XOM Options History — December 2014

In December 2014, XOM traded between $86.68 and $95.05. ATM implied volatility averaged 21.8%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.8% (HV 20d: 26.5%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.23.

Notable Days

2014-12-01: Highest Volume — 174,155 contracts
2014-12-10: Largest IV spike — 25.3% change
2014-12-12: Highest IV Rank — 99.6%
2014-12-12: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.74	$86.68	$95.05	$92.67	$92.45
Max Pain	$90.91	$90.00	$92.50	$92.50	$90.00
ATM IV	21.8%	16.5%	29.9%	18.5%	21.4%
Expected Move	6.1%	5.0%	8.0%	5.3%	6.0%
HV 20d	26.5%	21.0%	32.4%	21.1%	26.7%
HV 60d	21.0%	18.5%	23.0%	18.5%	22.8%
IV Rank	55.6%	27.3%	99.6%	37.8%	53.5%
IV Percentile	92.6%	76.6%	99.6%	92.9%	94.0%
Term Structure	-0.3%	-2.8%	1.3%	0.7%	1.3%
VWIV	21.9%	17.0%	28.8%	18.2%	23.2%
Skew 25d	4.8%	2.1%	7.2%	3.9%	5.7%
Skew 10d	10.6%	5.5%	16.3%	10.4%	12.3%
Call IV 25d	20.0%	15.4%	28.7%	17.1%	18.6%
Put IV 25d	24.8%	18.8%	35.0%	21.0%	24.3%
Bid-Ask Spread %	13.30	9.19	18.30	18.30	9.19
Gamma HHI	0.10	0.08	0.16	0.09	0.08
Net GEX	28.9M	-22.5M	96.4M	-618.2K	19.1M
Net DEX	109.8M	-803.8M	1.26B	257.0M	-56.8M
Net VEX	-9.1M	-9.7M	-7.9M	-7.9M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.50	2.43	0.62	2.43
Total Volume	75,089.455	30,785	174,155	174,155	51,495
Total OI	890,724.591	752,472	997,222	752,472	913,673

Daily Data (22 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
2014-12-01	$92.67	$92.50	18.5%	5.3%	21.1%	37.8%	18.2%	3.9%	0.7%	-618.2K	257.0M	-7.9M	0.62	18.30	107,404	66,751	393,020	359,452
2014-12-02	$94.12	$92.50	17.7%	5.0%	21.0%	33.7%	17.0%	3.9%	-0.3%	49.7M	-263.9M	-9.1M	1.13	16.15	38,934	44,153	441,988	398,575
2014-12-03	$95.05	$92.50	16.5%	5.0%	21.3%	27.3%	17.7%	4.0%	-0.1%	66.1M	-605.0M	-9.6M	0.99	14.19	25,590	25,298	458,431	407,888
2014-12-04	$94.37	$92.50	17.0%	5.1%	21.3%	29.9%	17.7%	3.3%	0.7%	48.9M	-333.8M	-9.4M	1.07	15.08	17,283	18,420	462,726	417,458
2014-12-05	$93.70	$92.50	17.1%	5.3%	21.0%	30.2%	17.1%	2.1%	0.3%	30.8M	-126.7M	-9.1M	0.71	15.79	24,051	17,034	467,089	425,979
2014-12-08	$91.66	$92.50	21.0%	5.8%	22.1%	51.3%	20.0%	3.6%	-1.0%	17.7M	324.7M	-9.0M	0.68	10.84	42,527	29,050	452,152	399,446
2014-12-09	$91.40	$92.50	21.6%	5.9%	22.1%	54.7%	21.2%	4.4%	-1.7%	13.1M	380.6M	-9.0M	1.33	12.29	19,847	26,474	460,899	407,874
2014-12-10	$88.26	$92.50	27.1%	7.2%	24.9%	84.2%	25.0%	4.8%	-1.0%	-22.5M	990.1M	-8.8M	1.15	9.92	43,171	49,759	462,771	414,139
2014-12-11	$89.24	$90.00	25.0%	6.8%	25.4%	73.0%	26.1%	4.8%	-0.7%	-11.2M	765.4M	-9.1M	1.16	12.08	38,538	44,656	477,400	418,243
2014-12-12	$86.68	$90.00	29.9%	8.0%	26.9%	99.6%	28.8%	6.3%	-0.8%	-21.3M	1.26B	-8.8M	1.25	10.28	41,366	51,740	484,605	430,413
2014-12-15	$86.87	$90.00	28.2%	7.7%	26.8%	90.4%	27.5%	7.2%	-0.8%	-14.6M	1.08B	-8.7M	1.25	9.90	39,073	48,699	483,964	412,661
2014-12-16	$86.71	$90.00	29.3%	7.8%	26.7%	96.3%	26.8%	6.6%	-2.8%	-21.9M	1.11B	-8.9M	0.65	12.49	48,044	30,998	492,952	432,091
2014-12-17	$89.29	$90.00	26.2%	7.1%	29.3%	79.5%	25.5%	5.7%	0.4%	3.2M	636.1M	-9.1M	1.37	16.27	38,079	52,291	501,559	441,193
2014-12-18	$90.89	$90.00	24.6%	6.8%	30.1%	71.0%	23.5%	5.2%	-0.8%	39.2M	227.6M	-9.5M	1.44	14.49	32,563	46,754	514,084	461,418
2014-12-19	$93.64	$90.00	20.5%	5.8%	32.2%	48.9%	21.2%	4.5%	0.3%	96.4M	-566.4M	-9.3M	0.59	15.56	64,415	37,750	520,967	476,255
2014-12-22	$93.29	$90.00	21.0%	5.8%	31.9%	51.6%	20.0%	5.7%	-0.6%	54.5M	-422.1M	-9.4M	0.50	16.56	83,489	42,029	426,404	402,159
2014-12-23	$94.75	$90.00	16.9%	5.3%	32.4%	29.4%	20.5%	4.9%	1.1%	82.7M	-803.8M	-9.6M	1.03	12.95	26,945	27,811	464,130	421,863
2014-12-24	$93.78	$90.00	19.3%	5.4%	32.4%	42.1%	20.2%	5.1%	-0.6%	64.0M	-546.4M	-9.7M	1.93	14.56	16,017	30,856	471,093	430,333
2014-12-26	$93.36	$90.00	19.5%	5.7%	32.4%	43.2%	19.4%	3.7%	-1.5%	57.3M	-375.6M	-9.3M	1.89	13.42	21,036	39,841	473,873	437,452
2014-12-29	$93.17	$90.00	20.2%	5.9%	28.4%	47.1%	23.7%	5.7%	0.8%	46.6M	-284.3M	-9.2M	2.16	10.46	22,441	48,511	465,836	405,970
2014-12-30	$93.02	$90.00	20.3%	5.9%	27.2%	47.6%	21.6%	5.1%	0.5%	38.8M	-223.9M	-9.3M	1.77	11.80	11,099	19,686	470,686	434,777
2014-12-31	$92.45	$90.00	21.4%	6.0%	26.7%	53.5%	23.2%	5.7%	1.3%	19.1M	-56.8M	-9.3M	2.43	9.19	15,033	36,462	472,280	441,393