XOM Options History — June 2015

In June 2015, XOM traded between $82.99 and $85.47. ATM implied volatility averaged 14.1%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.1% (HV 20d: 10.0%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-06-26: Highest Volume — 91,726 contracts
  • 2015-06-29: Largest IV spike — 14.0% change
  • 2015-06-29: Highest IV Rank — 26.3%
  • 2015-06-29: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.58$82.99$85.47$85.05$83.49
Max Pain$87.09$85.00$87.50$87.50$85.00
ATM IV14.1%12.5%16.3%14.9%16.1%
Expected Move4.1%3.5%4.7%4.5%4.5%
HV 20d10.0%7.8%12.9%12.9%10.2%
HV 60d14.1%12.6%15.5%15.5%12.7%
IV Rank14.3%5.4%26.3%18.6%24.8%
IV Percentile17.7%4.0%45.2%27.8%39.7%
Term Structure0.1%-0.5%0.9%-0.4%-0.1%
VWIV14.2%12.0%16.4%15.6%15.7%
Skew 25d2.7%2.3%3.3%2.8%2.8%
Skew 10d5.3%4.0%6.6%5.5%5.8%
Call IV 25d13.1%11.4%15.1%13.8%15.0%
Put IV 25d15.8%13.8%18.4%16.5%17.7%
Bid-Ask Spread %11.438.0419.248.9110.14
Gamma HHI0.110.080.280.110.08
Net GEX-19.8M-79.3M125.9M-23.6M-19.0M
Net DEX672.7M348.3M944.9M643.2M773.1M
Net VEX-8.0M-8.5M-7.4M-8.3M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.572.001.550.81
Total Volume54,65420,69091,72642,38354,957
Total OI869,763.045771,138917,436835,696893,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$85.05$87.5014.9%4.5%12.9%18.6%15.6%2.8%-0.4%-23.6M643.2M-8.3M1.558.9116,59825,785434,864400,832
2015-06-02$85.14$87.5014.9%4.5%12.7%18.7%15.3%2.7%-0.3%-24.3M619.9M-8.4M0.9611.6710,53810,152438,371410,592
2015-06-03$84.93$87.5015.1%4.7%12.7%19.8%16.3%3.0%-0.4%-29.6M697.7M-8.5M1.4912.3717,28325,776443,923415,342
2015-06-04$84.19$87.5015.5%4.2%12.8%21.9%15.0%2.8%-0.5%-56.7M910.4M-8.3M1.1310.4023,62726,665448,808423,935
2015-06-05$84.32$87.5014.3%4.0%12.8%15.2%14.8%2.5%-0.1%-79.3M894.5M-8.0M1.0412.8028,40529,515453,216428,777
2015-06-08$84.97$87.5014.1%4.1%11.5%14.2%14.4%2.3%0.2%-30.2M659.7M-8.1M0.9510.4336,02234,141441,893409,331
2015-06-09$84.60$87.5014.4%4.1%7.8%15.8%14.5%2.8%0.1%-27.6M703.8M-8.2M0.9011.1623,79421,336458,191416,378
2015-06-10$85.22$87.5013.7%4.0%8.3%11.9%13.9%2.5%0.2%-2.1M523.0M-8.2M0.8214.6025,21620,750467,196419,129
2015-06-11$84.92$87.5013.3%3.8%8.1%9.7%13.6%2.8%0.4%-4.8M620.2M-8.2M1.4510.4818,71527,107474,383421,457
2015-06-12$84.08$87.5013.9%3.9%8.5%13.1%14.2%2.8%-0.4%-71.2M882.2M-7.7M1.208.6426,74632,125478,095417,414
2015-06-15$83.76$87.5014.1%4.0%8.2%14.3%15.0%3.2%0.5%-36.6M944.9M-7.4M0.8111.3532,06925,910469,191408,382
2015-06-16$84.62$87.5013.9%4.0%9.2%13.2%14.0%2.7%0.6%-16.4M677.4M-8.1M1.258.0418,76423,544477,145414,018
2015-06-17$84.73$87.5013.7%3.9%9.2%12.1%13.9%2.4%0.2%-14.1M627.7M-8.0M0.9813.2619,18218,877481,283415,313
2015-06-18$85.47$87.5013.0%3.7%9.8%8.3%13.0%2.5%-0.3%27.4M348.3M-7.8M0.999.6128,96428,803485,264417,242
2015-06-19$85.37$87.5012.5%3.6%9.8%5.5%12.5%2.3%0.0%125.9M358.1M-7.6M1.4310.0030,84544,192494,886422,550
2015-06-22$85.10$87.5012.5%3.5%9.6%5.4%12.0%2.7%0.9%2.9M399.5M-7.6M2.0013.1123,02546,005411,335359,803
2015-06-23$85.07$87.5012.9%3.7%8.6%7.7%13.3%2.5%0.7%4.5M453.7M-7.7M1.4811.7526,75239,564422,962390,023
2015-06-24$84.83$87.5012.8%3.6%8.5%7.2%12.3%2.6%0.4%-18.2M556.2M-7.8M0.6019.2436,97922,183432,954409,675
2015-06-25$84.02$85.5014.2%4.1%9.2%14.8%13.9%2.9%0.4%-49.8M773.4M-7.7M0.8812.8223,47520,586448,203418,561
2015-06-26$83.92$85.5014.3%4.0%9.1%15.5%13.4%3.1%0.2%-67.3M828.3M-7.8M0.5710.0958,60533,121454,718423,255
2015-06-29$82.99$85.0016.3%4.7%9.9%26.3%16.4%3.3%-0.3%-25.3M903.4M-7.7M1.1310.6330,84734,843471,260411,547
2015-06-30$83.49$85.0016.1%4.5%10.2%24.8%15.7%2.8%-0.1%-19.0M773.1M-8.0M0.8110.1430,37024,587476,649416,441