XOM Options History — May 2015

In May 2015, XOM traded between $85.16 and $89.11. ATM implied volatility averaged 15.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.5% (HV 20d: 14.3%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-05-08: Highest Volume — 121,603 contracts
  • 2015-05-14: Largest IV drop — 7.3% change
  • 2015-05-07: Highest IV Rank — 31.6%
  • 2015-05-06: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.08$85.16$89.11$88.72$85.24
Max Pain$87.38$85.00$87.50$87.50$87.50
ATM IV15.8%14.5%17.3%15.5%14.9%
Expected Move4.6%4.2%4.9%4.8%4.4%
HV 20d14.3%12.6%16.4%14.7%14.3%
HV 60d16.1%15.4%17.3%16.4%15.5%
IV Rank23.6%16.6%31.6%21.6%18.3%
IV Percentile39.6%22.6%55.6%39.3%27.0%
Term Structure-0.1%-0.6%0.6%0.6%-0.2%
VWIV16.1%14.2%19.0%16.8%14.8%
Skew 25d2.4%1.5%3.1%1.7%2.2%
Skew 10d4.5%1.8%6.1%2.3%5.3%
Call IV 25d14.9%13.5%16.8%14.7%14.0%
Put IV 25d17.4%16.1%19.0%16.5%16.2%
Bid-Ask Spread %10.768.4314.0811.979.58
Gamma HHI0.140.090.240.220.12
Net GEX33.5M-60.7M135.2M127.6M-17.4M
Net DEX68.1M-746.9M623.2M-746.9M587.1M
Net VEX-9.4M-10.3M-8.5M-10.3M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.261.780.581.78
Total Volume56,359.335,139121,60353,98057,620
Total OI847,649.75743,366926,245926,245845,766

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$88.72$87.5015.5%4.8%14.7%21.6%16.8%1.7%0.6%127.6M-746.9M-10.3M0.5811.9734,24119,739516,018410,227
2015-05-04$89.11$85.0016.3%4.6%14.4%25.9%16.9%2.3%0.0%130.1M-604.0M-10.0M0.619.9330,75818,878475,381380,096
2015-05-05$88.72$87.5016.5%4.8%14.5%27.0%16.5%2.0%-0.2%135.2M-524.9M-10.1M0.659.7935,86223,254483,737387,769
2015-05-06$88.06$87.5017.3%4.9%12.6%31.6%17.3%1.5%-0.1%90.7M-303.0M-9.8M0.9411.6321,84520,443491,589396,605
2015-05-07$87.58$87.5017.3%4.9%12.8%31.6%17.5%2.1%0.1%69.7M-97.3M-9.6M0.9611.4122,57821,657494,960404,035
2015-05-08$88.99$87.5016.2%4.5%13.3%25.6%19.0%2.0%-0.1%61.4M-416.4M-10.2M0.2611.0896,15525,448499,370412,282
2015-05-11$86.78$87.5016.9%4.8%16.4%29.2%16.5%3.1%0.0%4.2M274.0M-9.7M0.8514.0822,40719,041460,676400,312
2015-05-12$87.07$87.5017.1%4.8%15.8%30.7%17.5%2.8%-0.2%12.7M169.5M-9.7M0.628.9536,57122,545471,342405,238
2015-05-13$86.57$87.5016.8%4.7%14.7%28.9%17.3%3.1%-0.6%-16.5M336.7M-9.4M0.599.9137,00921,962479,509410,758
2015-05-14$86.88$87.5015.6%4.4%14.7%22.3%15.9%2.9%-0.1%-10.8M289.2M-9.4M0.7110.2233,27323,579484,275412,795
2015-05-15$87.31$87.5015.4%4.5%14.3%21.4%15.5%2.6%0.3%-60.7M169.0M-9.5M0.408.4354,82722,201487,684417,790
2015-05-18$86.85$87.5015.0%4.3%14.3%19.1%15.0%2.7%-0.3%33.0M147.7M-9.3M0.5012.1628,70514,461401,762341,604
2015-05-19$86.99$87.5015.4%4.4%14.2%21.2%15.2%2.5%0.1%36.3M106.1M-9.5M1.0511.9520,02020,982408,442348,664
2015-05-20$87.16$87.5015.1%4.3%14.2%19.5%15.1%2.4%-0.3%47.8M8.4M-9.5M0.5810.0622,24612,893419,339361,611
2015-05-21$87.12$87.5014.7%4.2%14.1%17.3%15.1%2.6%-0.2%49.2M26.8M-9.5M0.7911.2930,12623,672422,838364,351
2015-05-22$86.57$87.5014.5%4.2%14.1%16.6%14.2%2.6%-0.3%21.7M235.6M-9.2M0.719.7031,45322,376434,087376,435
2015-05-26$85.50$87.5015.5%4.5%14.7%21.7%15.4%2.4%-0.4%734.5K483.3M-8.6M0.7310.8338,45428,017426,479369,743
2015-05-27$85.16$87.5015.7%4.6%14.4%22.7%15.8%2.6%-0.4%-15.5M598.2M-8.5M0.9810.5933,11732,425432,667380,391
2015-05-28$85.19$87.5015.3%4.5%14.4%20.5%15.2%2.3%-0.1%-29.7M623.2M-8.5M0.6111.7228,73317,613437,937398,431
2015-05-29$85.24$87.5014.9%4.4%14.3%18.3%14.8%2.2%-0.2%-17.4M587.1M-8.5M1.789.5820,71136,909445,094400,672