XOM Options History — January 2009

In January 2009, XOM traded between $75.10 and $81.64. ATM implied volatility averaged 39.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 6.2% (HV 20d: 33.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-01-29: Highest Volume — 193,479 contracts
  • 2009-01-12: Largest IV spike — 28.8% change
  • 2009-01-14: Highest IV Rank — 26.2%
  • 2009-01-14: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.24$75.10$81.64$81.64$76.48
Max Pain$77.75$75.00$80.00$80.00$80.00
ATM IV39.2%34.2%46.7%38.0%35.2%
Expected Move11.3%9.8%13.7%10.9%10.1%
HV 20d33.0%29.6%37.1%37.1%31.8%
HV 60d68.1%53.7%90.5%90.5%54.0%
IV Rank18.9%14.0%26.2%17.7%15.0%
IV Percentile71.4%64.7%78.2%73.4%66.7%
Term Structure0.9%-1.1%3.5%2.0%2.6%
VWIV40.2%33.1%46.9%38.3%33.1%
Skew 25d11.3%7.7%13.4%9.3%7.7%
Skew 10d21.3%15.4%24.9%19.3%15.4%
Call IV 25d34.7%30.0%42.1%33.0%30.3%
Put IV 25d46.0%38.0%53.2%42.3%38.0%
Bid-Ask Spread %3.062.075.382.953.82
Gamma HHI0.170.140.220.200.15
Net GEX9.1M-17.6M26.7M15.8M6.4M
Net DEX-26.5M-636.4M824.7M-562.0M90.7M
Net VEX-11.6M-13.3M-10.6M-11.3M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.521.740.801.50
Total Volume109,622.4565,288193,479119,037130,165
Total OI1,263,936.55768,0641,621,0811,433,0181,142,775

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$81.64$80.0038.0%10.9%37.1%17.7%38.3%9.3%2.0%15.8M-562.0M-11.3M0.802.9566,13752,900722,466710,552
2009-01-05$81.63$75.0041.4%11.6%34.6%21.1%38.8%11.5%-1.1%19.0M-636.4M-11.5M0.532.4057,93530,984743,077722,119
2009-01-06$80.30$75.0041.1%11.5%35.3%20.7%40.2%12.4%-0.8%9.8M-254.7M-11.4M0.752.4437,27828,010758,871727,896
2009-01-07$78.25$75.0041.1%12.1%34.0%20.8%46.0%12.4%-0.4%-4.3M237.8M-11.2M1.172.9546,22354,252770,364741,256
2009-01-08$79.09$75.0038.6%12.0%33.6%18.3%42.3%12.5%0.1%3.1M-18.8M-11.3M1.113.6533,41537,120768,095746,695
2009-01-09$77.57$75.0035.8%11.6%33.1%15.6%43.4%11.8%1.1%-6.3M355.8M-10.9M1.744.0945,90379,930780,557753,971
2009-01-12$76.54$75.0046.1%13.2%33.4%25.6%44.8%11.9%-1.1%-13.0M599.8M-10.6M1.022.3045,15645,903795,161760,573
2009-01-13$77.92$75.0043.8%11.8%34.1%23.4%42.4%11.2%0.7%-7.0M271.0M-11.0M0.992.1463,92163,371806,783768,292
2009-01-14$75.10$80.0046.7%13.7%36.3%26.2%46.9%11.1%-1.0%-17.6M824.7M-10.8M1.183.6263,81475,248829,293789,019
2009-01-15$76.66$75.0046.5%13.3%33.9%26.0%45.8%11.2%-0.8%-11.4M532.1M-11.1M0.973.3658,85557,292831,554789,527
2009-01-16$78.10$75.0037.1%10.6%33.9%16.8%39.0%11.4%3.5%14.7M217.0M-11.2M0.675.3864,53143,401833,535780,699
2009-01-20$76.29$80.0044.4%12.7%29.6%24.0%43.0%13.4%1.1%13.3M-128.6M-11.0M0.753.3050,59237,857413,638354,426
2009-01-21$79.26$80.0034.2%9.8%31.0%14.0%35.8%11.8%3.4%23.8M-411.1M-11.5M0.524.2765,93834,423435,327369,823
2009-01-22$78.23$80.0035.5%10.2%31.5%15.3%37.1%11.8%2.8%23.2M-365.8M-11.7M0.962.1348,45046,388463,134378,079
2009-01-23$78.04$80.0034.6%9.9%31.5%14.3%38.1%12.6%3.3%23.1M-287.8M-12.0M1.262.8338,76848,909478,673398,144
2009-01-26$78.60$80.0035.0%10.0%31.5%14.8%36.3%12.4%2.2%25.1M-349.8M-12.0M0.932.2154,74351,049491,446420,376
2009-01-27$78.92$80.0034.7%9.9%30.9%14.5%36.6%10.6%1.0%26.7M-333.9M-12.4M1.502.4639,86059,850514,872442,736
2009-01-28$79.25$80.0034.6%9.9%30.7%14.4%36.8%9.9%0.4%24.2M-344.5M-12.7M1.052.0768,55271,847529,808465,182
2009-01-29$77.00$80.0040.3%11.6%32.3%20.0%39.3%9.4%-0.3%13.5M35.0M-12.9M1.712.8471,289122,190557,857492,080
2009-01-30$76.48$80.0035.2%10.1%31.8%15.0%33.1%7.7%2.6%6.4M90.7M-13.3M1.503.8252,07778,088582,174560,601