XOM Options History — November 2014

In November 2014, XOM traded between $90.54 and $96.67. ATM implied volatility averaged 15.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.1% (HV 20d: 17.0%). Max pain ranged from $92.50 to $95.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-11-06: Highest Volume — 211,371 contracts
  • 2014-11-25: Largest IV spike — 18.1% change
  • 2014-11-28: Highest IV Rank — 40.5%
  • 2014-11-28: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.19$90.54$96.67$95.02$90.54
Max Pain$92.92$92.50$95.00$92.50$95.00
ATM IV15.9%13.2%19.0%17.7%19.0%
Expected Move4.6%4.2%5.5%4.7%5.5%
HV 20d17.0%14.8%21.4%21.4%21.2%
HV 60d15.8%15.4%18.0%15.5%18.0%
IV Rank24.2%9.6%40.5%33.6%40.5%
IV Percentile68.4%25.4%94.4%91.3%94.4%
Term Structure-0.4%-1.8%0.5%-0.8%0.5%
VWIV16.3%15.0%19.2%16.6%19.2%
Skew 25d3.5%2.6%4.7%3.9%2.6%
Skew 10d7.3%5.7%10.1%6.9%7.1%
Call IV 25d14.7%12.5%18.5%15.9%18.5%
Put IV 25d18.2%15.5%21.1%19.7%21.1%
Bid-Ask Spread %12.325.0116.0313.9716.03
Gamma HHI0.140.090.180.120.09
Net GEX58.7M-15.4M113.4M49.8M-15.4M
Net DEX-317.8M-744.2M846.3M-305.9M846.3M
Net VEX-8.5M-9.5M-7.1M-9.4M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.162.450.891.15
Total Volume54,541.84225,327211,37152,915106,638
Total OI801,072.737678,504849,385796,289755,384

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$95.02$92.5017.7%4.7%21.4%33.6%16.6%3.9%-0.8%49.8M-305.9M-9.4M0.8913.9727,93924,976412,930383,359
2014-11-04$94.52$92.5017.5%4.9%21.0%32.4%17.2%4.5%-0.1%34.3M-159.4M-9.2M0.6012.1728,68217,206417,683393,213
2014-11-05$95.05$92.5017.5%4.8%20.5%32.8%16.7%3.4%-0.3%51.1M-291.7M-9.4M1.0112.5813,00913,197426,328398,882
2014-11-06$96.12$92.5016.5%4.8%17.1%27.1%16.1%4.7%-0.5%85.7M-613.7M-9.5M0.1612.13181,79729,574429,343405,502
2014-11-07$96.49$92.5016.3%4.4%17.0%26.2%16.1%3.7%-0.0%87.9M-720.4M-9.5M0.4312.0740,56917,506418,156415,113
2014-11-10$96.19$92.5016.1%4.6%16.7%25.2%17.5%4.0%-0.4%88.9M-616.1M-9.3M1.4312.7615,65622,384414,069394,627
2014-11-11$96.35$92.5015.7%4.4%16.5%22.7%16.7%3.4%-1.8%93.3M-715.7M-8.8M1.0812.6919,07120,639415,466393,079
2014-11-12$95.42$92.5016.0%4.6%16.0%24.5%16.5%3.0%-0.6%64.9M-389.2M-8.8M1.1411.9422,05225,048420,906405,742
2014-11-13$94.55$92.5016.0%4.6%16.5%24.2%15.7%4.5%-0.4%27.5M-79.2M-8.7M1.4313.0124,84235,510423,241413,491
2014-11-14$95.09$92.5015.4%4.6%16.5%21.1%16.1%3.3%-1.0%-7.8M-279.3M-8.5M0.8111.8213,98511,342425,937423,448
2014-11-17$95.11$92.5015.2%4.5%16.4%20.0%15.3%3.3%0.3%68.3M-232.4M-8.3M1.1912.2912,72215,174419,992398,592
2014-11-18$95.03$92.5015.5%4.5%15.4%21.6%15.5%3.5%-0.1%73.3M-241.9M-8.2M1.3012.7216,21221,008420,706402,385
2014-11-19$95.61$92.5015.1%4.5%15.4%19.8%15.0%3.4%-0.7%91.7M-431.7M-8.2M0.6114.3318,38811,127421,424405,085
2014-11-20$95.75$92.5015.1%4.5%15.0%19.4%15.7%3.2%-0.8%113.4M-487.9M-8.0M0.9915.0018,41918,303421,099403,627
2014-11-21$96.67$92.5013.2%4.2%15.3%9.6%15.3%3.0%0.1%84.9M-744.2M-8.2M0.5714.9925,04214,293423,348403,627
2014-11-24$95.72$0.0013.4%4.5%15.4%10.2%15.9%3.0%0.4%58.5M-324.8M-7.6M1.236.0819,74324,294363,737314,767
2014-11-25$94.90$95.0015.8%4.7%14.9%23.2%16.4%3.0%-0.6%33.8M-152.6M-8.0M0.855.0135,92830,692370,588332,001
2014-11-26$94.48$95.0016.1%4.7%14.8%25.0%16.5%3.4%-0.3%32.0M-98.2M-7.8M2.4512.4112,54230,786387,254346,251
2014-11-28$90.54$95.0019.0%5.5%21.2%40.5%19.2%2.6%0.5%-15.4M846.3M-7.1M1.1516.0349,69556,943393,020362,364