XOM Options History — September 2009

In September 2009, XOM traded between $68.18 and $70.65. ATM implied volatility averaged 21.7%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.6% (HV 20d: 18.1%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-09-18: Highest Volume — 85,639 contracts
  • 2009-09-04: Largest IV drop — 14.5% change
  • 2009-09-03: Highest IV Rank — 4.0%
  • 2009-09-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.47$68.18$70.65$68.41$68.61
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV21.7%20.0%24.0%23.6%20.8%
Expected Move6.3%5.7%6.9%6.8%6.0%
HV 20d18.1%13.9%22.2%20.5%13.9%
HV 60d20.4%18.1%21.7%21.1%18.1%
IV Rank1.8%0.2%4.0%3.6%0.9%
IV Percentile6.8%0.8%17.5%14.7%4.0%
Term Structure2.4%1.7%3.3%1.7%2.0%
VWIV22.7%20.4%25.6%24.5%21.5%
Skew 25d2.8%0.9%4.5%3.9%1.6%
Skew 10d6.5%2.6%9.8%9.8%6.4%
Call IV 25d21.9%20.2%24.1%23.6%21.9%
Put IV 25d24.7%22.3%28.0%27.5%23.5%
Bid-Ask Spread %1.851.232.972.971.77
Gamma HHI0.190.170.250.170.20
Net GEX17.8M5.8M38.2M8.0M9.8M
Net DEX182.8M-91.1M424.1M310.0M424.1M
Net VEX-9.8M-10.4M-9.2M-10.1M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.531.381.010.67
Total Volume43,894.85727,69185,63947,06947,946
Total OI1,012,909.333956,9911,052,736973,8581,044,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$68.41$70.0023.6%6.8%20.5%3.6%24.5%3.9%1.7%8.0M310.0M-10.1M1.012.9723,43923,630543,030430,828
2009-09-02$68.18$70.0023.8%6.8%20.4%3.9%25.6%3.9%2.4%8.0M324.0M-10.1M1.382.0918,40925,328547,111434,586
2009-09-03$68.26$70.0024.0%6.9%20.4%4.0%25.0%3.3%2.0%5.8M343.6M-10.3M0.731.7617,52412,872549,140448,724
2009-09-04$69.18$70.0020.5%6.9%21.0%0.7%24.7%3.5%2.9%13.5M188.0M-10.3M1.172.0319,19922,433553,516450,985
2009-09-08$70.65$70.0021.6%6.9%22.2%1.7%24.8%4.4%2.1%24.8M-86.9M-10.4M0.611.7928,62717,549555,651456,831
2009-09-09$70.50$70.0020.9%6.7%21.4%1.0%23.4%4.5%2.2%22.7M-57.2M-10.4M0.701.3819,07613,400557,812457,956
2009-09-10$70.65$70.0022.9%6.6%20.9%2.9%22.8%4.4%2.1%26.4M-91.1M-10.2M0.541.7718,94610,230564,439458,016
2009-09-11$69.98$70.0022.5%6.5%21.1%2.6%22.7%4.0%2.4%22.4M67.9M-10.0M0.851.4620,54317,407570,911458,414
2009-09-14$70.00$70.0022.4%6.4%20.9%2.5%22.6%4.0%2.2%26.2M53.9M-9.9M0.961.7822,44121,598569,229459,382
2009-09-15$69.49$70.0022.0%6.3%18.8%2.1%22.9%3.3%2.8%19.7M187.2M-9.6M1.122.2819,04021,345573,168466,540
2009-09-16$70.34$70.0023.1%6.6%19.1%3.1%22.9%2.9%1.7%27.3M-34.8M-9.8M0.871.2331,43527,294571,208468,684
2009-09-17$69.84$70.0022.7%6.5%17.9%2.7%23.2%2.9%2.0%27.9M103.8M-9.9M0.691.9822,69715,688574,230470,132
2009-09-18$69.99$70.0021.7%6.2%17.7%1.8%21.9%2.5%2.5%38.2M111.8M-9.8M0.741.8249,21436,425576,416476,320
2009-09-21$69.57$70.0020.8%6.0%16.5%0.9%21.3%1.9%3.0%16.8M180.6M-9.4M0.841.3932,58127,411529,442427,549
2009-09-22$69.83$70.0020.0%5.7%14.8%0.2%20.4%2.2%3.3%14.1M202.2M-9.4M0.531.5018,0739,618535,846436,752
2009-09-23$69.00$70.0020.3%5.8%15.1%0.4%21.1%0.9%3.0%10.6M315.7M-9.3M0.962.8631,54930,255539,371437,814
2009-09-24$68.93$70.0020.9%6.0%14.5%1.1%21.5%1.1%2.9%10.5M366.4M-9.2M1.161.3620,56223,779552,464448,950
2009-09-25$68.70$70.0020.5%5.9%14.4%0.6%21.0%1.2%3.0%10.7M361.7M-9.5M0.601.4725,07214,986555,722456,469
2009-09-28$69.59$70.0020.2%5.8%14.9%0.3%20.6%1.4%2.5%17.7M248.5M-9.6M0.792.3217,39813,697566,288459,941
2009-09-29$69.07$70.0020.8%6.0%14.3%0.9%22.7%1.9%2.0%12.3M318.3M-9.7M0.771.8118,67614,400571,155465,849
2009-09-30$68.61$70.0020.8%6.0%13.9%0.9%21.5%1.6%2.0%9.8M424.1M-9.4M0.671.7728,63219,314574,599469,626