XOM Options History — May 2012

In May 2012, XOM traded between $78.63 and $87.04. ATM implied volatility averaged 18.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.2% (HV 20d: 12.1%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2012-05-09: Highest Volume — 361,246 contracts
  • 2012-05-30: Largest IV spike — 35.0% change
  • 2012-05-31: Highest IV Rank — 23.6%
  • 2012-05-31: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.81$78.63$87.04$87.04$78.63
Max Pain$83.86$82.50$85.00$85.00$82.50
ATM IV18.4%14.0%25.8%14.0%25.8%
Expected Move5.0%3.8%6.9%3.8%6.9%
HV 20d12.1%9.7%15.6%15.6%12.6%
HV 60d13.7%13.3%14.3%13.9%14.3%
IV Rank10.3%2.4%23.6%2.4%23.6%
IV Percentile35.6%6.3%71.0%6.3%71.0%
Term Structure0.3%-0.8%1.3%0.6%-0.7%
VWIV18.0%13.5%22.6%13.5%22.6%
Skew 25d4.6%1.9%6.1%1.9%5.2%
Skew 10d10.0%3.3%14.5%3.5%9.8%
Call IV 25d16.1%12.7%20.8%12.7%20.8%
Put IV 25d20.7%14.6%26.0%14.6%26.0%
Bid-Ask Spread %5.153.236.404.986.40
Gamma HHI0.120.090.210.210.09
Net GEX14.5M-11.4M74.9M74.9M-11.4M
Net DEX114.9M-927.2M726.2M-927.2M726.2M
Net VEX-12.3M-13.1M-11.0M-12.3M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.131.350.661.12
Total Volume61,691.40925,614361,24662,21567,942
Total OI971,596.318911,6761,036,044911,676989,081

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$87.04$85.0014.0%3.8%15.6%2.4%13.5%1.9%0.6%74.9M-927.2M-12.3M0.664.9837,59124,624488,347423,329
2012-05-02$86.20$85.0016.1%4.2%15.1%6.3%14.1%2.5%-0.8%51.8M-619.0M-12.3M0.754.9516,97412,694497,866438,162
2012-05-03$85.65$85.0016.4%4.1%14.9%6.8%14.1%2.6%0.3%43.3M-478.6M-12.2M0.556.1117,6619,660497,755440,284
2012-05-04$84.57$85.0016.7%4.4%15.6%7.3%15.8%3.9%0.4%27.7M-188.4M-12.1M1.055.0627,11428,454501,390442,687
2012-05-07$84.48$85.0018.3%4.4%15.0%10.1%16.0%4.3%0.4%23.5M-163.8M-11.9M1.225.8514,45817,651501,340450,949
2012-05-08$84.02$85.0020.6%4.4%13.0%14.2%16.4%4.3%0.3%17.8M-48.4M-11.9M0.684.8844,98030,553504,611457,916
2012-05-09$83.31$85.0017.5%4.9%13.3%8.7%17.4%4.8%-0.1%9.6M105.8M-11.4M0.135.02321,01740,229512,438463,849
2012-05-10$82.84$85.0016.6%4.8%12.9%7.2%16.8%4.1%-0.0%2.2M338.8M-12.4M0.874.5420,12817,568516,096483,740
2012-05-11$83.10$85.0017.0%4.9%12.6%7.8%16.8%4.5%-0.1%15.7M177.2M-12.5M0.753.5417,86113,464519,905481,037
2012-05-14$82.12$85.0018.0%5.2%12.4%9.6%19.5%5.1%-0.2%2.9M374.9M-12.3M1.153.2316,94819,503519,453479,540
2012-05-15$81.79$85.0018.6%5.3%10.4%10.7%19.7%5.8%-0.4%-2.2M444.7M-12.3M1.355.6112,02316,245522,762483,529
2012-05-16$82.17$85.0019.0%5.4%10.5%11.4%20.3%5.7%-0.1%249.6K355.5M-12.7M0.984.2821,62021,246525,290486,613
2012-05-17$81.91$82.5020.5%5.9%10.4%14.2%21.4%6.1%-0.2%2.2M371.8M-13.1M0.985.1229,64529,187533,708491,726
2012-05-18$81.47$82.5020.5%5.9%10.4%14.1%21.6%5.8%0.1%-2.5M512.7M-12.9M1.266.3724,75331,263537,480498,564
2012-05-21$82.04$82.5018.0%5.2%10.7%9.6%18.5%5.1%0.6%7.7M191.5M-12.4M0.625.2721,41413,247476,936456,082
2012-05-22$81.95$82.5017.7%5.1%10.1%9.1%18.3%5.1%0.9%7.9M194.8M-12.5M1.116.1129,66732,810482,096459,145
2012-05-23$82.04$82.5018.1%5.2%9.7%9.8%19.5%5.4%0.8%9.5M179.7M-12.5M0.856.0839,16833,156484,106463,895
2012-05-24$82.61$82.5018.1%5.2%10.0%9.7%18.2%5.0%1.1%20.6M46.5M-12.7M0.915.1928,96426,460490,747466,211
2012-05-25$82.08$82.5015.5%5.0%10.0%5.1%18.2%4.7%1.3%15.0M157.1M-12.6M0.994.5712,85612,758496,739472,559
2012-05-29$81.93$82.5017.5%4.9%9.8%8.8%17.9%4.4%1.1%13.3M191.0M-12.1M0.804.5217,62914,179495,642469,253
2012-05-30$79.79$82.5023.6%5.8%12.2%19.8%20.0%5.0%0.7%-10.0M585.5M-11.0M0.875.6338,39833,449500,084472,177
2012-05-31$78.63$82.5025.8%6.9%12.6%23.6%22.6%5.2%-0.7%-11.4M726.2M-11.5M1.126.4032,09235,850509,341479,740