XOM Options History — October 2015

In October 2015, XOM traded between $73.61 and $83.06. ATM implied volatility averaged 22.7%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.7% (HV 20d: 20.9%). Max pain ranged from $70.00 to $77.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-10-14: Highest Volume — 248,786 contracts
  • 2015-10-30: Largest IV drop — 21.2% change
  • 2015-10-01: Highest IV Rank — 53.8%
  • 2015-10-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.10$73.61$83.06$73.61$83.06
Max Pain$74.32$70.00$77.50$77.50$75.00
ATM IV22.7%18.6%25.9%25.9%18.6%
Expected Move6.5%5.7%7.3%7.3%5.7%
HV 20d20.9%18.4%22.6%20.6%20.1%
HV 60d29.1%27.7%29.9%28.2%27.8%
IV Rank40.9%24.8%53.8%53.8%24.8%
IV Percentile75.8%49.2%86.1%86.1%49.2%
Term Structure-0.6%-1.9%0.7%-0.3%0.6%
VWIV23.6%20.6%28.6%25.9%21.2%
Skew 25d4.5%3.2%6.8%6.8%4.2%
Skew 10d9.3%6.1%13.1%12.1%6.9%
Call IV 25d20.8%17.1%23.1%23.1%17.1%
Put IV 25d25.3%21.3%29.9%29.9%21.3%
Bid-Ask Spread %17.289.6641.7812.3334.64
Gamma HHI0.140.090.580.120.12
Net GEX78.7M11.7M279.9M60.8M67.7M
Net DEX-437.6M-1.33B1.18B1.18B-944.5M
Net VEX-10.1M-10.8M-9.3M-9.3M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.192.670.491.40
Total Volume100,14155,180248,78662,619112,669
Total OI1,306,154.51,134,7881,529,3711,263,5841,331,835

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$73.61$77.5025.9%7.3%20.6%53.8%25.9%6.8%-0.3%60.8M1.18B-9.3M0.4912.3342,03420,585651,761611,823
2015-10-02$75.69$77.5024.7%6.6%22.1%49.1%23.6%5.7%-0.1%93.8M475.0M-9.7M0.2917.60118,74135,021653,674623,233
2015-10-05$76.81$70.0023.4%6.7%22.4%43.7%24.3%5.7%0.7%104.8M141.5M-10.1M0.3710.2769,71126,138684,526621,106
2015-10-06$78.00$70.0023.0%6.7%21.8%42.4%22.4%5.1%0.5%95.9M-297.2M-9.8M0.1910.71150,52728,159679,648632,645
2015-10-07$78.99$72.5021.9%6.2%21.9%37.7%23.1%4.2%0.6%110.2M-692.8M-10.0M0.5411.4358,20731,552721,270644,306
2015-10-08$79.93$72.5022.0%6.3%19.9%38.2%22.0%3.6%0.7%109.9M-1.08B-9.8M0.6012.9552,55131,789726,792651,593
2015-10-09$79.11$72.5022.8%6.3%20.7%41.3%25.2%4.2%0.2%112.5M-677.2M-9.9M0.4613.9868,44931,592731,079659,738
2015-10-12$79.22$72.5022.1%6.0%20.7%38.8%20.6%3.2%-1.6%118.6M-707.1M-9.5M0.8317.1836,78330,392728,166648,939
2015-10-13$79.22$75.0021.9%5.9%20.6%37.7%21.6%4.8%-1.4%108.8M-599.6M-9.5M0.4911.2347,09123,242727,318659,832
2015-10-14$80.21$75.0024.0%6.6%20.8%46.5%23.4%4.1%-1.1%102.5M-1.01B-9.9M2.6313.2868,542180,244734,456665,426
2015-10-15$81.44$75.0024.3%6.6%20.5%47.3%24.3%4.0%-1.9%93.8M-1.03B-10.5M0.9414.0063,46359,609741,594751,553
2015-10-16$82.40$75.0022.6%6.3%20.6%40.9%23.2%4.2%-0.8%279.9M-1.33B-10.6M0.8512.2547,17839,998755,082774,289
2015-10-19$81.04$75.0022.4%6.4%19.1%39.9%20.9%4.2%-1.3%40.5M-288.0M-10.6M0.3411.1693,23931,680553,227581,561
2015-10-20$80.78$75.0021.6%6.1%19.1%36.6%20.7%3.6%-1.0%48.0M-289.4M-9.8M0.589.6638,73822,653569,007594,401
2015-10-21$80.14$75.0022.1%6.3%18.4%38.6%22.2%4.6%-1.4%39.6M-19.5M-9.9M1.4413.6532,71446,995581,390599,571
2015-10-22$82.85$75.0021.0%6.1%20.9%34.4%21.4%4.2%-1.4%34.2M-780.8M-10.3M0.5814.7257,90933,639584,820624,103
2015-10-23$82.90$75.0021.4%6.2%21.0%36.1%23.4%4.2%-1.2%40.7M-697.0M-10.8M2.6712.8825,96969,423590,724634,043
2015-10-26$81.29$75.0022.7%6.9%22.5%41.1%25.4%4.7%-0.4%14.5M-85.6M-10.3M1.3516.0523,50131,679574,568645,896
2015-10-27$81.11$75.0023.5%7.3%22.6%44.5%28.6%4.8%-0.4%11.7M5.4M-10.3M1.2028.6530,35236,497582,066654,040
2015-10-28$82.14$75.0023.0%7.2%22.3%42.3%27.0%4.8%-0.7%25.2M-438.1M-10.4M1.5641.7827,26042,506591,384671,338
2015-10-29$82.33$75.0023.6%7.3%21.7%44.9%27.9%5.1%-0.3%16.8M-457.3M-10.5M1.7139.7430,97053,111601,540690,036
2015-10-30$83.06$75.0018.6%5.7%20.1%24.8%21.2%4.2%0.6%67.7M-944.5M-10.0M1.4034.6447,01565,654615,338716,497