XOM Options History — November 2013

In November 2013, XOM traded between $89.82 and $95.45. ATM implied volatility averaged 12.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.5% (HV 20d: 13.7%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2013-11-06: Highest Volume — 630,507 contracts
  • 2013-11-08: Largest IV drop — 9.5% change
  • 2013-11-07: Highest IV Rank — 14.9%
  • 2013-11-29: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.52$89.82$95.45$89.82$93.48
Max Pain$62.25$60.00$70.00$70.00$65.00
ATM IV12.2%11.5%13.2%11.7%12.9%
Expected Move4.7%4.6%4.9%4.8%4.9%
HV 20d13.7%10.0%15.1%10.0%15.0%
HV 60d12.6%11.7%13.3%11.7%12.0%
IV Rank9.9%6.6%14.9%7.7%13.5%
IV Percentile9.1%3.2%21.4%4.0%21.4%
Term Structure0.2%-0.3%0.8%0.2%0.2%
VWIV17.1%15.2%19.6%17.1%17.1%
Skew 25d2.5%1.9%3.3%3.3%2.5%
Skew 10d5.8%4.5%7.7%6.6%5.4%
Call IV 25d11.5%10.7%12.4%10.9%12.0%
Put IV 25d14.1%13.3%15.0%14.2%14.4%
Bid-Ask Spread %5.873.7110.1110.117.64
Gamma HHI0.230.180.280.220.24
Net GEX130.4M95.4M169.3M95.4M112.2M
Net DEX-1.38B-1.93B-820.1M-820.1M-1.10B
Net VEX-9.1M-9.8M-8.1M-8.2M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.031.280.581.04
Total Volume76,122.8517,119630,50756,32917,119
Total OI919,918.55845,1361,021,506961,458908,624

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$89.82$70.0011.7%4.8%10.0%7.7%17.1%3.3%0.2%95.4M-820.1M-8.2M0.5810.1135,57320,756504,013457,445
2013-11-04$92.10$60.0012.2%4.7%12.6%10.1%17.4%2.6%-0.0%135.4M-1.55B-8.1M0.426.0077,31332,342494,392440,725
2013-11-05$91.99$60.0012.6%4.7%12.4%11.8%18.1%2.4%-0.1%143.1M-1.51B-8.6M0.474.8188,96642,049523,288453,852
2013-11-06$93.22$60.0012.3%4.6%12.5%10.3%18.1%2.6%0.4%169.3M-1.93B-9.1M0.034.05610,54219,965545,906475,600
2013-11-07$91.96$60.0013.2%4.6%13.8%14.9%18.7%2.7%-0.3%99.7M-952.8M-9.3M0.953.7728,58127,218454,659485,122
2013-11-08$92.73$60.0012.0%4.6%13.7%8.9%19.6%2.4%0.5%129.1M-1.02B-9.2M1.024.8414,89715,165445,715493,251
2013-11-11$92.96$60.0012.2%4.6%13.6%9.9%15.2%2.6%0.4%138.6M-1.09B-8.9M1.103.7110,97512,044442,711479,634
2013-11-12$92.67$60.0012.3%4.6%13.0%10.6%16.7%2.8%0.3%141.8M-1.07B-8.9M0.734.2817,72712,931445,145483,678
2013-11-13$92.59$60.0011.8%4.6%13.1%8.0%17.0%2.5%0.5%151.3M-992.0M-9.0M0.724.7811,6268,326451,193490,939
2013-11-14$93.22$60.0011.8%4.7%13.1%8.2%15.2%2.5%0.5%158.0M-1.25B-8.6M0.926.5110,8129,941445,181487,773
2013-11-15$95.27$60.0012.1%4.6%14.6%9.6%16.3%2.1%0.1%140.5M-1.83B-8.9M0.474.8967,58732,048447,038491,221
2013-11-18$95.45$60.0012.5%4.7%14.4%11.4%17.5%1.9%0.3%135.8M-1.78B-9.3M1.014.9528,64828,892439,310405,826
2013-11-19$95.42$60.0012.4%4.7%14.4%11.1%16.8%2.5%0.2%133.7M-1.84B-9.0M0.725.4825,88518,709442,843411,869
2013-11-20$94.68$65.0012.1%4.8%14.7%9.7%16.1%3.1%0.3%117.0M-1.52B-9.7M0.869.6328,98425,045449,128418,095
2013-11-21$94.69$65.0011.9%4.7%14.6%8.5%17.0%2.8%-0.1%122.0M-1.50B-9.8M0.875.6510,4449,133462,255430,479
2013-11-22$95.01$65.0011.5%4.7%14.3%6.6%18.2%2.2%0.0%119.7M-1.63B-9.5M1.237.0216,53020,325466,472434,993
2013-11-25$95.09$65.0011.8%4.7%14.3%8.1%16.8%2.3%0.8%134.8M-1.65B-9.6M1.287.5812,84716,428462,433425,630
2013-11-26$94.27$65.0012.0%4.8%14.9%9.0%17.0%2.3%0.4%116.7M-1.34B-9.7M1.015.079,95710,043465,154433,560
2013-11-27$93.80$65.0012.1%4.8%15.1%9.4%16.7%2.6%0.2%114.6M-1.21B-9.4M0.796.6820,15615,928467,585435,634
2013-11-29$93.48$65.0012.9%4.9%15.0%13.5%17.1%2.5%0.2%112.2M-1.10B-9.4M1.047.648,3898,730470,826437,798