XOM Options History — August 2015

In August 2015, XOM traded between $69.32 and $78.82. ATM implied volatility averaged 23.6%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 6.1% (HV 20d: 29.7%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2015-08-19: Highest Volume — 248,042 contracts
2015-08-24: Largest IV spike — 35.1% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-24: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.97	$69.32	$78.82	$78.06	$75.48
Max Pain	$80.36	$80.00	$82.50	$82.50	$80.00
ATM IV	23.6%	18.3%	37.4%	21.4%	27.3%
Expected Move	7.0%	5.2%	11.1%	6.4%	8.6%
HV 20d	29.7%	25.1%	36.9%	25.1%	33.4%
HV 60d	19.6%	16.5%	24.7%	17.4%	24.7%
IV Rank	56.7%	37.1%	100.0%	53.8%	60.8%
IV Percentile	83.9%	61.5%	100.0%	87.3%	94.8%
Term Structure	-0.0%	-1.6%	5.3%	-0.3%	-0.2%
VWIV	24.1%	17.7%	35.1%	22.8%	32.2%
Skew 25d	5.6%	2.9%	10.6%	3.3%	9.4%
Skew 10d	10.9%	4.6%	21.3%	6.4%	20.1%
Call IV 25d	21.6%	16.7%	33.0%	20.2%	24.1%
Put IV 25d	27.2%	19.9%	43.5%	23.4%	33.5%
Bid-Ask Spread %	20.05	8.23	53.08	10.11	49.13
Gamma HHI	0.08	0.06	0.13	0.07	0.06
Net GEX	-30.3M	-94.9M	10.7M	-58.5M	-11.6M
Net DEX	1.77B	1.21B	2.65B	1.69B	1.43B
Net VEX	-8.6M	-10.2M	-7.7M	-7.8M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.51	3.81	1.11	0.99
Total Volume	105,752.095	40,663	248,042	89,954	108,081
Total OI	1,143,488.333	1,004,745	1,270,533	1,004,745	1,197,652

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
2015-08-03	$78.06	$82.50	21.4%	6.4%	25.1%	53.8%	22.8%	3.3%	-0.3%	-58.5M	1.69B	-7.8M	1.11	10.11	42,615	47,339	480,757	523,988
2015-08-04	$77.05	$82.50	19.7%	5.8%	25.1%	44.2%	19.8%	3.3%	-0.4%	-70.7M	1.99B	-7.7M	0.58	12.73	64,947	37,452	493,424	551,125
2015-08-05	$77.11	$82.50	18.8%	5.6%	25.1%	39.6%	19.6%	3.3%	-0.2%	-60.6M	1.94B	-7.8M	0.93	13.26	57,635	53,580	518,922	558,697
2015-08-06	$78.14	$80.00	19.0%	5.6%	25.8%	40.7%	18.7%	2.9%	0.3%	-45.4M	1.65B	-8.4M	1.02	12.36	41,028	41,789	537,537	580,879
2015-08-07	$76.80	$80.00	19.6%	5.6%	26.1%	44.1%	19.3%	3.8%	-0.2%	-94.9M	2.02B	-8.0M	1.14	11.53	34,245	39,073	545,685	598,462
2015-08-10	$78.72	$80.00	18.7%	5.4%	27.9%	39.0%	17.7%	3.3%	1.6%	-20.8M	1.55B	-8.3M	0.53	12.29	80,087	42,137	529,334	566,368
2015-08-11	$77.49	$80.00	19.7%	5.7%	28.0%	44.4%	19.1%	4.6%	-0.4%	-26.2M	1.67B	-8.5M	0.51	11.53	33,863	17,107	540,233	571,717
2015-08-12	$78.79	$80.00	19.6%	5.2%	28.9%	43.9%	19.2%	3.7%	-0.9%	-2.0M	1.24B	-9.0M	0.64	9.76	37,027	23,550	556,303	581,430
2015-08-13	$78.82	$80.00	18.8%	5.3%	28.9%	39.4%	18.8%	3.8%	-0.4%	8.4M	1.21B	-9.0M	0.86	10.53	35,721	30,862	565,215	584,633
2015-08-14	$78.30	$80.00	19.1%	5.7%	28.9%	41.0%	19.0%	4.0%	1.6%	8.6M	1.42B	-8.9M	0.60	8.83	37,850	22,837	571,875	592,517
2015-08-17	$78.81	$80.00	18.3%	5.2%	28.9%	37.1%	18.9%	4.0%	0.7%	10.7M	1.28B	-8.8M	0.87	9.84	21,761	18,902	558,326	577,127
2015-08-18	$77.94	$80.00	19.8%	5.7%	29.1%	45.1%	19.7%	4.2%	-0.0%	1.1M	1.53B	-8.2M	1.17	10.55	29,257	34,274	563,769	580,603
2015-08-19	$76.23	$80.00	22.8%	6.5%	29.9%	61.3%	22.2%	4.4%	-1.1%	-37.4M	1.98B	-8.2M	3.81	9.41	51,529	196,513	566,737	590,113
2015-08-20	$74.67	$80.00	23.8%	6.8%	30.5%	66.9%	23.9%	4.8%	-0.7%	-60.9M	2.27B	-8.3M	0.73	8.23	52,681	38,658	583,223	644,466
2015-08-21	$72.38	$80.00	27.7%	8.0%	31.8%	87.5%	27.6%	6.5%	-1.6%	-70.1M	2.65B	-8.1M	0.65	10.21	98,616	64,068	599,298	671,235
2015-08-24	$69.32	$80.00	37.4%	11.1%	34.6%	100.0%	35.1%	10.6%	-0.6%	-27.3M	2.25B	-8.1M	1.54	9.31	91,194	140,768	489,747	570,345
2015-08-25	$69.44	$80.00	34.7%	10.3%	30.0%	89.6%	35.0%	9.2%	5.3%	-26.5M	2.40B	-8.2M	0.67	51.97	72,002	48,110	516,466	608,914
2015-08-26	$72.43	$80.00	31.1%	9.6%	34.7%	76.0%	34.2%	10.5%	-0.7%	-22.0M	2.01B	-9.2M	0.92	53.08	67,129	61,995	545,173	633,315
2015-08-27	$74.58	$80.00	29.7%	9.0%	36.9%	70.3%	32.9%	8.2%	-1.4%	-18.9M	1.60B	-10.0M	1.02	46.48	57,924	58,850	563,821	655,359
2015-08-28	$74.84	$80.00	28.6%	8.9%	33.5%	65.9%	30.8%	9.5%	-1.3%	-10.5M	1.49B	-10.2M	0.96	49.87	44,704	43,034	578,487	669,978
2015-08-31	$75.48	$80.00	27.3%	8.6%	33.4%	60.8%	32.2%	9.4%	-0.2%	-11.6M	1.43B	-10.0M	0.99	49.13	54,256	53,825	549,470	648,182