XOM Options History — September 2014

In September 2014, XOM traded between $94.05 and $99.26. ATM implied volatility averaged 14.4%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.9% (HV 20d: 11.5%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-09-10: Highest Volume — 76,195 contracts
  • 2014-09-25: Largest IV spike — 11.3% change
  • 2014-09-30: Highest IV Rank — 74.1%
  • 2014-09-30: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.72$94.05$99.26$98.49$94.05
Max Pain$99.17$95.00$100.00$100.00$95.00
ATM IV14.4%12.5%17.6%12.9%17.6%
Expected Move4.5%4.3%4.8%4.5%4.8%
HV 20d11.5%9.9%13.8%12.3%13.5%
HV 60d15.2%14.7%15.5%14.7%15.5%
IV Rank35.7%12.5%74.1%17.9%74.1%
IV Percentile49.2%15.9%96.8%25.0%96.8%
Term Structure0.4%-0.5%1.1%0.1%1.1%
VWIV16.5%15.1%18.4%17.0%17.5%
Skew 25d2.3%1.3%3.5%1.3%3.0%
Skew 10d4.7%3.1%8.6%3.7%6.0%
Call IV 25d13.7%11.5%16.5%12.6%16.5%
Put IV 25d16.0%13.8%20.0%13.9%19.5%
Bid-Ask Spread %15.9413.1818.3416.8514.31
Gamma HHI0.120.100.170.120.11
Net GEX-24.4M-44.2M19.2M2.1M-27.7M
Net DEX261.6M-357.6M734.4M-137.9M604.1M
Net VEX-8.6M-9.0M-8.2M-8.8M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.431.700.561.10
Total Volume38,270.71419,06776,19526,51331,065
Total OI745,002.048687,788799,064687,788772,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$98.49$100.0012.9%4.5%12.3%17.9%17.0%1.3%0.1%2.1M-137.9M-8.8M0.5616.8516,9709,543370,313317,475
2014-09-03$99.11$100.0012.5%4.3%10.4%12.9%16.3%2.0%0.3%17.1M-308.9M-8.9M0.7118.3213,7149,777376,047321,901
2014-09-04$98.36$100.0012.7%4.5%10.4%15.3%16.2%1.7%0.3%-2.4M-75.1M-8.6M0.5516.9821,10811,619376,722326,471
2014-09-05$99.26$100.0012.5%4.3%10.5%12.5%15.1%2.4%0.2%19.2M-357.6M-8.8M0.9218.3415,75114,426384,276328,995
2014-09-08$97.77$100.0013.6%4.5%10.5%25.8%15.6%1.6%0.1%-12.1M41.9M-8.6M1.3817.2519,13626,396379,693327,175
2014-09-09$97.39$100.0013.9%4.5%10.0%30.1%17.9%2.5%-0.5%-25.9M173.4M-8.6M1.1016.0715,79017,330387,018342,188
2014-09-10$96.81$100.0014.4%4.5%10.1%35.9%17.3%2.5%-0.3%-33.5M293.3M-8.5M1.6914.8528,37547,820390,506351,080
2014-09-11$97.03$100.0014.5%4.5%9.9%36.6%16.5%2.7%-0.5%-44.2M351.2M-8.8M1.6715.5318,80231,467395,506372,410
2014-09-12$95.78$100.0015.0%4.7%10.7%43.1%16.8%2.3%0.5%-43.2M734.4M-8.5M1.6514.6520,61933,956399,238390,879
2014-09-15$96.29$100.0014.9%4.5%11.0%41.8%15.7%2.3%0.4%-39.8M486.4M-8.7M0.5215.5014,1687,302393,450389,439
2014-09-16$97.43$100.0014.2%4.5%11.8%33.8%16.2%2.3%0.5%-35.6M193.4M-9.0M0.7514.1620,33115,280395,352392,637
2014-09-17$97.08$100.0013.8%4.5%11.8%28.1%16.0%2.1%0.2%-36.9M301.1M-8.7M0.8416.4110,3448,723396,160396,103
2014-09-18$96.61$100.0013.5%4.4%11.8%24.8%15.7%2.3%0.5%-40.5M475.5M-8.4M1.7015.6613,21622,489387,030394,236
2014-09-19$97.12$100.0013.2%4.3%12.0%21.5%15.1%2.4%0.5%-40.1M357.0M-8.5M1.3916.2318,42625,609391,698407,366
2014-09-22$96.54$100.0013.8%4.4%11.9%28.3%16.1%2.3%0.9%-19.2M191.3M-8.2M0.7916.7717,12713,472344,689346,157
2014-09-23$96.03$100.0014.7%4.6%11.9%39.5%15.5%2.9%0.4%-25.7M286.5M-8.5M0.4315.9928,42312,239352,422355,137
2014-09-24$95.82$97.5014.8%4.6%11.3%41.2%18.4%2.5%1.1%-28.1M324.4M-8.6M0.7416.8832,82724,318362,655359,911
2014-09-25$94.25$97.5016.5%4.8%12.4%61.6%17.3%2.1%0.6%-36.7M632.6M-8.5M0.9016.3419,41817,449376,800370,691
2014-09-26$95.43$97.5015.8%4.7%13.5%52.5%16.5%2.6%1.1%-31.6M373.9M-8.8M0.4814.5128,34613,492382,584379,596
2014-09-29$94.43$95.0017.5%4.8%13.8%73.4%16.7%3.5%0.8%-28.6M551.7M-8.6M0.6713.1822,15814,864385,314375,110
2014-09-30$94.05$95.0017.6%4.8%13.5%74.1%17.5%3.0%1.1%-27.7M604.1M-8.7M1.1014.3114,77316,292392,245380,368