XOM Options History — September 2015

In September 2015, XOM traded between $71.91 and $74.35. ATM implied volatility averaged 26.5%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 7.8% (HV 20d: 34.3%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2015-09-17: Highest Volume — 131,986 contracts
2015-09-18: Largest IV spike — 15.0% change
2015-09-01: Highest IV Rank — 82.9%
2015-09-01: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.01	$71.91	$74.35	$71.91	$74.29
Max Pain	$80.00	$77.50	$82.50	$80.00	$77.50
ATM IV	26.5%	22.7%	33.0%	33.0%	23.3%
Expected Move	7.7%	6.5%	10.2%	10.2%	6.9%
HV 20d	34.3%	26.3%	37.8%	37.1%	27.0%
HV 60d	27.5%	26.4%	28.2%	26.4%	28.2%
IV Rank	56.5%	41.0%	82.9%	82.9%	43.3%
IV Percentile	89.1%	78.6%	99.2%	99.2%	78.6%
Term Structure	0.1%	-1.0%	1.5%	-0.9%	0.9%
VWIV	26.1%	21.8%	35.6%	35.6%	24.5%
Skew 25d	8.1%	6.5%	10.2%	10.0%	7.4%
Skew 10d	16.3%	12.5%	18.9%	15.0%	18.4%
Call IV 25d	23.6%	20.9%	28.8%	28.8%	21.8%
Put IV 25d	31.7%	27.4%	38.8%	38.8%	29.2%
Bid-Ask Spread %	9.95	6.83	15.00	9.56	12.96
Gamma HHI	0.10	0.07	0.19	0.09	0.13
Net GEX	1.4M	-43.0M	67.9M	-24.2M	67.9M
Net DEX	1.77B	1.01B	2.22B	2.16B	1.01B
Net VEX	-8.8M	-9.6M	-8.3M	-9.2M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.31	1.44	1.07	0.33
Total Volume	75,399.55	41,052	131,986	75,701	68,691
Total OI	1,234,848.35	1,127,490	1,296,536	1,228,003	1,247,771

Daily Data (20 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
2015-09-01	$71.91	$80.00	33.0%	10.2%	37.1%	82.9%	35.6%	10.0%	-0.9%	-24.2M	2.16B	-9.2M	1.07	9.56	36,564	39,137	563,648	664,355
2015-09-02	$73.11	$80.00	29.5%	9.0%	37.8%	68.3%	31.6%	8.4%	-0.1%	-20.4M	1.96B	-9.5M	1.19	8.72	28,972	34,441	569,964	670,937
2015-09-03	$73.91	$82.50	27.2%	7.5%	37.7%	59.3%	28.7%	9.8%	-0.3%	-16.0M	1.84B	-9.6M	1.05	15.00	31,338	32,818	574,461	677,207
2015-09-04	$72.76	$82.50	29.0%	8.3%	37.6%	66.2%	28.3%	9.0%	-0.4%	-32.7M	2.06B	-9.3M	1.25	13.91	31,388	39,336	582,911	683,853
2015-09-08	$73.50	$82.50	26.9%	7.9%	36.5%	58.1%	25.7%	9.2%	0.3%	-10.5M	1.98B	-9.0M	0.55	8.88	26,433	14,619	554,098	659,145
2015-09-09	$71.92	$82.50	28.9%	8.0%	36.9%	65.9%	29.0%	10.2%	-0.0%	-17.9M	2.22B	-8.4M	1.44	9.23	27,144	39,036	564,421	662,686
2015-09-10	$72.44	$80.00	28.1%	8.0%	36.3%	62.7%	26.2%	9.3%	-0.4%	-18.1M	2.05B	-8.4M	0.80	9.60	41,658	33,415	570,734	653,354
2015-09-11	$72.49	$82.50	27.8%	7.9%	36.3%	61.4%	26.2%	8.0%	-0.6%	-15.1M	2.15B	-8.6M	0.96	7.10	25,604	24,492	586,034	680,995
2015-09-14	$72.42	$82.50	27.8%	8.0%	36.3%	61.6%	26.6%	8.2%	0.5%	-10.4M	2.10B	-8.4M	0.91	7.00	26,129	23,897	564,596	658,392
2015-09-15	$72.86	$82.50	25.9%	7.4%	36.3%	54.0%	23.3%	7.5%	-0.8%	-3.6M	2.03B	-8.4M	0.39	6.83	39,277	15,447	571,615	666,591
2015-09-16	$74.27	$80.00	23.3%	6.7%	37.1%	43.5%	24.1%	7.4%	0.7%	16.8M	1.66B	-8.4M	0.81	7.45	48,966	39,656	592,720	669,786
2015-09-17	$74.35	$80.00	22.7%	6.5%	36.4%	41.0%	22.7%	6.5%	-1.0%	20.7M	1.64B	-8.7M	1.19	7.99	60,279	71,707	613,420	683,116
2015-09-18	$72.49	$80.00	26.1%	7.5%	36.7%	54.6%	25.2%	7.1%	-0.8%	-43.0M	1.91B	-8.3M	1.02	7.14	50,451	51,628	630,807	663,723
2015-09-21	$73.45	$77.50	23.4%	6.8%	35.3%	43.9%	21.8%	6.6%	1.2%	12.6M	1.45B	-8.3M	0.47	10.21	77,765	36,917	548,828	578,662
2015-09-23	$72.42	$77.50	24.9%	7.1%	31.9%	50.1%	22.5%	7.0%	1.5%	12.7M	1.44B	-8.5M	0.31	11.18	67,887	20,796	599,969	582,275
2015-09-24	$72.80	$77.50	24.8%	7.2%	31.9%	49.4%	24.9%	7.0%	0.3%	22.3M	1.42B	-8.7M	0.61	12.13	57,171	34,791	619,425	605,652
2015-09-25	$73.22	$77.50	24.4%	7.0%	28.3%	48.1%	23.8%	6.6%	0.8%	36.9M	1.32B	-9.0M	0.67	10.06	45,922	30,797	631,217	606,506
2015-09-28	$72.66	$77.50	27.1%	8.1%	26.3%	58.8%	25.3%	8.2%	-0.1%	22.8M	1.50B	-8.9M	0.34	14.34	63,796	21,876	610,893	600,906
2015-09-29	$72.94	$77.50	26.5%	7.9%	26.3%	56.5%	26.9%	8.3%	0.5%	28.2M	1.39B	-8.8M	0.38	9.62	34,509	13,241	623,982	607,312
2015-09-30	$74.29	$77.50	23.3%	6.9%	27.0%	43.3%	24.5%	7.4%	0.9%	67.9M	1.01B	-9.2M	0.33	12.96	51,532	17,159	638,902	608,869