XOM Options History — October 2009

In October 2009, XOM traded between $66.58 and $74.91. ATM implied volatility averaged 21.1%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.1% (HV 20d: 17.0%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-10-29: Highest Volume — 91,866 contracts
  • 2009-10-30: Largest IV spike — 33.4% change
  • 2009-10-30: Highest IV Rank — 12.7%
  • 2009-10-30: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.41$66.58$74.91$67.27$71.67
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV21.1%18.5%26.1%25.0%26.1%
Expected Move6.2%5.3%7.5%7.2%7.5%
HV 20d17.0%15.2%21.1%15.6%21.1%
HV 60d17.9%17.1%19.3%18.5%19.3%
IV Rank3.1%0.0%12.7%5.0%12.7%
IV Percentile11.0%0.0%44.8%30.6%44.8%
Term Structure0.8%-0.3%2.8%2.1%0.4%
VWIV22.6%19.7%26.0%23.8%25.6%
Skew 25d3.7%2.3%5.7%2.3%5.7%
Skew 10d7.9%5.1%10.3%5.8%10.3%
Call IV 25d20.8%18.3%23.8%23.2%23.3%
Put IV 25d24.5%21.0%29.0%25.5%29.0%
Bid-Ask Spread %2.761.424.302.964.30
Gamma HHI0.240.200.320.200.23
Net GEX25.5M-7.0M53.1M-3.2M20.3M
Net DEX-55.0M-677.4M748.7M635.1M50.1M
Net VEX-10.8M-12.7M-9.4M-9.4M-12.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.481.500.981.00
Total Volume60,355.525,48391,86667,21481,541
Total OI1,084,803.818917,5871,174,9841,055,5581,131,807

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$67.27$70.0025.0%7.2%15.6%5.0%23.8%2.3%2.1%-3.2M635.1M-9.4M0.982.9633,89533,319580,329475,229
2009-10-02$66.58$70.0023.9%6.9%15.9%4.0%23.9%2.9%2.8%-7.0M748.7M-9.4M1.441.4220,39429,360589,980486,036
2009-10-05$67.58$70.0022.2%6.6%16.1%2.3%24.6%4.3%0.8%-1.8M622.6M-9.5M1.123.0027,93331,234592,960497,892
2009-10-06$68.66$70.0020.7%6.4%15.3%0.8%23.0%4.1%0.9%9.9M413.3M-10.0M0.623.1737,29322,999597,971509,919
2009-10-07$68.67$70.0019.8%6.3%15.3%0.0%22.8%4.1%1.2%12.8M417.7M-10.1M1.032.5612,56112,922606,012514,823
2009-10-08$69.05$70.0019.4%6.3%15.4%0.0%22.7%3.9%1.3%16.9M355.9M-10.2M0.673.3022,02114,836610,264518,186
2009-10-09$69.27$70.0018.5%6.2%15.2%0.0%21.8%3.4%1.4%20.2M281.6M-10.2M0.711.9618,23613,002611,160517,267
2009-10-12$70.13$70.0019.2%6.0%15.8%0.7%21.0%3.8%1.1%34.6M66.5M-9.9M0.722.1029,69521,435615,448520,218
2009-10-13$70.26$70.0019.0%5.9%15.6%0.6%22.2%3.8%1.5%32.5M87.1M-9.9M1.013.1821,25021,521617,451527,392
2009-10-14$71.84$70.0021.1%6.0%16.9%3.0%20.6%3.1%-0.3%27.0M-254.6M-10.0M0.481.8448,72623,176619,788533,672
2009-10-15$72.94$70.0019.4%5.6%17.4%1.0%20.6%2.8%0.5%53.1M-527.8M-10.4M0.512.4737,14618,876628,385539,986
2009-10-16$73.12$70.0018.6%5.3%17.4%0.2%19.9%2.7%0.9%27.6M-516.5M-10.3M0.602.8144,20526,359630,398544,586
2009-10-19$73.62$70.0018.6%5.3%17.2%0.3%19.7%2.9%0.2%29.2M-308.0M-10.5M0.503.1152,60826,467483,115434,472
2009-10-20$73.02$70.0019.2%5.5%17.6%1.2%21.1%3.6%0.5%33.6M-249.0M-10.9M1.501.7129,00743,413519,248443,505
2009-10-21$73.31$70.0019.9%5.7%16.8%2.2%21.1%3.7%0.4%30.5M-262.8M-11.2M0.513.4633,32417,060528,712463,837
2009-10-22$74.44$70.0019.8%5.7%17.2%2.1%20.9%3.7%0.5%38.2M-490.4M-11.6M0.972.5332,77731,829533,920471,228
2009-10-23$73.57$70.0021.8%6.3%18.0%5.3%23.3%3.7%0.6%31.7M-350.0M-12.1M0.483.4861,25629,183546,959483,257
2009-10-26$73.23$70.0023.8%6.8%17.8%8.4%25.0%4.0%-0.2%31.6M-328.1M-12.4M0.532.6332,57117,130569,367489,958
2009-10-27$74.91$70.0023.4%6.7%18.7%7.7%25.0%4.1%-0.1%43.5M-677.4M-12.6M0.671.8532,70121,776577,798494,372
2009-10-28$73.84$70.0024.1%6.9%19.5%9.4%26.0%4.2%-0.1%39.5M-518.9M-12.7M1.043.9434,72636,192591,990502,042
2009-10-29$73.96$70.0019.6%5.6%17.5%1.8%21.6%4.4%2.0%39.8M-404.3M-12.5M1.022.9045,36746,499602,266512,479
2009-10-30$71.67$70.0026.1%7.5%21.1%12.7%25.6%5.7%0.4%20.3M50.1M-12.6M1.004.3040,70240,839608,178523,629