XOM Options History — January 2013

In January 2013, XOM traded between $87.93 and $91.76. ATM implied volatility averaged 15.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.5% (HV 20d: 16.4%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-01-31: Highest Volume — 157,547 contracts
  • 2013-01-28: Largest IV spike — 74.9% change
  • 2013-01-30: Highest IV Rank — 91.2%
  • 2013-01-31: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.87$87.93$91.76$88.71$89.97
Max Pain$89.76$87.50$90.00$87.50$90.00
ATM IV15.9%12.2%29.4%16.6%21.5%
Expected Move4.1%3.6%5.0%4.2%5.0%
HV 20d16.4%10.6%18.2%17.6%10.6%
HV 60d16.3%15.7%16.7%16.5%15.7%
IV Rank21.9%3.0%91.2%25.7%50.6%
IV Percentile34.4%0.8%99.6%53.2%94.0%
Term Structure-0.4%-2.3%1.4%1.4%-2.1%
VWIV15.8%13.7%18.9%14.7%18.9%
Skew 25d4.0%3.1%4.8%3.1%4.4%
Skew 10d9.8%6.9%12.6%6.9%11.4%
Call IV 25d12.9%11.3%16.2%12.8%16.2%
Put IV 25d16.9%15.2%20.7%15.9%20.7%
Bid-Ask Spread %4.882.658.265.335.81
Gamma HHI0.290.130.520.230.13
Net GEX75.1M27.4M133.9M67.4M27.4M
Net DEX-686.2M-1.15B-258.8M-581.7M-266.2M
Net VEX-9.4M-10.1M-8.7M-9.3M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.572.680.802.68
Total Volume52,142.47627,993157,54771,873157,547
Total OI975,749.714627,2631,205,6271,099,921737,676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$88.71$87.5016.6%4.2%17.6%25.7%14.7%3.1%1.4%67.4M-581.7M-9.3M0.805.3339,98131,892490,696609,225
2013-01-03$88.55$87.5015.4%4.2%17.5%19.5%14.5%3.4%1.4%63.7M-489.7M-9.3M0.576.2628,85716,327502,062610,668
2013-01-04$88.96$90.0012.2%3.9%17.4%3.0%15.7%3.5%0.5%78.1M-663.6M-9.1M1.115.3525,46828,280506,677617,419
2013-01-07$87.93$90.0015.9%4.4%17.9%22.1%16.1%4.3%0.0%48.5M-258.8M-8.7M1.274.3918,62723,739505,637606,954
2013-01-08$88.48$90.0015.8%4.4%17.9%21.3%16.0%4.1%-0.2%72.4M-470.3M-8.8M0.984.9716,80416,536510,306613,600
2013-01-09$88.14$90.0013.3%4.3%17.9%8.6%16.7%4.1%-0.2%48.0M-325.8M-8.8M1.114.4713,26714,726515,751621,244
2013-01-10$89.10$90.0014.2%4.1%18.2%13.2%16.0%3.9%-0.0%92.0M-758.9M-9.2M0.674.7535,49123,848521,752624,953
2013-01-11$89.61$90.0013.7%3.9%18.2%10.9%16.2%3.6%-0.0%109.6M-1.01B-9.1M0.874.0718,51216,192530,101638,348
2013-01-14$89.58$90.0014.1%4.0%17.9%12.9%16.8%4.2%0.0%113.8M-975.1M-9.0M1.043.2814,36014,995529,111639,204
2013-01-15$89.53$90.0013.5%3.9%17.7%9.8%16.2%4.6%0.5%121.0M-884.7M-9.1M1.174.0215,03517,555531,513645,787
2013-01-16$89.47$90.0013.2%3.8%17.4%8.0%14.6%4.5%0.7%118.3M-831.3M-9.0M1.103.8223,90726,296532,015654,019
2013-01-17$90.20$90.0013.7%3.9%17.5%10.6%14.0%3.5%-0.1%133.9M-1.12B-9.2M0.744.3947,93335,564520,298665,757
2013-01-18$90.80$90.0013.1%3.8%16.9%7.7%16.4%3.8%-0.0%94.5M-1.15B-9.4M1.293.9434,51944,679527,846677,781
2013-01-22$90.92$90.0013.5%3.9%16.8%9.9%13.7%3.9%-1.3%51.2M-630.6M-9.1M0.962.6534,40632,877319,115308,148
2013-01-23$90.70$90.0013.6%3.9%15.2%10.0%14.2%3.9%-1.0%53.2M-569.3M-9.5M2.234.479,56921,355335,051327,918
2013-01-24$91.35$90.0012.6%3.6%15.2%5.0%14.7%4.1%-0.5%58.0M-715.9M-9.7M0.684.9328,43519,316338,766337,363
2013-01-25$91.73$90.0012.9%3.6%15.2%6.8%14.9%4.5%-0.7%61.8M-794.9M-10.0M1.347.5517,41623,410349,112346,718
2013-01-28$91.11$90.0022.6%4.5%15.4%56.5%16.8%4.7%-2.3%55.5M-631.3M-10.0M1.135.6414,01915,866352,996351,876
2013-01-29$91.76$90.0022.5%4.0%12.9%56.0%17.0%4.8%-1.3%62.9M-783.4M-10.1M0.964.0615,23314,575358,473357,793
2013-01-30$90.67$90.0029.4%4.7%13.1%91.2%17.1%4.0%-2.3%45.8M-499.6M-10.0M1.608.2618,32029,258359,230361,785
2013-01-31$89.97$90.0021.5%5.0%10.6%50.6%18.9%4.4%-2.1%27.4M-266.2M-10.1M2.685.8142,775114,772362,796374,880