XOM Options History — June 2009

In June 2009, XOM traded between $68.45 and $74.05. ATM implied volatility averaged 24.0%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.9% (HV 20d: 23.1%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-06-02: Highest Volume — 83,206 contracts
  • 2009-06-22: Largest IV spike — 13.1% change
  • 2009-06-16: Highest IV Rank — 6.8%
  • 2009-06-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.58$68.45$74.05$71.76$69.91
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV24.0%20.4%27.3%25.8%23.7%
Expected Move7.0%6.5%7.8%7.4%6.8%
HV 20d23.1%20.0%26.6%26.0%20.0%
HV 60d26.4%23.3%30.5%30.5%24.0%
IV Rank3.0%0.0%6.8%3.4%3.2%
IV Percentile8.9%0.0%24.6%14.7%7.5%
Term Structure3.0%1.2%4.8%1.8%2.2%
VWIV24.8%23.1%28.2%24.9%24.1%
Skew 25d4.0%2.6%5.2%4.3%3.4%
Skew 10d8.3%6.3%10.5%7.5%6.8%
Call IV 25d23.5%21.9%26.6%23.4%23.5%
Put IV 25d27.5%25.6%30.4%27.7%26.9%
Bid-Ask Spread %2.041.333.182.592.24
Gamma HHI0.310.190.450.300.25
Net GEX41.6M10.6M74.2M47.3M19.8M
Net DEX-233.9M-773.9M385.4M-287.2M176.0M
Net VEX-10.8M-11.7M-9.7M-11.0M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.291.470.430.84
Total Volume52,941.40929,75683,20682,25849,004
Total OI1,051,559.682984,6381,091,579987,1501,059,573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$71.76$70.0025.8%7.4%26.0%3.4%24.9%4.3%1.8%47.3M-287.2M-11.0M0.432.5957,46224,796585,597401,553
2009-06-02$72.92$70.0023.3%6.7%26.4%0.9%24.9%3.3%1.2%55.7M-589.7M-11.3M0.872.1944,48938,717603,520409,713
2009-06-03$72.08$70.0025.9%7.4%26.6%3.5%25.3%3.3%1.4%49.8M-403.8M-11.5M0.862.6429,58725,324617,731425,637
2009-06-04$72.98$70.0022.5%6.5%26.6%0.1%23.8%2.9%1.5%57.8M-599.0M-11.7M0.652.9123,77315,445622,623426,690
2009-06-05$72.97$70.0022.0%6.8%26.6%0.0%25.4%5.2%3.7%58.1M-567.5M-11.6M0.942.6224,15622,621619,997432,623
2009-06-08$73.17$70.0021.7%6.9%25.0%0.0%25.3%4.9%4.0%63.2M-615.8M-11.6M0.632.7637,89423,984624,465431,576
2009-06-09$73.12$70.0021.2%6.6%23.5%0.0%24.3%4.5%4.3%61.8M-566.4M-11.4M1.471.6818,38027,045619,934438,092
2009-06-10$73.84$70.0020.4%6.5%22.5%0.0%24.1%4.5%4.5%71.6M-732.1M-11.5M1.121.3821,85824,582626,703445,230
2009-06-11$74.05$70.0023.1%6.6%21.6%2.6%23.8%4.1%3.9%74.2M-773.9M-11.5M0.663.1833,79622,367631,096449,197
2009-06-12$73.78$70.0022.6%6.5%21.7%2.1%23.1%3.5%4.0%73.7M-713.3M-11.4M0.531.9219,38910,367633,831454,158
2009-06-15$72.81$70.0024.3%7.0%22.0%3.8%25.3%4.2%3.2%57.1M-465.3M-11.0M0.471.8529,81113,943634,361453,840
2009-06-16$71.63$70.0027.3%7.8%22.0%6.8%26.1%4.7%2.1%40.6M-263.9M-10.9M0.772.1926,18920,184639,118449,717
2009-06-17$71.42$70.0026.8%7.7%22.1%6.3%26.0%5.1%2.8%37.6M-193.6M-10.7M1.121.8634,44938,753634,836451,533
2009-06-18$71.44$70.0025.4%7.3%21.5%4.9%24.3%4.9%3.6%31.4M-174.5M-10.5M0.701.6221,77115,274631,439460,140
2009-06-19$71.05$70.0023.9%6.9%20.4%3.4%23.9%4.6%4.8%29.2M-61.3M-10.3M0.411.7246,96819,235631,511455,990
2009-06-22$68.84$70.0027.1%7.8%23.5%6.5%28.2%3.8%2.8%11.6M341.6M-9.8M1.041.3334,55735,918568,843415,795
2009-06-23$68.95$70.0025.9%7.4%23.0%5.4%26.4%3.8%3.3%11.5M335.0M-9.8M0.571.7029,69316,837577,986428,194
2009-06-24$68.45$70.0025.4%7.3%21.7%4.9%25.9%3.4%3.1%10.6M385.4M-9.7M0.541.9631,11216,675586,493431,681
2009-06-25$69.88$70.0023.5%6.7%22.4%3.0%24.1%3.8%3.6%16.2M217.5M-10.0M0.431.6633,08814,141593,667433,696
2009-06-26$69.05$70.0023.0%6.6%22.9%2.5%23.3%2.6%2.7%11.1M343.3M-9.9M0.291.4132,2649,330606,095436,302
2009-06-29$70.58$70.0023.1%6.6%20.7%2.7%23.1%3.5%1.7%24.6M62.7M-10.2M0.601.5130,93318,550615,001438,536
2009-06-30$69.91$70.0023.7%6.8%20.0%3.2%24.1%3.4%2.2%19.8M176.0M-10.1M0.842.2426,68622,318616,500443,073