XOM Options History — November 2011

In November 2011, XOM traded between $73.90 and $80.44. ATM implied volatility averaged 27.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.6% (HV 20d: 28.0%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2011-11-07: Highest Volume — 996,385 contracts
  • 2011-11-09: Largest IV spike — 38.4% change
  • 2011-11-01: Highest IV Rank — 46.9%
  • 2011-11-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.73$73.90$80.44$75.94$80.44
Max Pain$80.00$77.50$82.50$77.50$80.00
ATM IV27.5%21.6%39.3%39.3%26.5%
Expected Move7.5%6.4%9.0%9.0%6.5%
HV 20d28.0%25.4%29.5%28.7%28.0%
HV 60d30.1%27.9%34.6%34.6%29.7%
IV Rank25.3%14.6%46.9%46.9%23.5%
IV Percentile78.4%61.9%97.6%97.6%75.0%
Term Structure-0.1%-1.8%0.6%-1.8%-0.1%
VWIV26.8%22.6%30.9%30.9%22.6%
Skew 25d8.1%5.2%10.2%9.8%5.2%
Skew 10d17.2%10.8%22.0%22.0%10.8%
Call IV 25d23.1%19.3%27.0%26.5%20.5%
Put IV 25d31.2%25.6%36.3%36.3%25.6%
Bid-Ask Spread %4.203.045.875.175.87
Gamma HHI0.120.080.200.100.12
Net GEX23.7M-15.9M66.5M10.9M36.2M
Net DEX-305.9M-1.03B692.1M41.5M-1.03B
Net VEX-13.8M-14.5M-12.9M-14.1M-13.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.012.091.000.55
Total Volume105,324.85721,837996,385120,37776,538
Total OI1,385,203.3811,321,3951,466,1381,358,8471,369,930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$75.94$77.5039.3%9.0%28.7%46.9%30.9%9.8%-1.8%10.9M41.5M-14.1M1.005.1760,08560,292658,564700,283
2011-11-02$77.37$77.5032.1%7.9%28.9%33.7%28.6%8.2%-0.5%19.6M-280.1M-14.3M0.715.0232,27223,003658,523709,498
2011-11-03$78.86$77.5023.8%6.7%29.5%18.5%25.6%6.8%0.0%40.3M-717.5M-14.2M0.634.7224,02315,252666,346714,700
2011-11-04$78.52$82.5025.7%7.3%29.5%22.0%27.5%8.5%-0.6%36.3M-625.3M-14.3M1.493.8821,93132,645676,463720,360
2011-11-07$79.35$80.0023.8%6.6%27.0%18.6%25.5%7.8%0.2%49.1M-881.3M-13.9M0.014.04981,71714,668672,053728,466
2011-11-08$79.76$80.0021.6%6.4%27.0%14.6%22.6%7.7%0.2%57.7M-918.6M-13.6M0.904.1225,32222,710642,079727,561
2011-11-09$77.39$80.0029.9%8.2%29.0%29.8%29.5%10.2%-0.8%22.0M-193.5M-14.5M1.073.7937,00339,757649,137728,587
2011-11-10$78.70$80.0027.5%7.9%29.3%25.3%27.1%9.5%-0.3%40.2M-584.4M-14.4M1.043.2417,88518,688652,368736,322
2011-11-11$79.72$80.0023.5%6.7%28.6%18.1%26.5%8.2%0.6%66.5M-920.0M-13.9M2.093.0420,74143,334654,872734,765
2011-11-14$78.96$82.5024.2%6.9%28.7%19.3%25.2%8.5%0.2%44.7M-572.5M-13.8M0.793.3021,31616,885655,857762,371
2011-11-15$79.09$82.5024.3%7.0%28.0%19.5%25.9%8.6%0.2%52.2M-675.7M-13.8M1.273.8624,24530,798661,468762,005
2011-11-16$78.25$80.0027.0%7.8%28.1%24.5%26.6%9.0%-0.5%28.5M-304.3M-14.1M1.104.6518,29720,125666,298780,065
2011-11-17$77.86$80.0028.8%8.3%28.2%27.7%28.0%9.5%-0.5%14.8M-206.1M-14.3M0.824.5645,91937,617666,708783,507
2011-11-18$77.90$80.0026.1%7.5%27.3%22.8%25.0%8.5%0.4%14.1M-239.9M-13.9M1.544.4058,62590,330676,495789,643
2011-11-21$76.91$80.0026.7%7.7%27.6%23.9%27.8%7.9%0.2%3.5M-21.1M-13.6M1.113.8731,03634,492604,326717,069
2011-11-22$76.03$80.0028.0%8.0%27.7%26.3%26.0%7.5%0.5%-4.3M256.1M-13.4M0.723.3422,04315,854613,072730,070
2011-11-23$74.58$80.0028.9%8.3%27.0%27.9%30.4%7.4%-0.3%-15.6M560.5M-13.3M1.054.1519,65020,545619,050730,697
2011-11-25$73.90$80.0029.7%8.4%26.5%29.3%29.7%7.5%0.2%-15.9M692.1M-12.9M0.943.9411,25510,582620,956736,160
2011-11-28$75.84$80.0031.4%8.1%28.7%32.4%26.3%6.8%0.1%-6.1M233.8M-13.0M0.824.5333,70027,742616,825733,719
2011-11-29$76.93$80.0028.1%7.4%25.4%26.4%25.8%6.2%0.4%4.0M-36.3M-13.1M1.144.7824,76628,134620,454741,579
2011-11-30$80.44$80.0026.5%6.5%28.0%23.5%22.6%5.2%-0.1%36.2M-1.03B-13.0M0.555.8749,28927,249627,390742,540