XOM Options History — February 2013

In February 2013, XOM traded between $87.70 and $90.04. ATM implied volatility averaged 14.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.3% (HV 20d: 11.5%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.43.

Notable Days

  • 2013-02-06: Highest Volume — 1,157,913 contracts
  • 2013-02-25: Largest IV spike — 69.1% change
  • 2013-02-25: Highest IV Rank — 50.9%
  • 2013-02-25: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.91$87.70$90.04$90.04$89.55
Max Pain$90.79$90.00$92.50$90.00$90.00
ATM IV14.8%11.5%21.5%14.2%13.3%
Expected Move4.0%3.3%4.9%3.7%3.8%
HV 20d11.5%10.2%13.4%10.5%12.8%
HV 60d13.8%13.3%15.7%15.7%13.7%
IV Rank16.5%0.0%50.9%13.2%8.9%
IV Percentile33.5%0.0%94.4%25.8%12.3%
Term Structure0.2%-0.9%1.0%0.6%0.1%
VWIV14.9%13.3%17.8%14.2%14.7%
Skew 25d4.0%3.6%5.4%4.0%3.8%
Skew 10d9.2%7.4%11.6%9.3%9.6%
Call IV 25d12.6%11.2%15.1%12.2%12.7%
Put IV 25d16.7%14.9%20.5%16.2%16.5%
Bid-Ask Spread %6.422.0010.099.2210.09
Gamma HHI0.140.120.150.130.15
Net GEX4.7M-28.9M27.2M-28.9M22.3M
Net DEX95.7M-168.8M311.9M-168.8M-47.7M
Net VEX-10.8M-11.3M-10.4M-11.2M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.013.201.081.66
Total Volume96,228.36816,7341,157,91375,59720,825
Total OI831,565.842766,342875,404828,831850,298

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$90.04$90.0014.2%3.7%10.5%13.2%14.2%4.0%0.6%-28.9M-168.8M-11.2M1.089.2236,43139,166376,857451,974
2013-02-04$89.15$90.0017.1%3.9%11.1%28.4%14.8%3.9%0.5%5.5M80.8M-11.0M0.957.8819,65818,725374,309453,635
2013-02-05$89.74$90.0014.9%3.8%10.4%16.9%13.8%3.9%0.6%23.2M-105.2M-11.3M0.557.3725,11313,914376,043455,524
2013-02-06$89.79$90.0012.8%3.8%10.2%6.1%14.1%3.6%0.5%27.2M-103.5M-11.2M0.017.621,141,35116,562378,738458,825
2013-02-07$88.25$90.0015.0%4.3%12.0%17.3%14.7%3.7%0.2%-12.0M241.7M-11.0M0.922.0034,32631,697368,844459,205
2013-02-08$88.61$90.0014.8%4.2%11.4%16.5%14.0%3.9%-0.0%1.7M142.9M-10.9M0.894.8718,34116,276371,363466,609
2013-02-11$88.28$90.0014.3%4.1%11.2%14.1%13.3%3.6%0.2%-3.6M195.9M-10.6M3.204.7210,15232,498373,614464,513
2013-02-12$88.46$92.5014.0%4.0%11.3%12.0%13.4%3.8%0.3%-7.6M258.3M-10.7M1.523.996,64010,094375,946475,678
2013-02-13$88.67$92.5013.9%4.0%11.3%11.7%13.8%3.9%0.3%1.2M193.3M-10.7M1.915.697,89815,053377,511479,659
2013-02-14$88.52$92.5014.0%4.0%11.3%12.4%16.0%3.9%0.3%-3.3M223.8M-10.6M1.965.6610,78521,138377,491484,748
2013-02-15$88.36$92.5013.6%3.9%10.8%10.2%15.4%3.9%0.7%-4.4M291.1M-10.5M1.846.3810,80919,941377,070498,334
2013-02-19$89.32$92.5011.5%3.3%11.3%0.0%13.4%3.7%1.0%18.5M-30.7M-10.4M1.186.2116,38219,252345,273421,069
2013-02-20$88.97$92.5012.6%3.6%11.3%5.7%15.7%4.7%0.4%14.2M39.6M-10.5M1.626.5121,10634,154349,354428,992
2013-02-21$88.59$90.0015.3%4.4%11.4%19.3%16.0%4.5%-0.3%3.8M159.6M-10.7M2.335.979,57622,347358,753448,522
2013-02-22$89.20$90.0012.7%3.6%11.4%6.1%14.1%3.9%0.5%15.1M-1.2M-10.8M0.987.5011,62311,404361,744459,503
2013-02-25$87.70$90.0021.5%4.9%12.5%50.9%17.3%5.4%-0.9%-8.3M311.9M-10.6M1.625.7014,76323,989362,258458,519
2013-02-26$88.51$90.0020.4%4.7%13.0%45.4%15.9%4.5%-0.6%2.0M201.2M-10.6M1.246.3515,67919,481365,877468,916
2013-02-27$89.53$90.0015.0%3.8%13.4%17.7%17.8%4.0%0.1%22.5M-64.1M-10.7M1.638.2311,84819,342370,308473,875
2013-02-28$89.55$90.0013.3%3.8%12.8%8.9%14.7%3.8%0.1%22.3M-47.7M-10.8M1.6610.097,83912,986373,267477,031