XOM Options History — January 2010

In January 2010, XOM traded between $64.43 and $70.30. ATM implied volatility averaged 17.9%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.3% (HV 20d: 14.7%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-01-29: Highest Volume — 118,605 contracts
  • 2010-01-14: Largest IV spike — 17.6% change
  • 2010-01-29: Highest IV Rank — 18.8%
  • 2010-01-29: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.07$64.43$70.30$69.15$64.43
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV17.9%14.9%21.8%17.2%21.8%
Expected Move5.6%4.4%6.3%5.6%6.3%
HV 20d14.7%9.9%19.1%18.3%13.6%
HV 60d18.4%16.8%19.3%19.3%16.8%
IV Rank7.1%0.0%18.8%0.0%18.8%
IV Percentile10.0%0.0%34.9%0.0%34.9%
Term Structure0.4%-0.7%1.7%0.6%1.2%
VWIV19.8%15.9%22.3%19.4%22.3%
Skew 25d2.3%1.2%3.6%1.9%3.5%
Skew 10d4.8%1.1%6.6%4.2%6.6%
Call IV 25d19.2%16.1%22.1%19.1%22.1%
Put IV 25d21.4%17.3%25.6%21.0%25.6%
Bid-Ask Spread %2.931.755.042.445.04
Gamma HHI0.270.190.500.240.19
Net GEX27.3M-11.4M111.2M24.9M-9.0M
Net DEX375.9M-63.7M773.6M455.9M773.6M
Net VEX-12.2M-13.3M-11.5M-11.5M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.291.080.290.32
Total Volume78,005.57941,826118,60572,340118,605
Total OI1,258,935.211903,3781,518,3411,384,4851,175,602

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$69.15$70.0017.2%5.6%18.3%0.0%19.4%1.9%0.6%24.9M455.9M-11.5M0.292.4455,92116,419747,485637,000
2010-01-05$69.42$70.0016.7%5.6%18.4%0.0%19.9%2.1%0.3%34.4M366.6M-11.6M0.323.2644,29114,201766,675639,952
2010-01-06$70.02$70.0017.2%5.6%18.8%1.4%19.8%1.9%0.1%44.9M108.9M-11.8M0.543.3165,46835,459783,160642,155
2010-01-07$69.80$70.0016.4%5.7%18.5%0.0%20.0%2.1%0.2%51.4M135.7M-12.0M0.673.0032,02121,522794,091647,041
2010-01-08$69.52$70.0014.9%5.8%18.5%0.0%20.7%1.4%-0.1%45.6M293.7M-12.1M0.412.1765,27826,884795,696656,803
2010-01-11$70.30$70.0016.0%5.7%19.1%2.8%20.4%1.2%-0.7%68.3M-63.7M-12.3M0.482.1344,80921,357822,843661,933
2010-01-12$69.95$70.0015.6%5.6%18.9%1.8%20.5%1.9%0.0%73.5M109.8M-12.4M0.533.3827,93014,896829,828668,368
2010-01-13$69.67$70.0015.6%5.5%10.6%1.9%19.7%2.1%0.2%74.9M246.3M-12.1M0.493.5236,20217,700833,405672,635
2010-01-14$69.68$70.0018.4%5.3%10.3%9.5%18.6%2.0%0.4%111.2M311.7M-12.0M0.653.4525,31016,516838,737673,322
2010-01-15$69.11$70.0016.9%4.8%9.9%5.3%17.8%2.2%1.7%55.8M531.1M-11.9M1.082.8740,24543,637842,822675,519
2010-01-19$69.27$70.0015.3%4.4%9.9%1.0%15.9%1.3%0.7%2.5M100.3M-11.5M0.601.7948,18328,925472,156431,222
2010-01-20$68.03$70.0017.1%4.9%11.9%5.9%17.5%1.8%0.8%-2.0M248.5M-12.0M0.611.7557,62235,318496,158445,983
2010-01-21$66.70$70.0019.7%5.7%13.7%13.1%19.2%3.1%-0.2%-9.2M474.9M-12.0M0.601.9759,40335,483509,966451,599
2010-01-22$66.10$70.0021.3%6.1%13.9%17.2%21.3%3.5%0.3%-7.6M535.9M-12.4M0.782.3837,99829,663531,502465,119
2010-01-25$65.85$70.0020.3%5.8%13.9%14.6%20.5%3.6%0.3%-11.0M584.3M-12.4M0.662.3247,80231,344544,251474,925
2010-01-26$65.92$70.0019.8%5.7%13.6%13.2%20.1%2.9%0.5%-9.5M566.5M-12.7M0.763.3360,55246,010565,025488,775
2010-01-27$65.54$70.0020.0%5.7%13.3%13.7%20.5%2.1%0.8%-8.7M625.9M-13.2M0.963.2740,76039,313599,340507,984
2010-01-28$64.96$70.0020.5%5.9%13.5%15.1%21.4%2.8%0.9%-11.4M735.3M-13.0M0.514.4165,75833,301608,196522,496
2010-01-29$64.43$70.0021.8%6.3%13.6%18.8%22.3%3.5%1.2%-9.0M773.6M-13.3M0.325.0490,13228,473639,082536,520