XOM Options History — April 2009

In April 2009, XOM traded between $64.75 and $70.44. ATM implied volatility averaged 33.3%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.0% (HV 20d: 31.2%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2009-04-21: Highest Volume — 75,586 contracts
  • 2009-04-09: Largest IV spike — 19.3% change
  • 2009-04-16: Highest IV Rank — 16.1%
  • 2009-04-07: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.73$64.75$70.44$69.23$66.67
Max Pain$68.33$65.00$70.00$70.00$65.00
ATM IV33.3%28.6%36.3%35.5%30.3%
Expected Move9.9%8.7%10.6%10.2%8.7%
HV 20d31.2%22.6%44.0%44.0%24.8%
HV 60d37.1%35.9%38.4%38.4%36.8%
IV Rank13.1%8.5%16.1%15.3%10.2%
IV Percentile46.0%33.3%57.1%54.4%33.7%
Term Structure-0.8%-3.5%3.1%3.0%-0.9%
VWIV34.5%29.0%37.8%37.7%29.0%
Skew 25d6.3%4.2%8.8%8.0%4.2%
Skew 10d11.6%6.2%17.3%17.3%6.2%
Call IV 25d31.6%27.3%34.3%32.8%27.3%
Put IV 25d37.9%31.5%42.4%40.8%31.5%
Bid-Ask Spread %3.612.125.542.344.05
Gamma HHI0.130.110.170.130.15
Net GEX10.2M2.8M20.2M9.4M12.1M
Net DEX356.7M46.3M623.8M276.2M345.2M
Net VEX-9.7M-11.5M-8.2M-11.3M-9.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.381.401.100.75
Total Volume49,296.61931,41475,58651,78273,683
Total OI1,065,449.143759,4871,261,8111,215,884900,587

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$69.23$70.0035.5%10.2%44.0%15.3%37.7%8.0%3.0%9.4M276.2M-11.3M1.102.3424,69127,091693,581522,303
2009-04-02$70.25$70.0035.1%10.1%38.7%14.9%35.3%8.1%3.1%15.5M115.5M-11.4M0.653.5631,81820,683698,877521,602
2009-04-03$70.44$70.0032.8%10.6%37.8%12.6%34.9%8.8%-1.1%20.2M46.3M-11.5M0.925.5420,06418,514710,264519,036
2009-04-06$70.05$70.0030.4%10.2%37.9%10.3%35.9%7.9%-0.3%18.3M131.2M-11.0M0.954.8226,64325,330712,132519,533
2009-04-07$68.71$70.0030.6%10.6%35.9%10.4%37.8%8.1%-0.4%9.4M339.6M-10.8M1.244.2523,27628,896711,280519,218
2009-04-08$68.96$70.0028.6%10.2%34.6%8.5%37.3%7.3%-0.1%11.4M311.1M-10.7M0.844.3623,43519,582715,971531,795
2009-04-09$69.84$70.0034.2%9.8%34.1%13.9%34.7%6.8%0.1%16.6M163.5M-10.8M0.443.1621,7499,665720,972529,644
2009-04-13$68.02$70.0035.4%10.2%35.6%15.2%37.5%6.7%-0.4%6.6M474.6M-10.1M0.603.0831,42718,870724,946528,182
2009-04-14$67.70$70.0035.9%10.3%35.6%15.6%36.7%6.6%-0.6%3.9M517.3M-10.1M0.763.7623,33717,634729,679530,617
2009-04-15$68.14$70.0034.9%10.0%33.8%14.7%36.9%6.7%-0.6%7.4M462.6M-9.9M1.403.8215,57321,741729,161532,650
2009-04-16$67.41$70.0036.3%10.4%34.0%16.1%34.4%5.4%-2.1%2.8M583.5M-9.2M0.852.4219,57916,658716,088517,162
2009-04-17$66.75$70.0033.0%9.5%33.9%12.8%31.5%4.8%-0.8%7.8M623.8M-8.8M0.953.2920,63719,664720,276520,038
2009-04-20$65.29$70.0034.4%9.9%32.7%14.2%34.0%5.5%-1.0%5.0M468.0M-8.2M0.402.1243,19117,304442,656316,831
2009-04-21$66.23$70.0033.9%9.7%22.6%13.7%33.2%5.7%-1.4%8.5M384.8M-8.6M0.704.5044,45831,128461,014321,874
2009-04-22$64.75$65.0033.7%9.6%23.3%13.5%34.1%5.2%-1.2%5.0M511.9M-8.4M0.622.4029,71318,519478,931338,022
2009-04-23$65.71$65.0032.4%9.3%23.7%12.2%32.5%5.2%-1.2%6.4M464.0M-8.5M0.452.6226,44611,980480,462343,678
2009-04-24$66.57$65.0032.2%9.2%23.5%12.0%31.5%4.9%-2.2%9.4M388.8M-8.7M0.383.3323,9009,044488,011346,922
2009-04-27$66.13$65.0034.2%9.8%22.9%14.0%33.8%5.0%-3.3%8.3M423.6M-8.6M0.664.4026,92117,721493,499348,954
2009-04-28$67.08$65.0034.5%9.9%22.8%14.3%33.2%6.6%-3.5%13.2M289.1M-9.1M0.683.0836,72424,894504,458356,136
2009-04-29$68.44$65.0030.5%8.7%23.8%10.3%31.8%5.8%-1.8%17.6M171.0M-9.3M0.504.8648,84024,206512,163365,227
2009-04-30$66.67$65.0030.3%8.7%24.8%10.2%29.0%4.2%-0.9%12.1M345.2M-9.0M0.754.0542,16831,515527,365373,222