XOM Options History — September 2008

In September 2008, XOM traded between $73.25 and $80.67. ATM implied volatility averaged 33.2%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 3.4% (HV 20d: 36.6%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2008-09-16: Highest Volume — 81,558 contracts
  • 2008-09-29: Largest IV spike — 50.2% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.92$73.25$80.67$77.32$77.66
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV33.2%26.1%49.4%27.1%37.7%
Expected Move9.5%7.5%14.2%7.8%10.8%
HV 20d36.6%23.6%54.4%24.8%54.4%
HV 60d32.0%27.8%39.5%28.3%39.5%
IV Rank66.2%32.9%100.0%38.3%60.4%
IV Percentile85.0%40.5%100.0%52.4%98.8%
Term Structure-2.1%-8.9%0.8%0.6%-2.2%
VWIV33.1%26.2%46.3%26.2%40.6%
Skew 25d4.0%1.6%7.6%1.7%7.6%
Skew 10d8.2%2.9%15.0%2.9%15.0%
Call IV 25d31.5%25.8%47.6%25.8%35.7%
Put IV 25d35.5%27.6%51.5%27.6%43.3%
Bid-Ask Spread %5.731.7722.232.926.83
Gamma HHI0.160.120.220.170.13
Net GEX-1.9M-14.4M23.1M-5.7M4.4M
Net DEX490.4M-243.2M1.04B577.4M312.7M
Net VEX-11.5M-12.7M-10.2M-11.4M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.311.960.550.66
Total Volume50,061.66730,06081,55840,01538,322
Total OI1,016,622958,1981,069,741958,1981,046,129

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$77.32$80.0027.1%7.8%24.8%38.3%26.2%1.7%0.6%-5.7M577.4M-11.4M0.552.9225,75414,261534,391423,807
2008-09-03$78.02$80.0026.1%7.5%23.6%32.9%26.5%1.6%0.8%-2.4M457.0M-11.7M0.732.9421,80015,824540,457427,521
2008-09-04$76.14$80.0029.2%8.4%25.2%49.5%28.8%2.0%-0.2%-10.6M761.3M-11.2M0.731.7720,91915,209543,330435,192
2008-09-05$75.62$80.0027.7%8.1%25.0%41.9%28.2%1.7%-0.2%-14.0M833.5M-10.9M0.553.1427,20414,937548,430437,628
2008-09-08$76.77$80.0030.2%8.5%24.9%55.2%29.1%2.3%-1.0%-7.6M631.8M-11.3M0.313.5425,8058,009552,121438,169
2008-09-09$73.26$80.0037.3%9.5%29.6%92.7%33.2%2.5%-2.9%-14.4M1.04B-10.2M1.004.1029,16629,115557,678438,055
2008-09-10$75.25$80.0032.6%9.2%31.0%67.7%31.9%4.2%-2.8%-12.9M861.7M-10.8M0.543.3833,90518,356566,271445,582
2008-09-11$75.56$80.0031.8%9.1%30.4%63.5%31.5%3.5%-2.1%-9.3M767.6M-11.0M0.772.9324,06018,535573,948447,431
2008-09-12$77.50$80.0031.5%9.0%31.7%61.9%30.5%3.5%-2.1%400.0K430.7M-11.7M0.363.4022,0468,014581,388454,520
2008-09-15$73.25$80.0034.2%9.8%37.5%76.3%34.2%4.7%-3.5%-13.0M866.8M-10.4M0.644.5040,71826,168579,542451,965
2008-09-16$76.43$80.0036.3%10.4%40.7%87.4%36.1%3.6%-5.0%-3.4M546.8M-11.5M0.735.2547,13234,426588,551455,148
2008-09-17$75.28$80.0039.0%11.2%40.4%100.0%39.5%4.6%-7.1%-6.4M708.9M-11.3M0.748.0743,04832,010595,125457,462
2008-09-18$77.75$80.0034.8%10.0%42.0%78.1%35.6%4.7%-3.9%5.4M446.2M-11.9M0.7122.2340,85129,032605,931462,988
2008-09-19$79.61$80.0031.1%8.9%42.3%58.7%31.7%4.5%-3.6%23.1M-243.2M-12.2M0.445.6545,42819,834608,104461,637
2008-09-22$78.88$80.0032.6%9.4%42.4%66.8%33.4%5.2%-0.3%175.5K264.6M-11.7M0.653.9335,07922,808541,785427,766
2008-09-23$77.69$80.0032.8%9.4%42.1%67.4%34.0%5.2%0.3%-1.2M390.9M-11.8M1.033.8621,81722,381562,259436,739
2008-09-24$78.03$80.0032.6%9.4%41.7%66.8%33.3%5.3%0.1%2.6M307.3M-11.8M0.693.6232,04822,013568,962435,338
2008-09-25$80.67$80.0030.6%8.8%43.5%56.2%31.2%5.6%-0.0%11.9M-83.6M-12.5M0.533.2026,81114,296584,437443,424
2008-09-26$80.65$80.0032.9%9.4%43.3%68.0%33.6%6.7%-0.6%14.3M-143.3M-12.7M0.594.4725,32915,065595,956448,171
2008-09-29$74.06$80.0049.4%14.2%52.7%100.0%46.3%3.9%-8.9%-1.1M565.3M-11.8M1.9620.6414,79528,965593,630452,094
2008-09-30$77.66$80.0037.7%10.8%54.4%60.4%40.6%7.6%-2.2%4.4M312.7M-11.9M0.666.8323,15315,169597,746448,383