XOM Options History — April 2015 In April 2015, XOM traded between $84.06 and $88.02. ATM implied volatility averaged 17.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 17.5%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2015-04-13 : Highest Volume — 139,124 contracts2015-04-16 : Largest IV drop — 7.6% change2015-04-13 : Highest IV Rank — 40.5%2015-04-28 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $86.41 $84.06 $88.02 $84.31 $87.37 Max Pain $86.48 $85.00 $87.50 $86.00 $87.50 ATM IV 17.7% 16.1% 19.0% 18.3% 16.1% Expected Move 5.3% 4.8% 5.6% 4.8% 5.2% HV 20d 17.5% 13.9% 20.0% 18.1% 13.9% HV 60d 19.6% 17.1% 20.9% 20.9% 17.1% IV Rank 33.5% 25.0% 40.5% 36.7% 25.0% IV Percentile 61.9% 44.4% 76.2% 68.7% 44.4% Term Structure -0.2% -1.1% 1.0% 0.4% 0.7% VWIV 18.4% 17.0% 19.6% 17.0% 18.1% Skew 25d 2.5% 1.3% 4.4% 2.6% 2.1% Skew 10d 5.3% 2.5% 12.7% 4.4% 3.0% Call IV 25d 16.6% 15.4% 18.0% 17.7% 15.4% Put IV 25d 19.1% 17.5% 20.4% 20.4% 17.5% Bid-Ask Spread % 12.72 8.77 23.56 11.15 14.06 Gamma HHI 0.12 0.08 0.18 0.09 0.12 Net GEX 50.5M -39.7M 161.9M -11.7M 80.2M Net DEX 82.6M -606.4M 818.8M 691.3M -211.2M Net VEX -9.6M -10.1M -8.9M -9.4M -9.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.30 1.81 0.75 0.70 Total Volume 65,260.571 34,602 139,124 43,260 80,639 Total OI 909,073.857 782,945 1,075,456 884,830 903,382
Daily Data (21 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 2015-04-01 $84.31 $86.00 18.3% 4.8% 18.1% 36.7% 17.0% 2.6% 0.4% -11.7M 691.3M -9.4M 0.75 11.15 24,758 18,502 480,774 404,056 2015-04-02 $84.38 $85.00 18.0% 5.3% 18.1% 35.2% 19.4% 3.6% 0.2% -9.8M 682.0M -9.3M 1.81 10.21 25,217 45,713 488,035 404,518 2015-04-06 $85.18 $85.00 18.0% 5.3% 17.7% 35.5% 18.9% 2.6% -0.1% -4.4M 465.2M -9.3M 0.78 10.65 24,066 18,886 474,663 419,383 2015-04-07 $85.76 $85.00 17.5% 5.2% 17.8% 32.6% 18.5% 2.8% 0.7% 17.7M 350.6M -9.4M 0.71 10.29 21,592 15,379 484,334 423,921 2015-04-08 $84.06 $85.00 17.8% 5.1% 18.9% 34.0% 18.3% 2.3% -0.3% -39.7M 818.8M -8.9M 0.79 9.39 26,167 20,617 490,236 427,258 2015-04-09 $84.59 $85.00 17.6% 5.0% 19.0% 32.9% 18.0% 4.4% -0.4% -29.1M 674.8M -9.1M 0.91 10.20 30,982 28,284 497,761 435,033 2015-04-10 $85.56 $85.00 17.8% 5.2% 19.4% 34.1% 18.4% 1.3% 1.0% 65.7M 335.4M -9.3M 0.57 11.04 42,847 24,535 504,794 444,621 2015-04-13 $85.41 $85.00 19.0% 5.5% 19.3% 40.5% 17.6% 2.6% -0.9% -16.9M 457.6M -9.0M 0.47 10.73 94,408 44,716 496,298 442,676 2015-04-14 $86.55 $85.00 18.6% 5.4% 19.5% 38.8% 19.2% 1.8% -0.6% 75.6M -62.8M -9.5M 0.71 8.77 68,053 48,212 558,604 454,184 2015-04-15 $88.02 $87.50 18.8% 5.4% 20.0% 39.8% 18.4% 2.2% -1.1% 148.5M -606.4M -10.0M 0.66 10.26 46,869 31,070 578,923 467,761 2015-04-16 $87.81 $87.50 17.4% 5.0% 18.4% 32.0% 17.4% 1.6% -0.8% 161.9M -541.5M -9.6M 0.56 12.00 47,315 26,628 585,439 474,401 2015-04-17 $86.81 $87.50 18.0% 5.2% 17.4% 35.4% 18.7% 2.1% -0.7% 44.7M -15.6M -9.7M 0.62 9.94 56,709 35,369 594,876 480,580 2015-04-20 $87.23 $87.50 17.6% 5.3% 17.5% 33.3% 17.8% 2.9% -0.8% 57.5M -91.0M -9.8M 0.30 15.21 51,412 15,422 423,985 358,960 2015-04-21 $86.97 $87.50 17.8% 5.3% 17.2% 34.3% 18.3% 2.1% -0.7% 60.9M -121.9M -9.8M 0.78 16.72 20,190 15,722 453,545 364,449 2015-04-22 $87.40 $87.50 17.6% 5.4% 16.7% 33.3% 18.8% 2.6% -0.8% 78.5M -192.7M -10.1M 0.60 12.04 21,564 13,038 460,304 368,773 2015-04-23 $87.61 $87.50 17.2% 5.2% 16.7% 30.8% 18.2% 2.7% -0.7% 87.5M -257.5M -10.1M 0.97 13.71 25,846 24,981 464,850 372,978 2015-04-24 $87.00 $87.50 17.3% 5.2% 16.7% 31.4% 18.2% 2.6% -0.5% 66.7M -27.0M -10.0M 0.72 11.76 24,148 17,371 470,575 382,872 2015-04-27 $87.06 $87.50 17.0% 5.4% 16.3% 30.1% 18.9% 2.5% 0.1% 57.4M -32.2M -9.8M 0.80 20.49 23,310 18,577 460,147 371,759 2015-04-28 $87.71 $87.50 17.3% 5.6% 14.4% 31.3% 19.6% 3.0% -0.0% 74.4M -216.6M -10.0M 0.44 14.96 50,514 22,087 467,401 380,456 2015-04-29 $87.88 $87.50 16.3% 5.5% 14.1% 26.1% 19.6% 1.8% 0.3% 94.7M -365.3M -9.9M 0.50 23.56 52,502 26,255 483,973 389,013 2015-04-30 $87.37 $87.50 16.1% 5.2% 13.9% 25.0% 18.1% 2.1% 0.7% 80.2M -211.2M -9.7M 0.70 14.06 47,451 33,188 506,965 396,417
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