XOM Options History — March 2015

In March 2015, XOM traded between $83.58 and $88.01. ATM implied volatility averaged 18.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.7% (HV 20d: 16.4%). Max pain ranged from $86.00 to $90.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-03-03: Highest Volume — 104,758 contracts
  • 2015-03-23: Largest IV drop — 6.6% change
  • 2015-03-11: Highest IV Rank — 46.4%
  • 2015-03-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.16$83.58$88.01$88.01$85.04
Max Pain$88.55$86.00$90.00$90.00$86.00
ATM IV18.1%15.9%20.1%18.9%17.9%
Expected Move5.1%4.5%5.8%5.6%4.7%
HV 20d16.4%12.9%21.6%21.6%18.0%
HV 60d21.8%20.1%23.9%23.9%20.8%
IV Rank36.0%24.0%46.4%40.4%34.7%
IV Percentile69.4%50.0%83.7%77.4%68.3%
Term Structure0.2%-0.8%1.4%-0.8%-0.1%
VWIV18.2%15.5%20.4%19.7%16.4%
Skew 25d3.3%2.1%4.1%4.1%3.8%
Skew 10d6.4%4.3%8.2%8.1%5.3%
Call IV 25d16.9%14.8%18.6%17.6%16.9%
Put IV 25d20.2%17.2%22.4%21.7%20.7%
Bid-Ask Spread %10.326.2417.0910.4011.88
Gamma HHI0.110.080.130.100.09
Net GEX-35.5M-77.0M20.0M20.0M10.2M
Net DEX1.02B394.2M1.61B455.8M509.0M
Net VEX-9.4M-10.3M-8.8M-10.3M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.222.121.231.29
Total Volume57,501.86428,429104,75849,22536,358
Total OI947,402.5790,9061,060,386907,013876,463

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$88.01$90.0018.9%5.6%21.6%40.4%19.7%4.1%-0.8%20.0M455.8M-10.3M1.2310.4022,06927,156480,266426,747
2015-03-03$87.64$90.0019.3%5.8%21.6%42.1%19.9%3.4%-0.8%14.2M528.2M-10.2M2.1211.4333,54171,217487,848438,931
2015-03-04$87.05$90.0018.8%5.5%19.2%39.8%19.6%3.3%-0.1%-37.0M809.3M-10.3M1.3917.0922,51431,362495,669467,424
2015-03-05$86.80$90.0017.9%5.1%15.7%34.6%17.6%3.5%-0.3%-61.7M946.3M-10.1M1.1410.0623,15826,467503,080476,919
2015-03-06$85.46$90.0018.6%5.4%16.2%38.7%18.7%3.5%0.2%-60.6M1.35B-9.3M1.378.8138,93553,466507,142479,825
2015-03-09$85.16$90.0019.1%5.5%15.5%41.2%19.9%3.7%0.2%-49.3M1.22B-9.1M1.808.2025,57546,141497,847459,609
2015-03-10$84.26$90.0019.7%5.6%15.6%44.4%19.9%3.9%0.2%-60.8M1.46B-9.1M0.778.4234,40526,473503,418472,162
2015-03-11$84.02$90.0020.1%5.6%15.5%46.4%19.7%3.8%-0.2%-62.8M1.51B-9.3M0.589.2719,74911,467514,676483,568
2015-03-12$84.22$90.0018.8%5.3%15.6%39.6%18.7%3.3%-0.2%-66.7M1.54B-9.0M0.548.2422,99212,365519,426486,436
2015-03-13$83.87$90.0018.9%5.3%15.6%40.2%20.4%3.7%-0.7%-77.0M1.61B-9.0M1.3812.7532,71345,163526,992489,311
2015-03-16$84.76$87.5018.8%5.4%14.2%39.5%19.3%3.5%0.1%-56.9M1.32B-9.1M0.666.2426,86817,697521,003485,528
2015-03-17$84.08$87.5018.4%5.3%12.9%37.5%18.8%3.6%0.3%-52.6M1.49B-8.8M0.448.1432,05714,084528,889490,940
2015-03-18$86.07$87.5018.1%5.2%16.5%35.9%18.2%3.1%0.0%-42.6M871.5M-9.6M0.6611.2741,61727,425547,953492,466
2015-03-19$84.41$87.5017.8%5.1%15.9%34.2%18.4%3.7%-0.2%-57.4M1.43B-9.2M1.508.2616,69924,991554,094501,394
2015-03-20$84.54$87.5017.0%4.8%15.4%30.1%16.8%3.0%0.2%-45.4M1.39B-9.0M0.8314.1447,59339,375559,856500,530
2015-03-23$85.43$87.5015.9%4.5%15.9%24.0%15.5%2.7%0.9%-14.0M545.4M-9.4M0.6114.2723,53414,287400,737390,169
2015-03-24$84.52$87.5016.2%4.6%15.8%25.7%16.2%2.4%1.3%-24.9M725.6M-9.1M0.2210.4964,91014,530413,165396,529
2015-03-25$84.86$87.5016.3%4.6%15.6%26.1%17.2%3.5%1.4%-4.6M613.8M-9.3M1.2511.0612,61215,817462,603396,496
2015-03-26$84.26$87.5017.0%4.8%15.4%30.1%17.3%2.1%1.0%-20.4M803.7M-9.1M0.917.9721,46619,520467,563399,509
2015-03-27$83.58$87.5017.7%4.9%15.5%33.6%16.6%2.4%0.8%-37.7M908.9M-9.1M1.189.6423,02727,136473,235403,061
2015-03-30$85.56$87.0017.5%4.6%18.0%32.7%16.2%2.3%1.2%7.2M394.2M-9.6M1.228.9234,44042,070463,288400,088
2015-03-31$85.04$86.0017.9%4.7%18.0%34.7%16.4%3.8%-0.1%10.2M509.0M-9.6M1.2911.8815,87720,481477,541398,922