XOM Options History — January 2015

In January 2015, XOM traded between $87.17 and $92.93. ATM implied volatility averaged 24.4%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.9% (HV 20d: 23.5%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2015-01-29: Highest Volume — 113,847 contracts
  • 2015-01-28: Largest IV spike — 29.3% change
  • 2015-01-15: Highest IV Rank — 95.8%
  • 2015-01-28: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.51$87.17$92.93$92.93$87.17
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV24.4%18.5%29.2%21.4%25.5%
Expected Move6.8%5.3%8.0%6.0%7.7%
HV 20d23.5%18.9%28.2%26.5%23.3%
HV 60d23.0%22.4%24.3%22.7%23.4%
IV Rank70.1%37.8%95.8%53.7%75.7%
IV Percentile93.1%81.3%98.8%94.0%92.9%
Term Structure-0.7%-2.3%0.7%0.7%0.1%
VWIV24.9%19.2%28.7%23.4%27.1%
Skew 25d7.6%5.6%9.5%6.0%5.6%
Skew 10d14.2%10.1%19.0%11.6%10.1%
Call IV 25d21.3%15.9%25.3%18.2%22.9%
Put IV 25d28.9%23.1%34.9%24.1%28.6%
Bid-Ask Spread %12.579.3315.8710.3914.74
Gamma HHI0.090.080.130.090.10
Net GEX-1.6M-57.4M55.2M36.7M-49.8M
Net DEX282.8M-408.1M915.3M-138.5M808.7M
Net VEX-9.4M-9.9M-9.1M-9.3M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.682.141.991.48
Total Volume75,091.1534,306113,84755,58996,855
Total OI874,032.7623,1801,060,973934,871825,179

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$92.93$90.0021.4%6.0%26.5%53.7%23.4%6.0%0.7%36.7M-138.5M-9.3M1.9910.3918,57737,012473,424461,447
2015-01-05$90.29$90.0026.9%7.1%28.2%83.1%25.7%7.2%-1.0%-8.3M510.9M-9.1M1.7411.7824,38942,438466,952448,056
2015-01-06$89.81$90.0027.3%7.2%28.2%85.2%26.1%7.4%-0.8%-15.8M624.5M-9.3M1.379.6831,48443,067472,934463,122
2015-01-07$90.72$90.0025.4%6.9%27.4%75.0%25.3%7.2%-1.0%2.0M444.8M-9.3M1.1813.4028,96734,064486,504472,839
2015-01-08$91.90$90.0023.9%6.2%27.8%67.0%22.0%6.4%-0.5%25.8M87.1M-9.4M1.349.7332,30643,200499,914486,141
2015-01-09$92.24$90.0024.0%6.4%24.5%67.8%23.4%7.5%-0.7%33.0M-72.4M-9.3M1.5610.9332,90651,439501,703499,916
2015-01-12$90.54$90.0026.8%7.4%25.4%82.9%26.7%9.3%-0.4%-12.3M525.3M-9.1M1.139.3434,46038,976493,896488,093
2015-01-13$89.79$90.0027.7%7.6%23.1%87.5%27.7%9.3%-0.7%-24.6M664.2M-9.1M1.1711.2741,66148,789501,352502,592
2015-01-14$89.81$90.0028.6%7.7%23.1%92.3%28.7%9.5%-2.1%-26.7M688.7M-9.4M1.129.3347,08652,800512,419522,229
2015-01-15$89.00$90.0029.2%7.7%23.4%95.8%26.8%9.5%-2.3%-50.3M915.3M-9.2M1.0013.2336,17636,178523,720524,272
2015-01-16$91.12$90.0025.7%7.2%22.5%76.8%26.0%9.3%-1.2%29.3M136.6M-9.1M0.6813.1954,10436,707534,140526,833
2015-01-20$91.09$90.0023.5%6.7%21.6%64.9%23.6%8.1%-0.4%26.0M-117.4M-9.1M1.2614.6526,58533,427316,041307,139
2015-01-21$91.87$90.0020.7%5.9%18.9%49.8%23.0%7.8%0.1%39.1M-213.1M-9.2M1.0213.6828,20628,882333,823328,783
2015-01-22$92.88$90.0018.5%5.3%19.3%37.8%19.2%7.2%-0.1%55.2M-408.1M-9.6M1.2015.8230,71536,876351,021347,080
2015-01-23$90.88$90.0021.2%6.1%19.8%52.7%23.8%6.9%-0.8%-8.5M-21.8M-9.7M1.5815.8735,09655,373362,153368,014
2015-01-26$91.76$90.0020.0%5.8%20.0%46.1%22.4%6.6%-0.7%19.4M-223.0M-9.6M1.2513.0224,32330,363358,802376,737
2015-01-27$90.95$90.0020.6%6.1%20.2%49.2%23.0%6.1%0.0%63.0K-41.2M-9.7M1.0213.3617,02117,285369,961395,349
2015-01-28$87.89$90.0026.6%8.0%23.3%81.9%27.3%7.5%-0.8%-44.7M684.3M-9.8M2.1415.0425,53754,646371,005406,187
2015-01-29$87.56$90.0025.5%7.6%23.3%75.9%25.8%7.3%-1.2%-57.4M802.0M-9.9M0.8813.0560,41453,433377,742423,140
2015-01-30$87.17$90.0025.5%7.7%23.3%75.7%27.1%5.6%0.1%-49.8M808.7M-9.9M1.4814.7439,11757,738394,293430,886