XOM Options History — July 2015

In July 2015, XOM traded between $79.18 and $83.24. ATM implied volatility averaged 18.0%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.8% (HV 20d: 13.2%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-07-31: Highest Volume — 225,878 contracts
  • 2015-07-31: Largest IV spike — 16.2% change
  • 2015-07-27: Highest IV Rank — 60.4%
  • 2015-07-27: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.02$79.18$83.24$82.36$79.18
Max Pain$84.20$82.50$85.00$85.00$82.50
ATM IV18.0%15.5%22.6%16.9%20.9%
Expected Move5.2%4.3%6.9%4.8%6.2%
HV 20d13.2%10.7%24.9%11.1%24.9%
HV 60d12.5%11.6%17.2%12.9%17.2%
IV Rank35.3%21.6%60.4%29.6%50.9%
IV Percentile59.7%30.6%88.9%50.0%85.3%
Term Structure-0.2%-1.3%0.8%-0.0%-0.5%
VWIV18.2%14.6%24.3%16.7%21.4%
Skew 25d3.7%2.9%4.7%3.4%3.5%
Skew 10d6.8%3.1%10.5%6.5%6.6%
Call IV 25d16.5%13.5%21.2%15.6%19.6%
Put IV 25d20.2%16.6%25.3%19.0%23.2%
Bid-Ask Spread %12.058.1019.769.3312.56
Gamma HHI0.110.080.440.090.09
Net GEX-25.7M-165.2M17.0M-36.0M-59.5M
Net DEX960.8M330.7M1.73B1.05B1.73B
Net VEX-8.0M-9.3M-7.3M-7.6M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.376.200.781.60
Total Volume81,881.04546,395225,87850,733225,878
Total OI949,067.455803,2831,089,700904,6471,039,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$82.36$85.0016.9%4.8%11.1%29.6%16.7%3.4%-0.0%-36.0M1.05B-7.6M0.789.3328,44522,288486,875417,772
2015-07-02$83.24$85.0016.4%4.6%11.6%26.4%16.0%3.0%0.2%-9.2M805.0M-8.0M0.668.6140,74626,687495,704422,772
2015-07-06$82.42$85.0017.6%5.1%12.0%32.9%17.3%3.5%0.3%-21.3M940.0M-7.5M1.108.1033,78237,314490,131415,009
2015-07-07$82.87$85.0017.2%5.0%11.8%30.9%16.3%3.9%0.0%-10.8M844.4M-8.0M0.8111.0459,30447,938497,619435,511
2015-07-08$82.17$85.0018.1%5.3%12.0%36.1%19.2%3.3%0.8%-22.8M1.03B-8.0M1.1511.2324,12327,824518,559457,318
2015-07-09$81.80$85.0018.0%5.2%11.6%35.5%18.6%3.8%0.5%-37.9M1.11B-8.1M0.7911.2825,84920,546522,593464,462
2015-07-10$82.34$85.0016.7%4.9%12.0%28.0%17.0%4.2%0.5%-21.1M1.02B-7.7M1.0511.6233,24234,854530,636463,842
2015-07-13$82.48$85.0016.4%4.6%11.6%26.7%15.7%3.5%-1.1%-18.3M975.5M-7.5M0.868.7529,98525,797525,496452,976
2015-07-14$83.10$85.0015.5%4.3%11.9%21.6%15.1%3.1%0.5%12.5M781.1M-7.4M0.5910.4644,03925,797533,104455,648
2015-07-15$82.77$85.0016.1%4.4%11.3%24.8%14.6%2.9%-0.1%-6.7M880.4M-7.5M1.819.3220,33636,770535,547459,831
2015-07-16$82.90$85.0015.6%4.5%11.3%22.2%15.6%3.8%0.2%-240.9K967.4M-7.3M6.2012.1222,724140,815540,885478,909
2015-07-17$82.61$85.0016.0%4.5%10.7%24.7%16.0%3.2%-0.6%-165.2M1.33B-7.7M1.538.5836,83156,196549,270540,430
2015-07-20$81.69$85.0017.8%5.0%11.2%34.1%16.5%3.8%-0.9%-32.7M992.4M-7.5M0.3919.7658,15822,574388,462414,821
2015-07-21$81.63$83.5017.8%5.1%11.2%34.2%17.2%3.0%-0.7%-21.2M887.3M-8.3M0.3717.5147,30617,470425,746425,187
2015-07-22$81.75$83.5018.3%5.2%11.3%36.7%18.0%3.1%-0.9%-13.1M831.7M-8.4M1.0414.4627,16028,289444,210428,317
2015-07-23$81.07$83.5019.5%5.6%11.5%43.6%19.4%4.3%-0.9%-36.2M1.08B-8.2M1.0512.3332,67634,207452,715440,639
2015-07-24$80.01$83.5022.5%6.6%11.9%59.7%23.4%4.0%-1.3%-45.1M1.29B-8.4M0.8513.4947,20140,234463,802461,687
2015-07-27$79.27$83.5022.6%6.9%12.1%60.4%24.3%3.9%-0.7%-48.8M1.38B-8.2M0.7415.4137,26127,747447,684467,079
2015-07-28$82.56$82.5020.2%6.0%19.3%47.1%21.5%4.5%0.0%-2.9M542.0M-9.1M0.6513.3451,44433,300459,285478,906
2015-07-29$83.10$82.5017.9%5.4%19.3%34.8%20.4%4.7%-0.3%13.1M355.6M-9.1M0.6511.0140,11025,939475,455489,983
2015-07-30$83.05$82.5018.0%5.6%18.6%35.1%20.4%4.5%-0.4%17.0M330.7M-9.3M2.1314.7832,69469,503488,999496,179
2015-07-31$79.18$82.5020.9%6.2%24.9%50.9%21.4%3.5%-0.5%-59.5M1.73B-8.2M1.6012.5686,745139,133500,438538,991