XOM Options History — January 2012

In January 2012, XOM traded between $83.74 and $87.49. ATM implied volatility averaged 18.7%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.0% (HV 20d: 15.7%). Max pain ranged from $77.50 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-01-30: Highest Volume — 131,643 contracts
  • 2012-01-30: Largest IV spike — 35.4% change
  • 2012-01-30: Highest IV Rank — 28.2%
  • 2012-01-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.96$83.74$87.49$86.00$83.74
Max Pain$84.38$77.50$87.50$77.50$85.00
ATM IV18.7%15.8%29.0%20.7%20.4%
Expected Move5.3%4.6%5.8%5.4%5.2%
HV 20d15.7%10.5%20.3%19.9%12.7%
HV 60d23.4%20.4%25.4%25.4%20.6%
IV Rank9.3%3.8%28.2%12.9%12.4%
IV Percentile29.5%7.9%82.1%45.6%44.4%
Term Structure0.6%-1.0%3.4%3.2%0.2%
VWIV18.7%16.8%20.5%19.4%17.9%
Skew 25d4.1%3.1%5.1%3.8%3.2%
Skew 10d8.3%5.5%11.0%8.8%5.5%
Call IV 25d16.7%15.1%18.3%17.0%16.1%
Put IV 25d20.8%18.5%22.9%20.8%19.3%
Bid-Ask Spread %4.302.926.204.474.68
Gamma HHI0.240.130.650.210.13
Net GEX91.7M10.9M298.9M103.0M10.9M
Net DEX-2.07B-3.29B-224.0M-2.79B-224.0M
Net VEX-12.7M-13.5M-12.0M-12.1M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.531.530.560.87
Total Volume68,98433,939131,643101,925103,453
Total OI1,281,844.35799,2761,575,0591,425,207933,707

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$86.00$77.5020.7%5.4%19.9%12.9%19.4%3.8%3.2%103.0M-2.79B-12.1M0.564.4765,28636,639701,324723,883
2012-01-04$86.02$77.5019.6%5.1%19.9%10.9%18.9%4.0%3.2%107.0M-2.82B-12.5M1.435.3838,94055,798727,264730,978
2012-01-05$85.76$77.5018.0%4.9%20.0%7.9%17.8%3.9%3.4%97.3M-2.65B-12.7M0.735.3228,81221,066730,244746,965
2012-01-06$85.12$85.0016.8%5.8%20.3%5.8%19.9%4.5%0.2%89.8M-2.45B-12.7M0.664.7132,38621,385734,594752,090
2012-01-09$85.50$85.0017.9%5.7%19.3%7.7%19.8%4.5%0.2%103.8M-2.57B-12.4M0.912.9217,80316,136744,232755,923
2012-01-10$85.72$85.0017.6%5.6%18.5%7.3%19.3%4.0%0.2%103.0M-2.63B-12.5M0.853.2323,14219,653743,369760,149
2012-01-11$85.08$85.0015.8%5.6%17.5%3.8%19.6%5.0%0.3%104.2M-2.36B-12.4M0.533.9029,90315,986746,097762,925
2012-01-12$84.74$85.0019.6%5.6%17.7%10.8%19.9%5.1%0.4%102.2M-2.19B-12.4M1.533.1727,25141,647746,671764,778
2012-01-13$84.88$85.0019.4%5.6%16.6%10.6%20.5%4.8%0.3%91.3M-2.19B-12.4M0.753.7239,82129,910745,758778,183
2012-01-17$85.69$85.0019.9%5.7%16.7%11.4%19.7%5.0%-0.1%90.8M-2.56B-12.3M0.873.9737,66832,707746,507783,938
2012-01-18$86.45$85.0018.1%5.2%16.8%8.1%19.0%4.2%0.4%82.4M-2.81B-12.0M0.623.7142,05526,102744,129790,520
2012-01-19$87.03$85.0017.5%5.0%16.2%6.9%18.3%3.8%0.4%98.0M-3.15B-12.3M0.584.6654,80032,023754,514796,982
2012-01-20$87.49$85.0016.4%4.7%13.0%5.0%17.1%3.7%0.9%298.9M-3.29B-12.5M0.533.5766,00734,706764,691810,368
2012-01-23$87.47$85.0016.7%4.8%12.5%5.6%16.9%3.3%-0.3%70.8M-1.38B-12.7M1.054.2729,91631,493447,252352,024
2012-01-24$87.18$85.0016.2%4.6%11.9%4.5%16.8%3.1%-0.0%65.2M-1.26B-12.9M0.824.2728,14023,041460,761370,115
2012-01-25$87.22$87.5017.1%4.9%11.4%6.2%18.7%4.1%-0.2%62.1M-1.25B-13.3M1.144.7728,86032,784467,869381,244
2012-01-26$86.77$87.5016.7%4.8%11.6%5.5%17.4%3.8%0.1%56.9M-1.14B-13.4M1.444.4515,63622,538475,351394,075
2012-01-27$85.83$87.5021.4%5.3%11.3%14.2%18.3%3.7%-0.2%51.6M-887.5M-13.5M1.124.7120,98223,562478,325403,698
2012-01-30$85.49$87.5029.0%5.6%10.5%28.2%19.7%3.7%-1.0%45.8M-798.8M-13.2M1.036.2064,85966,784481,104404,286
2012-01-31$83.74$85.0020.4%5.2%12.7%12.4%17.9%3.2%0.2%10.9M-224.0M-13.2M0.874.6855,45547,998495,510438,197