XOM Options History — January 2011

In January 2011, XOM traded between $74.55 and $80.68. ATM implied volatility averaged 16.5%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.9% (HV 20d: 10.6%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2011-01-03: Highest Volume — 104,040 contracts
  • 2011-01-24: Largest IV spike — 12.8% change
  • 2011-01-24: Highest IV Rank — 22.8%
  • 2011-01-24: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.35$74.55$80.68$74.55$80.68
Max Pain$72.63$67.50$75.00$67.50$75.00
ATM IV16.5%15.1%18.3%16.2%17.1%
Expected Move4.8%4.4%5.2%4.6%4.9%
HV 20d10.6%8.2%14.8%8.2%14.8%
HV 60d13.9%13.4%14.4%14.0%14.4%
IV Rank13.9%6.5%22.8%12.3%16.7%
IV Percentile29.1%8.3%54.0%25.4%38.1%
Term Structure-0.3%-1.6%1.2%1.2%-0.6%
VWIV18.6%15.8%23.6%17.0%20.3%
Skew 25d2.5%0.4%4.2%0.7%2.8%
Skew 10d5.7%1.9%9.5%2.9%5.4%
Call IV 25d16.8%15.6%17.9%17.1%17.6%
Put IV 25d19.3%17.1%22.1%17.9%20.4%
Bid-Ask Spread %3.812.535.194.973.42
Gamma HHI0.340.270.470.320.32
Net GEX75.4M35.9M103.0M94.1M46.0M
Net DEX-3.01B-4.09B-1.72B-2.90B-2.07B
Net VEX-12.7M-13.8M-11.8M-13.1M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.431.670.441.09
Total Volume70,014.6536,608104,040104,04084,568
Total OI1,420,158.9882,8411,689,9411,551,629987,558

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$74.55$67.5016.2%4.6%8.2%12.3%17.0%0.7%1.2%94.1M-2.90B-13.1M0.444.9772,24431,796798,211753,418
2011-01-04$74.90$67.5016.0%4.6%8.2%11.2%17.1%1.5%1.0%101.8M-3.09B-13.2M0.953.4836,39234,557816,270754,285
2011-01-05$74.70$67.5015.5%4.4%8.4%8.6%15.8%0.4%1.0%103.0M-3.08B-13.1M1.054.4226,37527,712820,895762,838
2011-01-06$75.18$67.5015.9%4.6%8.5%10.6%16.6%1.4%1.2%99.0M-3.18B-13.1M0.694.5143,38630,063822,790769,031
2011-01-07$75.59$72.5015.1%5.0%8.6%6.5%17.9%2.5%0.2%97.6M-3.36B-12.4M0.513.9434,31717,346823,873773,014
2011-01-10$75.13$72.5015.7%5.0%9.1%9.9%17.7%3.0%0.3%101.3M-3.22B-12.4M0.794.6127,10621,425831,686778,313
2011-01-11$75.69$72.5015.2%4.9%9.3%7.0%17.9%2.4%0.0%95.8M-3.36B-12.6M0.923.7019,10617,502827,170781,433
2011-01-12$76.58$72.5015.3%5.0%9.7%7.6%18.3%2.3%-0.4%80.9M-3.61B-12.5M0.983.4536,98336,371827,846788,555
2011-01-13$76.71$72.5016.7%4.8%9.3%15.0%17.1%2.0%-0.4%82.1M-3.74B-11.8M1.374.0220,44728,052834,112795,427
2011-01-14$77.84$72.5016.1%4.6%10.1%11.8%18.0%2.3%-0.6%79.9M-3.83B-12.4M0.762.6856,10242,383830,565804,044
2011-01-18$78.71$72.5017.3%4.9%10.3%17.6%17.9%1.5%-1.1%92.8M-4.09B-12.4M0.434.0744,24918,902841,228829,143
2011-01-19$78.24$75.0017.5%5.0%10.9%18.9%19.2%2.1%-1.2%73.6M-3.92B-12.4M0.652.9440,23626,258844,034834,278
2011-01-20$77.75$75.0017.1%4.9%11.4%16.7%19.0%3.8%-0.7%61.0M-3.80B-12.2M0.794.2536,97529,036843,460844,341
2011-01-21$78.98$75.0016.2%4.6%12.2%12.3%18.5%3.4%-0.2%96.0M-3.99B-12.4M0.863.8239,01733,381837,741852,200
2011-01-24$78.59$75.0018.3%5.2%12.5%22.8%20.5%4.2%-1.6%40.2M-1.74B-12.4M1.673.1038,37363,951474,476408,365
2011-01-25$78.68$75.0017.6%5.0%12.4%19.4%20.3%3.1%-1.1%35.9M-1.72B-12.6M0.822.5355,83045,907488,864445,814
2011-01-26$79.66$75.0016.9%4.9%12.7%16.0%23.6%3.2%-1.4%42.0M-1.87B-13.4M0.963.7224,12323,093504,841450,152
2011-01-27$79.88$75.0017.1%4.9%12.6%17.0%18.3%2.9%-1.4%44.4M-2.00B-12.8M0.623.4128,68817,666503,489451,805
2011-01-28$78.99$75.0017.7%5.1%13.7%19.8%20.3%3.7%-0.8%39.6M-1.72B-13.5M1.195.1941,27949,096510,031457,582
2011-01-31$80.68$75.0017.1%4.9%14.8%16.7%20.3%2.8%-0.6%46.0M-2.07B-13.8M1.093.4240,41244,156516,375471,183