XOM Options History — February 2011

In February 2011, XOM traded between $82.55 and $87.07. ATM implied volatility averaged 17.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.6% (HV 20d: 21.1%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2011-02-07: Highest Volume — 1,291,654 contracts
  • 2011-02-22: Largest IV spike — 24.6% change
  • 2011-02-28: Highest IV Rank — 47.8%
  • 2011-02-23: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.15$82.55$87.07$83.91$85.53
Max Pain$82.63$75.00$85.00$75.00$85.00
ATM IV17.5%15.0%23.2%17.9%23.2%
Expected Move4.9%4.3%6.3%5.1%5.7%
HV 20d21.1%18.5%23.7%18.5%23.0%
HV 60d15.9%15.0%16.3%15.8%15.6%
IV Rank18.7%6.1%47.8%21.0%47.8%
IV Percentile38.2%7.1%87.3%50.8%87.3%
Term Structure0.3%-0.3%1.1%0.0%0.0%
VWIV18.9%16.5%22.5%19.2%21.0%
Skew 25d2.4%1.6%3.2%2.1%3.2%
Skew 10d5.7%3.3%7.6%4.4%6.7%
Call IV 25d17.6%15.3%22.2%18.3%20.0%
Put IV 25d19.9%17.4%23.9%20.3%23.2%
Bid-Ask Spread %5.342.639.744.753.82
Gamma HHI0.280.220.360.260.24
Net GEX39.0M25.5M51.1M51.1M30.0M
Net DEX-2.07B-2.78B-1.58B-2.78B-1.76B
Net VEX-13.6M-14.8M-12.9M-12.9M-13.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.021.380.550.70
Total Volume145,667.21131,5151,291,654202,53145,691
Total OI1,056,903.263990,4811,110,0061,011,6911,056,315

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$83.91$75.0017.9%5.1%18.5%21.0%19.2%2.1%0.0%51.1M-2.78B-12.9M0.554.75131,06371,468527,460484,231
2011-02-02$83.41$80.0017.4%5.0%19.0%18.3%20.1%2.8%-0.1%50.7M-2.61B-13.3M1.134.0447,88954,205553,498508,008
2011-02-03$83.44$80.0016.1%4.6%18.9%11.8%17.5%1.6%0.2%48.4M-2.61B-13.1M0.702.8237,32526,229557,758530,156
2011-02-04$83.28$80.0016.0%4.5%19.1%11.0%17.3%2.0%0.3%46.2M-2.46B-13.7M0.816.5826,40821,384559,123536,572
2011-02-07$83.93$80.0015.6%4.6%19.1%9.2%21.3%2.0%0.3%48.1M-2.59B-13.2M0.027.731,263,94827,706562,644542,917
2011-02-08$82.98$85.0015.6%4.5%19.6%9.1%17.0%2.2%0.4%27.4M-1.67B-13.7M1.007.5120,97120,924468,912555,880
2011-02-09$82.55$85.0015.4%4.4%19.9%8.1%16.6%2.9%0.5%25.5M-1.58B-13.6M1.039.7421,00421,637471,732561,023
2011-02-10$83.20$85.0015.0%4.3%19.7%6.1%16.7%2.1%0.6%37.0M-1.81B-12.9M0.618.2919,51911,996474,783560,141
2011-02-11$82.82$80.0015.2%4.3%20.0%7.0%17.6%3.1%0.7%31.3M-1.68B-13.4M1.388.2217,18623,637477,339559,810
2011-02-14$84.91$80.0015.6%4.5%21.0%9.3%16.7%2.4%0.3%49.6M-2.15B-13.0M0.604.0957,83534,896478,872568,523
2011-02-15$82.97$85.0016.6%4.8%23.0%14.5%18.1%2.1%0.2%32.4M-1.70B-13.7M1.185.0938,61845,734489,233577,124
2011-02-16$83.69$85.0015.8%4.5%22.8%10.0%17.6%2.2%0.7%38.0M-1.78B-13.8M0.794.9219,27015,312493,711587,204
2011-02-17$83.88$85.0016.8%4.8%22.5%15.3%18.3%2.0%0.6%37.6M-1.78B-14.1M0.614.3929,43617,874496,374596,281
2011-02-18$84.50$80.0015.8%4.5%22.2%10.3%16.5%2.2%1.1%46.0M-1.98B-13.8M1.373.9031,77643,508504,777605,229
2011-02-22$85.44$85.0019.7%5.6%22.1%30.0%21.2%2.6%-0.3%38.5M-2.12B-13.8M0.774.1377,03659,420490,514499,967
2011-02-23$87.07$85.0021.9%6.3%22.7%41.1%22.5%1.6%-0.1%38.2M-2.35B-13.7M0.584.44105,56461,068494,307520,714
2011-02-24$85.97$85.0021.3%6.1%23.3%37.9%22.2%2.7%0.1%34.5M-2.07B-14.4M0.684.3167,88746,361520,746531,832
2011-02-25$85.34$85.0021.3%5.8%23.7%37.8%21.2%2.9%0.2%30.9M-1.95B-14.8M0.532.6369,05236,840529,835547,617
2011-02-28$85.53$85.0023.2%5.7%23.0%47.8%21.0%3.2%0.0%30.0M-1.76B-13.6M0.703.8226,88618,805496,670559,645