XOM Options History — March 2013

In March 2013, XOM traded between $88.17 and $90.58. ATM implied volatility averaged 12.2%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.1% (HV 20d: 11.2%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-03-28: Highest Volume — 54,854 contracts
  • 2013-03-08: Largest IV drop — 28.8% change
  • 2013-03-21: Highest IV Rank — 18.5%
  • 2013-03-21: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.26$88.17$90.58$89.43$90.11
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV12.2%10.1%15.0%12.7%12.0%
Expected Move3.5%3.0%4.0%3.6%3.5%
HV 20d11.2%9.5%12.7%12.6%9.7%
HV 60d13.3%11.9%13.8%13.7%11.9%
IV Rank8.9%0.0%18.5%5.9%9.3%
IV Percentile11.2%0.0%44.8%5.2%6.0%
Term Structure1.5%0.6%2.2%0.6%2.2%
VWIV13.2%11.3%16.3%16.3%12.8%
Skew 25d3.6%2.9%4.6%3.8%2.9%
Skew 10d8.2%6.5%10.8%10.5%6.6%
Call IV 25d11.3%10.2%12.4%12.3%11.6%
Put IV 25d14.8%13.3%17.1%16.2%14.5%
Bid-Ask Spread %6.184.8610.1410.146.69
Gamma HHI0.160.130.230.140.13
Net GEX3.8M-35.4M34.4M21.6M-7.5M
Net DEX107.1M-334.9M486.9M-44.6M-102.7M
Net VEX-10.4M-10.8M-10.0M-10.8M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.622.941.290.74
Total Volume35,890.319,96854,85421,88954,854
Total OI900,502.15860,231947,585861,952945,219

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$89.43$90.0012.7%3.6%12.6%5.9%16.3%3.8%0.6%21.6M-44.6M-10.8M1.2910.149,57312,316376,053485,899
2013-03-04$88.95$90.0015.0%3.8%12.7%18.0%15.2%4.6%1.2%15.1M96.1M-10.5M2.074.868,72518,093376,383483,848
2013-03-05$89.61$90.0014.8%3.7%12.5%16.5%13.7%4.2%1.2%27.1M-117.8M-10.7M1.205.5910,92313,147379,090485,231
2013-03-06$89.56$90.0011.3%3.5%12.3%0.0%12.6%3.5%1.5%33.1M-135.9M-10.5M1.435.3119,14027,337382,701491,180
2013-03-07$88.71$90.0014.2%3.9%12.7%14.7%14.9%3.9%1.1%7.1M190.6M-10.3M1.085.5212,00312,920388,932497,621
2013-03-08$88.97$90.0010.1%3.2%11.1%0.0%12.0%3.4%1.8%17.3M128.7M-10.1M2.376.1012,97530,729393,394500,717
2013-03-11$89.16$90.0010.7%3.1%11.0%2.8%11.3%3.2%1.8%17.8M136.7M-10.0M2.945.2212,37236,426392,156512,375
2013-03-12$89.16$90.0011.7%3.1%10.9%7.7%11.7%3.3%1.8%9.3M166.4M-10.3M1.816.6512,78223,129394,651522,472
2013-03-13$89.26$90.0010.6%3.0%10.9%2.4%12.0%2.9%1.9%13.0M152.1M-10.2M0.956.1111,68811,098397,454535,060
2013-03-14$89.83$90.0010.8%3.1%11.1%3.2%11.7%3.2%1.9%34.4M-75.9M-10.0M1.846.0818,15233,414394,909528,165
2013-03-15$89.37$90.0010.7%3.1%11.3%2.8%12.5%3.8%1.6%1.5M212.9M-10.3M1.507.2520,95631,389398,862548,723
2013-03-18$88.77$90.0011.6%3.3%11.5%7.1%12.7%3.8%1.6%-16.1M297.3M-10.2M1.695.9613,53222,896366,354498,914
2013-03-19$88.58$90.0013.8%3.9%10.9%17.5%14.1%3.9%1.2%-24.1M362.4M-10.5M1.815.5512,54722,691367,204508,993
2013-03-20$88.63$90.0013.4%3.8%10.8%15.6%13.3%3.5%1.5%-25.4M348.3M-10.5M1.306.628,67011,298371,583519,763
2013-03-21$88.17$90.0014.0%4.0%10.8%18.5%14.2%3.4%1.1%-35.4M486.9M-10.5M1.046.3214,73215,255374,250523,203
2013-03-22$89.29$90.0011.9%3.4%11.5%8.8%13.8%3.7%1.7%-17.1M208.3M-10.8M0.626.1114,6579,147378,753530,771
2013-03-25$89.02$90.0012.0%3.4%9.7%9.2%13.1%4.2%1.3%-17.1M272.0M-10.6M0.936.5014,19413,235382,702528,732
2013-03-26$90.13$90.0011.8%3.4%10.1%8.2%12.8%3.0%1.7%3.2M-105.3M-10.7M0.745.1124,47418,199387,312533,573
2013-03-27$90.58$90.0012.0%3.4%9.5%9.0%12.4%3.3%1.7%18.5M-334.9M-10.6M1.075.8623,28024,858390,295536,546
2013-03-28$90.11$90.0012.0%3.5%9.7%9.3%12.8%2.9%2.2%-7.5M-102.7M-10.8M0.746.6931,47023,384397,784547,435