XOM Options History — August 2009

In August 2009, XOM traded between $66.49 and $71.37. ATM implied volatility averaged 22.6%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.8% (HV 20d: 18.8%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-08-10: Highest Volume — 174,242 contracts
  • 2009-08-17: Largest IV spike — 25.7% change
  • 2009-08-17: Highest IV Rank — 8.2%
  • 2009-08-17: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.38$66.49$71.37$70.65$69.15
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV22.6%19.9%28.3%23.9%22.5%
Expected Move6.6%6.1%8.1%6.9%6.5%
HV 20d18.8%16.6%21.3%21.3%20.2%
HV 60d21.8%20.9%23.4%23.4%21.0%
IV Rank2.6%0.0%8.2%3.4%2.6%
IV Percentile8.1%0.0%32.9%11.9%7.9%
Term Structure2.0%0.7%2.6%0.8%2.2%
VWIV23.8%21.6%28.0%24.5%23.3%
Skew 25d3.6%2.7%4.7%4.4%4.7%
Skew 10d7.6%5.0%11.0%9.6%11.0%
Call IV 25d22.2%20.1%26.6%22.7%21.8%
Put IV 25d25.8%24.2%29.9%27.0%26.5%
Bid-Ask Spread %2.371.303.632.691.30
Gamma HHI0.210.180.510.210.18
Net GEX20.2M-11.3M107.7M24.9M13.2M
Net DEX160.1M-235.0M695.2M-66.0M152.7M
Net VEX-9.8M-10.5M-8.6M-10.1M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.121.360.901.34
Total Volume53,418.04826,909174,24238,28639,985
Total OI963,935.19891,6081,019,839948,282967,951

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$70.65$70.0023.9%6.9%21.3%3.4%24.5%4.4%0.8%24.9M-66.0M-10.1M0.902.6920,18318,103538,361409,921
2009-08-04$70.60$70.0023.0%6.6%19.3%2.5%23.2%3.7%1.3%23.2M-51.4M-10.1M0.442.3023,89110,559542,189413,329
2009-08-05$70.03$70.0022.3%6.4%19.5%1.8%23.0%3.2%1.9%22.5M25.1M-10.1M0.603.6316,84510,064554,107413,824
2009-08-06$69.73$70.0021.1%6.1%19.5%0.7%21.6%3.5%2.6%18.3M94.8M-9.8M0.631.7218,88811,871551,781414,599
2009-08-07$69.47$70.0019.9%6.6%18.8%0.0%23.4%3.7%2.0%15.0M157.0M-9.7M0.771.6121,20516,269554,231418,476
2009-08-10$69.18$70.0019.9%6.4%18.8%0.0%27.3%3.3%2.2%13.7M214.4M-9.5M0.122.89155,51218,730558,786420,696
2009-08-11$68.13$70.0020.6%6.5%19.7%0.7%23.8%3.4%2.2%6.7M480.3M-9.4M0.982.2624,89924,501538,148423,498
2009-08-12$69.11$70.0020.2%6.5%16.6%0.4%23.0%3.1%2.1%15.8M282.3M-9.5M0.762.3819,87015,154539,771421,193
2009-08-13$68.75$70.0022.7%6.5%16.8%2.7%23.7%2.8%2.1%15.7M312.3M-9.5M0.911.9523,96121,824541,179419,818
2009-08-14$68.21$70.0022.5%6.4%17.0%2.6%23.3%2.7%2.1%11.5M407.5M-9.2M0.692.0824,99617,142546,430421,250
2009-08-17$66.55$70.0028.3%8.1%18.9%8.2%28.0%3.3%0.7%-7.3M644.7M-8.8M1.033.5436,01136,928548,981422,684
2009-08-18$66.49$70.0026.2%7.5%16.7%6.2%25.9%2.9%1.4%-11.3M695.2M-8.6M1.052.3523,33124,454555,663432,239
2009-08-19$68.00$70.0024.8%7.1%18.9%4.8%25.7%2.8%1.9%11.4M414.6M-9.4M0.872.4540,25735,137563,613435,939
2009-08-20$68.59$70.0023.7%6.8%17.0%3.7%24.6%2.8%2.5%20.9M315.4M-9.8M0.622.7041,04025,636566,688443,818
2009-08-21$69.92$70.0022.4%6.4%18.2%2.5%22.7%3.5%2.6%107.7M3.3M-10.1M0.683.5720,47513,857574,647445,192
2009-08-24$71.30$70.0022.0%6.3%19.5%2.1%22.4%4.0%2.4%26.9M-227.6M-10.2M0.682.3144,29730,068505,206386,402
2009-08-25$70.68$70.0022.3%6.4%19.3%2.4%22.3%4.1%2.5%23.9M-116.2M-10.3M0.911.9129,65327,045520,546399,480
2009-08-26$71.37$70.0022.2%6.4%19.6%2.3%22.2%4.4%2.5%28.1M-235.0M-10.5M0.921.5923,87122,024527,298406,072
2009-08-27$70.86$70.0022.1%6.3%19.4%2.2%22.5%4.7%2.5%24.4M-134.6M-10.5M1.072.0221,05622,580530,124410,761
2009-08-28$70.12$70.0022.0%6.3%19.7%2.1%23.5%4.7%2.5%19.8M-6.5M-10.5M1.362.5521,02828,579538,896418,852
2009-08-31$69.15$70.0022.5%6.5%20.2%2.6%23.3%4.7%2.2%13.2M152.7M-10.3M1.341.3017,12022,865540,713427,238