XOM Options History — February 2015

In February 2015, XOM traded between $88.60 and $93.35. ATM implied volatility averaged 18.9%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 6.2% (HV 20d: 25.0%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 12 of 18 trading days. Term structure was in contango for 7 of 18 days. Put/call ratio averaged 1.18.

Notable Days

2015-02-26: Highest Volume — 142,262 contracts
2015-02-03: Largest IV drop — 12.9% change
2015-02-02: Highest IV Rank — 56.7%
2015-02-02: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.79	$88.60	$93.35	$89.58	$88.60
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	18.9%	16.6%	22.0%	22.0%	18.7%
Expected Move	5.4%	4.9%	6.4%	6.4%	5.5%
HV 20d	25.0%	21.5%	25.9%	25.5%	21.5%
HV 60d	25.1%	24.1%	25.8%	24.1%	24.4%
IV Rank	39.9%	27.5%	56.7%	56.7%	39.1%
IV Percentile	77.8%	65.5%	88.9%	88.9%	75.0%
Term Structure	-0.1%	-1.1%	0.9%	0.2%	-0.5%
VWIV	19.5%	16.6%	24.2%	24.2%	18.6%
Skew 25d	5.2%	3.5%	8.4%	8.4%	3.5%
Skew 10d	10.5%	6.5%	15.4%	15.4%	6.5%
Call IV 25d	16.9%	14.4%	19.2%	19.2%	17.1%
Put IV 25d	22.0%	19.4%	27.6%	27.6%	20.6%
Bid-Ask Spread %	13.29	7.83	19.18	18.04	13.85
Gamma HHI	0.10	0.07	0.29	0.08	0.15
Net GEX	23.6M	-66.7M	118.2M	-7.2M	-13.8M
Net DEX	-195.4M	-1.10B	446.1M	210.5M	294.1M
Net VEX	-10.8M	-11.6M	-9.8M	-10.2M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.33	3.75	1.24	1.16
Total Volume	76,366.278	34,407	142,262	64,093	65,557
Total OI	893,155.722	794,517	982,651	794,517	939,648

Daily Data (18 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
2015-02-02	$89.58	$90.00	22.0%	6.4%	25.5%	56.7%	24.2%	8.4%	0.2%	-7.2M	210.5M	-10.2M	1.24	18.04	28,638	35,455	388,543	405,974
2015-02-03	$92.14	$90.00	19.1%	5.5%	25.6%	41.4%	20.3%	6.4%	-0.1%	55.7M	-667.3M	-9.8M	1.06	16.74	43,125	45,527	400,070	423,444
2015-02-04	$91.34	$90.00	19.1%	5.7%	25.7%	41.4%	21.3%	4.2%	-0.0%	33.3M	-394.5M	-10.2M	0.49	19.18	63,911	31,490	414,012	444,958
2015-02-05	$92.21	$90.00	19.0%	5.3%	25.7%	40.7%	19.7%	6.3%	-0.3%	83.4M	-631.2M	-10.6M	0.36	14.10	76,717	27,951	436,008	452,247
2015-02-06	$91.41	$90.00	19.4%	5.3%	25.5%	42.8%	19.9%	5.2%	-0.6%	25.2M	-402.6M	-10.8M	0.66	10.99	54,525	36,141	423,677	463,185
2015-02-09	$91.59	$90.00	19.2%	5.2%	25.4%	41.6%	19.8%	5.6%	-0.7%	47.0M	-479.2M	-10.9M	3.75	7.83	17,995	67,475	425,627	431,472
2015-02-10	$91.05	$90.00	18.8%	5.7%	24.6%	39.5%	19.3%	6.1%	0.9%	17.4M	-232.8M	-11.2M	1.33	12.51	14,772	19,635	430,011	477,426
2015-02-11	$90.53	$90.00	18.8%	5.5%	24.5%	39.5%	20.6%	5.4%	0.5%	1.3M	-64.1M	-11.0M	1.72	11.64	17,546	30,122	431,639	480,787
2015-02-12	$92.26	$90.00	17.4%	5.0%	25.4%	32.2%	18.1%	4.9%	0.1%	64.0M	-595.6M	-11.2M	0.58	14.82	66,990	39,160	434,641	496,760
2015-02-13	$93.35	$90.00	16.6%	5.0%	25.3%	27.5%	17.5%	5.0%	0.8%	118.2M	-1.10B	-11.6M	0.73	11.25	35,049	25,631	465,570	513,836
2015-02-17	$92.95	$90.00	18.3%	5.3%	24.1%	37.1%	19.3%	4.9%	-0.4%	94.4M	-891.7M	-11.2M	1.05	10.11	26,687	28,101	456,335	469,349
2015-02-18	$90.82	$90.00	20.2%	5.8%	25.6%	47.0%	20.0%	5.4%	-1.1%	28.5M	-185.8M	-11.0M	1.67	11.96	32,812	54,791	458,311	483,231
2015-02-19	$89.44	$90.00	19.6%	5.6%	25.9%	43.7%	19.7%	5.2%	-0.3%	-21.5M	375.6M	-10.8M	1.18	9.67	34,354	40,694	457,279	501,836
2015-02-20	$89.92	$90.00	18.7%	5.3%	25.7%	39.1%	18.9%	4.9%	0.2%	-66.7M	293.3M	-11.0M	1.86	16.22	23,043	42,866	469,420	513,231
2015-02-23	$88.90	$90.00	18.7%	5.3%	24.8%	39.2%	19.3%	4.1%	-0.2%	-1.6M	341.4M	-10.6M	0.75	13.06	28,147	21,240	393,555	405,507
2015-02-25	$89.56	$90.00	17.0%	4.9%	24.7%	30.1%	16.6%	3.9%	0.0%	1.6M	162.0M	-10.6M	1.25	15.53	25,012	31,172	408,718	426,425
2015-02-26	$88.60	$90.00	18.9%	5.6%	24.8%	40.0%	18.4%	3.7%	-0.2%	-33.7M	446.1M	-10.4M	0.33	11.78	106,986	35,276	414,812	439,259
2015-02-27	$88.60	$90.00	18.7%	5.5%	21.5%	39.1%	18.6%	3.5%	-0.5%	-13.8M	294.1M	-11.0M	1.16	13.85	30,290	35,267	489,294	450,354