XOM Options History — March 2012

In March 2012, XOM traded between $84.30 and $87.03. ATM implied volatility averaged 14.7%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.4% (HV 20d: 13.2%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2012-03-12: Highest Volume — 66,629 contracts
  • 2012-03-06: Largest IV spike — 44.7% change
  • 2012-03-06: Highest IV Rank — 16.2%
  • 2012-03-06: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.12$84.30$87.03$86.83$86.73
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV14.7%12.6%22.5%14.6%13.2%
Expected Move4.1%3.6%5.0%4.3%3.7%
HV 20d13.2%12.1%14.6%13.1%14.6%
HV 60d14.3%13.0%15.7%15.3%13.1%
IV Rank2.8%0.0%16.2%1.9%1.0%
IV Percentile7.4%0.0%55.6%3.2%2.4%
Term Structure2.0%0.6%2.6%0.6%2.3%
VWIV14.6%13.0%17.4%15.5%13.6%
Skew 25d2.3%1.0%3.5%2.1%1.7%
Skew 10d5.4%3.2%9.5%4.9%4.5%
Call IV 25d13.7%12.4%15.6%14.7%12.9%
Put IV 25d15.9%14.0%19.2%16.8%14.6%
Bid-Ask Spread %4.883.456.445.236.44
Gamma HHI0.190.140.220.210.21
Net GEX72.4M29.9M93.5M89.2M90.9M
Net DEX-885.7M-1.17B-321.6M-1.17B-1.08B
Net VEX-13.7M-14.7M-12.7M-14.6M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.371.320.540.70
Total Volume45,189.63621,53366,62935,68833,592
Total OI1,033,554.682977,7681,083,6641,008,5141,083,664

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$86.83$85.0014.6%4.3%13.1%1.9%15.5%2.1%0.6%89.2M-1.17B-14.6M0.545.2323,18712,501531,366477,148
2012-03-02$86.33$85.0014.1%4.2%13.1%0.9%15.2%2.3%0.7%79.1M-1.03B-14.5M0.635.6313,2398,294536,547479,565
2012-03-05$87.01$85.0015.5%4.4%12.1%3.5%16.6%3.2%2.2%87.0M-1.16B-14.5M0.444.1331,98014,121532,782478,280
2012-03-06$85.86$85.0022.5%5.0%12.7%16.2%17.4%3.5%1.8%69.9M-863.9M-14.7M1.324.3020,41027,043538,710480,510
2012-03-07$85.83$85.0017.0%4.8%12.5%6.2%16.5%3.0%1.9%60.3M-866.7M-14.0M1.044.2114,99715,609539,307490,504
2012-03-08$84.83$85.0015.9%4.6%12.4%4.1%16.6%3.3%2.3%29.9M-479.6M-13.4M0.923.9732,31329,604541,490495,368
2012-03-09$84.30$85.0014.1%4.3%12.5%0.9%15.3%3.2%2.3%41.6M-321.6M-13.6M0.734.2728,37120,851544,647499,202
2012-03-12$85.55$85.0015.9%4.3%12.7%4.2%15.6%3.2%2.6%59.0M-702.3M-14.1M0.643.4540,56626,063544,836496,325
2012-03-13$86.86$85.0013.5%3.9%13.5%0.0%14.1%2.4%2.2%82.3M-1.13B-14.1M0.535.0226,62014,077550,407504,200
2012-03-14$86.02$85.0017.9%4.3%14.0%8.1%14.5%2.4%2.1%65.1M-863.7M-13.9M1.094.3523,74825,943554,093504,934
2012-03-15$86.09$85.0014.5%4.2%13.8%1.8%13.8%2.4%2.4%58.5M-875.6M-13.8M0.754.4623,15517,288559,821510,761
2012-03-16$86.44$85.0013.1%3.8%12.8%0.0%13.5%2.1%2.4%68.0M-933.7M-14.0M0.585.6434,44119,980563,713516,577
2012-03-19$86.99$85.0012.6%3.6%12.9%0.0%13.0%1.5%2.2%92.7M-1.09B-13.7M0.484.3723,48611,186510,688467,080
2012-03-20$86.60$85.0012.9%3.7%12.5%0.5%13.4%1.7%1.9%88.4M-998.7M-13.6M0.415.1022,0829,009519,058472,560
2012-03-21$86.01$85.0013.2%3.8%12.6%0.9%13.0%1.7%2.1%72.8M-801.5M-13.3M0.676.0724,89216,642523,606474,970
2012-03-22$85.33$85.0013.8%3.9%12.8%2.0%14.3%2.3%2.1%62.8M-665.5M-12.7M0.755.2529,61422,117531,632480,574
2012-03-23$85.55$85.0013.4%3.8%12.8%1.3%13.8%1.9%2.3%64.2M-683.0M-13.2M0.905.5123,24321,021530,052486,912
2012-03-26$87.03$85.0012.9%3.7%14.3%0.5%13.2%1.0%2.1%93.5M-1.14B-13.2M0.375.2445,98316,972528,086491,723
2012-03-27$86.62$85.0013.0%3.7%14.4%0.7%13.3%1.3%2.2%93.4M-1.05B-12.8M0.825.1619,30315,734548,134498,622
2012-03-28$85.86$85.0014.4%4.1%14.5%3.2%14.9%2.1%1.9%72.3M-772.5M-13.3M1.094.5630,56233,390551,291501,943
2012-03-29$86.08$85.0014.4%4.1%14.5%3.1%14.6%1.9%2.3%71.8M-798.7M-13.3M0.775.0328,82822,115552,947513,568
2012-03-30$86.73$85.0013.2%3.7%14.6%1.0%13.6%1.7%2.3%90.9M-1.08B-12.9M0.706.4419,71313,879562,004521,660