XOM Options History — April 2011

In April 2011, XOM traded between $83.10 and $87.98. ATM implied volatility averaged 16.7%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.9% (HV 20d: 17.6%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2011-04-28: Highest Volume — 81,786 contracts
  • 2011-04-14: Largest IV spike — 39.8% change
  • 2011-04-14: Highest IV Rank — 27.8%
  • 2011-04-13: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.34$83.10$87.98$84.68$87.98
Max Pain$84.75$80.00$85.00$80.00$85.00
ATM IV16.7%13.8%19.3%16.0%16.0%
Expected Move5.2%4.3%5.8%4.6%4.6%
HV 20d17.6%14.0%22.5%22.5%15.9%
HV 60d20.1%18.8%20.8%20.0%18.8%
IV Rank14.9%0.0%27.8%11.2%11.4%
IV Percentile32.3%0.0%58.7%22.6%23.8%
Term Structure-0.0%-1.0%2.7%2.7%0.2%
VWIV18.6%15.7%21.5%16.7%16.7%
Skew 25d2.8%1.1%4.3%3.1%1.4%
Skew 10d6.5%3.9%8.5%5.7%4.4%
Call IV 25d17.3%14.4%19.3%17.1%15.7%
Put IV 25d20.2%17.1%23.2%20.2%17.1%
Bid-Ask Spread %4.052.407.112.402.55
Gamma HHI0.220.160.290.210.29
Net GEX32.1M8.9M66.6M23.4M66.6M
Net DEX-1.54B-2.05B-823.0M-1.59B-2.05B
Net VEX-13.3M-14.0M-12.5M-12.9M-13.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.322.281.290.46
Total Volume49,367.724,25781,78639,81950,131
Total OI1,091,748.45893,8071,213,1771,152,2321,070,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$84.68$80.0016.0%4.6%22.5%11.2%16.7%3.1%2.7%23.4M-1.59B-12.9M1.292.4017,35522,464538,759613,473
2011-04-04$84.87$85.0017.4%5.5%22.4%18.1%20.1%2.5%-0.8%25.1M-1.63B-13.5M0.975.5214,89114,444539,907623,614
2011-04-05$85.42$85.0017.1%5.4%22.5%17.0%19.2%2.8%-0.6%29.0M-1.84B-12.5M0.707.1118,89913,145543,180627,542
2011-04-06$85.18$85.0015.7%5.5%22.5%9.8%19.1%3.1%-0.2%26.9M-1.78B-12.5M0.644.7414,7729,485543,406630,344
2011-04-07$85.76$85.0014.9%5.5%17.9%5.8%19.8%2.9%-0.7%29.6M-1.90B-13.1M1.105.7917,61919,458543,879631,312
2011-04-08$85.95$85.0015.7%5.6%17.8%8.4%19.4%3.6%-0.3%23.5M-1.88B-13.6M0.706.4327,27919,225545,712637,201
2011-04-11$85.16$85.0017.3%5.6%18.2%16.9%19.6%3.4%-0.3%14.2M-1.64B-13.4M0.995.3628,65028,275544,043640,058
2011-04-12$83.18$85.0017.3%5.7%19.8%16.7%20.7%3.8%-0.1%8.9M-1.03B-13.6M1.013.7940,71341,001547,643646,193
2011-04-13$83.16$85.0013.8%5.8%17.0%0.0%21.5%3.9%-0.1%14.9M-1.07B-13.6M0.923.2614,82913,571549,429643,934
2011-04-14$83.44$85.0019.3%5.5%15.2%27.8%19.1%3.7%0.4%11.8M-1.18B-13.0M2.284.4114,98834,108550,219648,231
2011-04-15$84.29$85.0017.0%4.9%15.4%16.3%17.6%3.6%0.7%28.0M-1.30B-12.6M2.282.9117,71840,437555,480657,697
2011-04-18$83.10$85.0018.3%5.3%14.0%23.0%19.8%4.3%0.1%15.8M-823.0M-13.6M1.204.7024,28229,184446,265447,542
2011-04-19$83.80$85.0016.9%4.8%14.2%15.6%17.2%3.5%0.1%20.7M-949.4M-13.7M0.382.9924,4109,334455,002465,099
2011-04-20$85.65$85.0016.7%4.8%16.1%14.6%17.0%3.0%0.2%47.9M-1.46B-12.9M0.782.8123,66518,361470,658468,003
2011-04-21$86.36$85.0015.0%4.3%16.2%6.4%15.7%2.9%0.5%40.0M-1.54B-13.7M0.943.0532,75330,728479,017473,825
2011-04-25$86.22$85.0018.0%5.2%16.0%21.4%18.0%1.3%-0.6%35.9M-1.48B-13.1M0.323.3643,16713,748487,845490,696
2011-04-26$87.42$85.0018.4%5.3%16.5%23.7%19.4%1.4%-1.0%53.9M-1.80B-14.0M0.562.9737,39220,919514,647497,002
2011-04-27$87.78$85.0018.0%5.2%16.4%21.3%18.5%1.5%-0.9%63.2M-1.97B-13.1M0.553.1441,38222,786526,896499,429
2011-04-28$87.34$85.0016.2%4.6%15.9%12.2%17.9%1.1%0.3%63.4M-1.85B-13.1M0.903.6343,08238,704535,385505,752
2011-04-29$87.98$85.0016.0%4.6%15.9%11.4%16.7%1.4%0.2%66.6M-2.05B-13.6M0.462.5534,29115,840548,920521,730