XOM Options History — July 2009 In July 2009, XOM traded between $65.12 and $72.75. ATM implied volatility averaged 25.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.6% (HV 20d: 23.7%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2009-07-30 : Highest Volume — 78,680 contracts2009-07-16 : Largest IV drop — 20.6% change2009-07-07 : Highest IV Rank — 11.1%2009-07-07 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $69.04 $65.12 $72.75 $70.56 $70.39 Max Pain $70.00 $70.00 $70.00 $70.00 $70.00 ATM IV 25.3% 21.9% 31.7% 23.3% 22.1% Expected Move 7.3% 6.3% 9.2% 6.7% 6.3% HV 20d 23.7% 20.0% 26.1% 20.0% 21.5% HV 60d 24.1% 23.4% 24.8% 24.0% 23.4% IV Rank 4.8% 1.4% 11.1% 2.8% 1.7% IV Percentile 15.2% 1.2% 38.1% 6.0% 2.4% Term Structure 0.5% -1.0% 2.7% 2.0% 1.3% VWIV 26.0% 22.5% 31.3% 23.4% 22.8% Skew 25d 4.3% 2.6% 5.5% 3.4% 3.5% Skew 10d 8.5% 5.9% 10.4% 5.9% 7.5% Call IV 25d 23.9% 20.8% 28.9% 22.8% 21.4% Put IV 25d 28.2% 24.6% 34.4% 26.2% 25.0% Bid-Ask Spread % 2.89 1.50 5.65 2.32 3.24 Gamma HHI 0.19 0.15 0.27 0.27 0.20 Net GEX 14.5M -7.3M 38.8M 23.4M 21.9M Net DEX 251.1M -477.6M 926.4M 86.3M 19.3M Net VEX -9.5M -10.7M -8.3M -10.2M -10.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.48 1.86 0.48 1.17 Total Volume 51,008.818 31,421 78,680 53,236 45,379 Total OI 994,809.455 768,313 1,127,769 1,064,561 935,979
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-07-01 $70.56 $70.00 23.3% 6.7% 20.0% 2.8% 23.4% 3.4% 2.0% 23.4M 86.3M -10.2M 0.48 2.32 36,046 17,190 616,641 447,920 2009-07-02 $68.49 $70.00 27.3% 7.8% 21.8% 6.7% 28.1% 2.6% 0.2% 9.2M 438.8M -9.8M 1.20 3.54 26,445 31,864 623,048 450,991 2009-07-06 $68.10 $70.00 29.3% 8.3% 21.8% 8.8% 30.2% 5.2% -0.2% 6.2M 481.1M -9.7M 0.78 5.65 26,395 20,456 621,561 460,136 2009-07-07 $66.56 $70.00 31.7% 9.2% 22.7% 11.1% 31.3% 5.5% -1.0% -1.1M 704.5M -9.2M 0.92 3.36 22,129 20,284 623,033 461,083 2009-07-08 $66.26 $70.00 30.7% 9.1% 22.6% 10.1% 31.1% 5.4% -0.8% -2.7M 746.1M -9.1M 1.16 3.16 33,662 39,064 628,606 462,882 2009-07-09 $65.97 $70.00 27.9% 8.6% 21.9% 7.3% 29.7% 5.2% -0.0% -5.7M 841.8M -8.8M 0.53 2.92 28,489 15,096 636,483 474,514 2009-07-10 $65.12 $70.00 26.3% 8.3% 21.9% 5.8% 29.5% 4.8% 0.4% -7.3M 926.4M -8.4M 0.97 2.36 24,440 23,824 642,690 468,956 2009-07-13 $65.70 $70.00 26.0% 8.1% 22.5% 5.5% 28.1% 4.1% 0.3% -5.4M 872.0M -8.3M 1.37 2.53 18,653 25,518 643,617 472,244 2009-07-14 $66.22 $70.00 25.2% 7.9% 22.8% 4.7% 27.4% 4.5% 0.5% -3.4M 781.2M -8.5M 0.82 3.93 22,249 18,231 647,593 471,655 2009-07-15 $68.44 $70.00 29.9% 7.1% 26.0% 9.3% 26.5% 4.5% 1.6% 7.5M 417.7M -9.1M 0.54 2.77 38,169 20,714 648,659 472,271 2009-07-16 $68.46 $70.00 23.7% 6.8% 26.0% 3.2% 26.4% 3.6% 1.8% 7.7M 440.8M -8.9M 0.78 2.51 20,235 15,784 653,595 474,174 2009-07-17 $68.52 $70.00 22.9% 6.6% 26.0% 2.4% 23.7% 3.8% 2.7% 12.2M 458.8M -8.7M 0.66 2.93 31,487 20,648 647,363 464,097 2009-07-20 $68.94 $70.00 21.9% 6.3% 26.1% 1.4% 22.5% 3.6% 1.2% 14.2M 142.8M -8.7M 0.51 2.71 42,948 21,865 439,257 329,056 2009-07-21 $70.47 $70.00 22.7% 6.5% 24.8% 2.2% 22.8% 3.7% 0.4% 23.7M -90.8M -9.4M 0.49 2.46 50,463 24,966 458,366 340,072 2009-07-22 $69.99 $70.00 22.9% 6.6% 25.0% 2.4% 24.0% 4.4% 1.0% 23.9M -35.4M -9.6M 0.99 2.88 17,912 17,796 481,642 352,024 2009-07-23 $71.61 $70.00 24.3% 7.0% 26.0% 3.8% 24.1% 4.6% -0.3% 32.1M -279.7M -10.2M 0.87 2.91 32,506 28,309 488,426 357,550 2009-07-24 $72.29 $70.00 24.1% 6.9% 25.2% 3.7% 23.0% 4.3% -0.6% 35.0M -385.7M -10.4M 0.65 1.90 20,747 13,514 498,628 369,833 2009-07-27 $72.75 $70.00 22.0% 6.3% 24.8% 1.6% 23.9% 4.7% 0.2% 38.8M -477.6M -10.7M 0.77 1.95 17,714 13,707 511,281 375,688 2009-07-28 $71.89 $70.00 25.0% 7.2% 24.2% 4.5% 26.0% 4.6% -0.9% 35.6M -310.1M -10.4M 1.86 1.50 14,706 27,387 515,251 379,941 2009-07-29 $71.43 $70.00 25.1% 7.2% 24.0% 4.6% 25.1% 4.6% -0.4% 29.7M -221.3M -10.5M 0.88 3.11 29,998 26,525 518,527 396,023 2009-07-30 $70.72 $70.00 22.7% 6.5% 24.1% 2.2% 23.2% 4.1% 1.0% 23.5M -33.3M -10.0M 0.87 2.82 42,031 36,649 522,890 401,562 2009-07-31 $70.39 $70.00 22.1% 6.3% 21.5% 1.7% 22.8% 3.5% 1.3% 21.9M 19.3M -10.0M 1.17 3.24 20,941 24,438 532,875 403,104
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