.0028.0%7.8%35.4%43.4%27.3%2.2%0.6%-15.1M817.0M-12.4M0.653.5720,35813,130576,156487,290
2008-08-12$76.88$80.0029.3%8.0%33.4%50.4%27.4%2.0%0.7%-19.6M872.2M-12.0M0.783.4315,43911,979577,244466,107
2008-08-13$78.17$80.0025.9%7.5%33.7%31.8%26.4%2.2%0.8%-11.0M622.7M-12.2M0.483.4623,97011,489578,648455,267
2008-08-14$77.45$80.0026.8%7.7%33.8%37.0%26.1%2.2%0.7%-13.4M751.7M-11.8M0.492.3017,6058,621583,922457,993
2008-08-15$77.07$80.0026.7%7.7%33.2%36.6%26.3%2.1%0.9%-7.8M812.6M-11.6M0.712.0620,57814,673584,214459,333
2008-08-18$76.53$80.0026.4%7.6%32.4%34.5%25.6%2.4%1.2%-11.0M666.4M-11.3M0.492.1724,51811,997492,019404,189
2008-08-19$77.95$80.0024.1%6.9%33.3%22.4%24.3%2.6%1.5%-6.0M487.9M-11.7M0.312.1721,5656,755496,420404,330
2008-08-20$78.81$80.0023.4%6.7%32.8%18.9%23.8%2.6%1.9%-2.3M353.2M-11.9M0.382.0619,3217,409502,116405,578
2008-08-21$80.35$80.0023.4%6.7%33.6%18.8%23.4%2.6%2.1%4.8M114.1M-12.3M0.441.6527,48012,019503,344407,098
2008-08-22$80.30$80.0022.6%6.5%33.4%14.3%22.7%2.5%2.2%5.6M137.2M-12.4M1.111.4916,19117,980514,265410,362
2008-08-25$78.71$80.0024.3%7.0%33.8%23.5%24.7%2.1%1.7%-1.5M363.4M-12.1M0.452.4424,10010,783517,847418,067
2008-08-26$79.95$80.0023.7%6.8%34.3%20.5%23.8%2.4%2.1%7.5M149.4M-12.3M0.601.4114,9808,956526,478416,193
2008-08-27$80.47$80.0022.8%6.5%30.6%15.7%22.8%2.4%2.7%9.5M61.7M-12.3M0.721.7110,9997,889526,579414,547
2008-08-28$81.18$80.0022.4%6.4%25.6%13.4%22.1%2.2%2.2%12.5M-27.7M-12.4M0.842.1011,2349,435527,704418,429
2008-08-29$80.01$80.0022.8%6.5%25.9%15.6%22.9%2.2%2.5%7.0M129.4M-12.2M0.561.7912,5257,014531,335421,930