XOM Options History — November 2009

In November 2009, XOM traded between $71.30 and $76.47. ATM implied volatility averaged 20.4%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.2% (HV 20d: 20.6%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-11-17: Highest Volume — 92,969 contracts
  • 2009-11-12: Largest IV spike — 27.2% change
  • 2009-11-02: Highest IV Rank — 13.4%
  • 2009-11-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.74$71.30$76.47$72.15$75.07
Max Pain$74.00$70.00$75.00$70.00$75.00
ATM IV20.4%17.5%26.5%26.5%20.3%
Expected Move6.0%5.1%7.6%7.6%5.8%
HV 20d20.6%17.4%21.8%20.7%17.4%
HV 60d18.4%17.7%19.3%19.3%18.3%
IV Rank4.6%0.0%13.4%13.4%6.7%
IV Percentile12.0%0.0%46.0%46.0%11.9%
Term Structure0.9%-0.5%1.8%-0.5%1.0%
VWIV21.4%18.1%25.6%25.6%21.3%
Skew 25d4.3%3.2%6.2%5.7%4.3%
Skew 10d9.7%7.3%12.0%11.1%9.6%
Call IV 25d19.6%16.5%23.3%23.3%19.9%
Put IV 25d23.9%19.7%29.2%29.0%24.2%
Bid-Ask Spread %3.042.004.442.113.17
Gamma HHI0.310.230.440.250.30
Net GEX54.1M22.2M103.5M30.2M56.0M
Net DEX-470.8M-1.04B93.7M-108.1M-662.9M
Net VEX-12.2M-12.7M-11.7M-12.6M-12.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.181.511.010.83
Total Volume41,465.221,41892,96942,99540,262
Total OI1,177,733.151,114,2591,245,0221,141,0411,161,539

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$72.15$70.0026.5%7.6%20.7%13.4%25.6%5.7%-0.5%30.2M-108.1M-12.6M1.012.1121,37621,619617,482523,559
2009-11-03$71.74$70.0026.0%7.5%20.4%12.6%25.6%6.2%-0.1%26.2M-16.5M-12.7M0.572.2325,66314,697617,776530,749
2009-11-04$71.30$70.0024.3%7.0%20.6%9.6%24.2%5.6%0.5%22.2M93.7M-12.3M1.512.9115,15422,832624,797534,891
2009-11-05$72.50$70.0023.8%6.8%21.3%8.9%23.0%4.4%-0.2%32.8M-109.6M-12.0M0.972.0014,12913,756630,028542,854
2009-11-06$72.58$75.0018.5%5.9%21.3%0.0%23.3%5.1%1.1%34.1M-125.1M-12.0M0.184.4462,42311,207632,246547,332
2009-11-09$72.85$75.0018.5%5.7%20.9%0.0%22.3%4.3%0.9%42.3M-239.2M-12.1M0.754.2116,48512,398623,559548,755
2009-11-10$72.61$75.0018.0%5.7%21.0%0.0%20.7%4.2%0.9%42.2M-202.0M-11.9M1.003.8010,73110,687629,672548,352
2009-11-11$72.91$75.0017.5%5.6%19.6%0.0%21.0%4.0%0.8%48.6M-349.6M-11.7M0.594.2514,2918,375632,565551,822
2009-11-12$71.90$75.0022.2%6.4%19.5%7.8%22.1%4.5%0.7%31.0M-28.6M-11.7M0.833.2514,78912,330633,576552,697
2009-11-13$72.47$75.0022.2%6.4%19.7%7.8%20.9%4.2%0.8%41.6M-253.8M-12.1M0.633.4718,52211,604633,771555,885
2009-11-16$74.43$75.0019.6%5.6%21.8%3.4%20.6%4.3%1.3%76.4M-719.0M-11.8M0.593.1238,64422,991639,015559,601
2009-11-17$75.03$75.0019.4%5.6%21.7%3.2%19.9%3.9%1.2%90.9M-895.5M-12.0M0.412.6165,79827,171643,949561,965
2009-11-18$75.27$75.0019.2%5.5%21.7%2.9%19.3%3.7%1.2%103.5M-1.04B-12.6M0.562.8734,23519,046669,681573,024
2009-11-19$74.65$75.0019.8%5.7%21.3%3.8%21.2%3.6%1.4%101.3M-757.3M-12.6M0.732.9125,03918,247662,582579,323
2009-11-20$74.38$75.0018.9%5.4%20.9%2.3%19.9%3.5%1.8%51.6M-571.5M-12.2M0.613.2916,31910,027663,424581,598
2009-11-23$75.70$75.0018.6%5.3%21.6%2.5%19.3%3.5%1.2%62.3M-885.8M-12.2M0.652.4229,58619,231601,742512,517
2009-11-24$75.97$75.0017.7%5.1%20.2%0.5%18.2%3.7%1.5%67.9M-964.2M-12.2M0.872.3523,20320,143614,297518,789
2009-11-25$76.47$75.0017.7%5.1%19.5%0.6%18.1%3.2%1.2%69.1M-993.7M-12.3M0.672.8118,43912,343620,755525,903
2009-11-27$74.87$75.0019.9%5.7%21.1%5.8%20.7%3.9%1.0%53.0M-592.9M-12.5M1.162.6316,47819,034622,400530,191
2009-11-30$75.07$75.0020.3%5.8%17.4%6.7%21.3%4.3%1.0%56.0M-662.9M-12.4M0.833.1721,96418,298624,897536,642