XOM Options History — October 2014

In October 2014, XOM traded between $90.46 and $96.80. ATM implied volatility averaged 20.5%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.3% (HV 20d: 17.3%). Max pain ranged from $92.50 to $95.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.20.

Notable Days

2014-10-17: Highest Volume — 103,345 contracts
2014-10-09: Largest IV spike — 24.0% change
2014-10-09: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.14	$90.46	$96.80	$92.86	$96.80
Max Pain	$93.70	$92.50	$95.00	$95.00	$92.50
ATM IV	20.5%	15.3%	30.0%	19.3%	15.3%
Expected Move	5.3%	4.5%	6.6%	5.2%	4.5%
HV 20d	17.3%	13.1%	20.3%	13.6%	20.3%
HV 60d	16.1%	14.6%	17.3%	15.6%	15.4%
IV Rank	66.3%	21.1%	100.0%	95.4%	21.1%
IV Percentile	94.4%	65.1%	100.0%	99.6%	65.1%
Term Structure	-0.3%	-2.6%	1.5%	0.5%	-0.1%
VWIV	18.6%	15.3%	25.7%	19.0%	15.3%
Skew 25d	4.9%	1.8%	9.1%	3.3%	5.0%
Skew 10d	9.9%	3.3%	15.5%	3.6%	11.0%
Call IV 25d	18.7%	13.6%	26.4%	18.6%	13.6%
Put IV 25d	23.6%	18.6%	35.5%	21.9%	18.6%
Bid-Ask Spread %	14.67	12.29	20.40	13.71	14.18
Gamma HHI	0.10	0.07	0.13	0.10	0.13
Net GEX	-7.2M	-83.8M	68.4M	-30.1M	68.4M
Net DEX	434.2M	-831.9M	1.18B	810.2M	-831.9M
Net VEX	-9.0M	-9.5M	-8.7M	-8.7M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.57	1.97	1.62	0.57
Total Volume	56,536.348	22,144	103,345	48,300	96,955
Total OI	822,493.739	728,028	920,505	784,796	819,826

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-10-01	$92.86	$95.00	19.3%	5.2%	13.6%	95.4%	19.0%	3.3%	0.5%	-30.1M	810.2M	-8.7M	1.62	13.71	18,466	29,834	397,257	387,539
2014-10-02	$93.30	$95.00	19.5%	5.1%	13.8%	97.7%	17.8%	3.7%	1.5%	-34.9M	786.9M	-8.7M	1.32	13.29	35,534	46,748	403,196	401,998
2014-10-03	$93.92	$95.00	17.8%	4.9%	13.5%	76.6%	17.4%	2.9%	1.0%	-4.6M	625.6M	-8.8M	1.97	12.79	18,204	35,915	414,954	413,890
2014-10-06	$94.52	$95.00	18.5%	4.9%	13.1%	85.6%	16.9%	3.3%	0.0%	-27.6M	447.7M	-8.7M	1.64	14.33	11,983	19,643	408,133	414,274
2014-10-07	$93.37	$95.00	19.3%	5.1%	13.6%	95.2%	18.2%	1.8%	1.3%	-42.8M	733.6M	-8.8M	1.38	13.51	9,307	12,837	411,820	422,283
2014-10-08	$94.73	$95.00	18.9%	5.0%	14.7%	90.1%	17.4%	2.9%	-0.6%	-23.5M	395.2M	-9.0M	1.17	15.30	19,116	22,353	413,652	424,914
2014-10-09	$91.82	$95.00	23.4%	5.5%	18.1%	100.0%	20.1%	3.4%	-1.5%	-66.7M	1.04B	-8.8M	1.22	14.37	38,802	47,457	416,690	429,159
2014-10-10	$91.60	$95.00	24.1%	5.8%	17.7%	100.0%	21.2%	3.2%	-0.7%	-83.8M	1.05B	-9.2M	1.21	19.12	37,564	45,517	435,016	441,737
2014-10-13	$90.84	$95.00	26.9%	6.2%	17.6%	100.0%	21.7%	4.5%	1.2%	-35.3M	1.08B	-9.2M	0.99	20.40	18,396	18,141	429,840	433,656
2014-10-14	$91.72	$95.00	25.8%	6.0%	17.4%	92.8%	22.2%	7.1%	-1.9%	-29.5M	928.1M	-9.3M	1.18	15.85	15,893	18,709	437,448	438,501
2014-10-15	$90.46	$95.00	30.0%	6.6%	17.8%	100.0%	25.7%	9.1%	-2.6%	-41.7M	1.18B	-9.5M	1.43	14.45	30,717	44,064	448,753	459,780
2014-10-16	$90.60	$92.50	27.3%	6.3%	17.9%	85.6%	20.7%	6.5%	-1.0%	-40.8M	1.13B	-9.2M	0.78	13.79	38,496	30,023	451,442	454,118
2014-10-17	$91.21	$92.50	24.4%	5.7%	18.0%	70.1%	18.4%	6.4%	-0.5%	-18.8M	982.8M	-8.8M	1.31	19.81	44,721	58,624	464,201	456,304
2014-10-20	$91.80	$92.50	19.8%	5.4%	18.2%	45.2%	18.5%	5.7%	0.3%	3.1M	382.4M	-8.9M	0.83	12.29	26,842	22,155	365,282	362,746
2014-10-21	$93.37	$92.50	17.3%	5.0%	19.5%	31.3%	16.5%	5.6%	0.7%	25.2M	48.3M	-8.8M	1.04	13.00	26,172	27,117	377,499	369,241
2014-10-22	$93.01	$92.50	19.1%	5.1%	19.5%	41.4%	17.9%	5.1%	-1.1%	23.8M	49.7M	-9.1M	1.90	13.82	16,823	31,950	392,303	380,868
2014-10-23	$94.03	$92.50	17.5%	4.8%	19.1%	32.8%	16.9%	5.3%	-1.1%	32.8M	-145.9M	-9.1M	0.91	12.89	23,071	21,043	392,988	398,382
2014-10-24	$94.49	$92.50	17.8%	4.8%	18.6%	34.1%	16.3%	5.6%	-0.1%	28.0M	-156.4M	-9.1M	0.74	13.25	27,333	20,103	395,296	404,360
2014-10-27	$93.71	$92.50	19.1%	5.2%	18.5%	41.3%	17.6%	6.5%	-1.0%	22.4M	30.2M	-9.2M	1.28	15.30	13,772	17,644	389,071	380,945
2014-10-28	$95.10	$92.50	16.6%	4.8%	19.2%	27.8%	17.2%	4.9%	-0.2%	43.8M	-271.0M	-9.3M	0.75	13.08	16,349	12,261	395,815	388,227
2014-10-29	$94.52	$92.50	17.8%	4.8%	18.7%	34.2%	16.5%	5.5%	-0.9%	36.8M	-162.7M	-9.2M	1.08	15.27	36,799	39,738	396,813	389,519
2014-10-30	$94.53	$92.50	16.4%	4.8%	18.7%	26.8%	18.3%	5.1%	0.4%	31.3M	-145.2M	-9.3M	1.39	13.63	23,922	33,223	404,325	403,295
2014-10-31	$96.80	$92.50	15.3%	4.5%	20.3%	21.1%	15.3%	5.0%	-0.1%	68.4M	-831.9M	-9.3M	0.57	14.18	61,713	35,242	406,362	413,464