XOM Options History — November 2015

In November 2015, XOM traded between $78.10 and $85.86. ATM implied volatility averaged 23.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 2.4% (HV 20d: 26.2%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2015-11-12: Highest Volume — 311,756 contracts
  • 2015-11-12: Largest IV spike — 25.2% change
  • 2015-11-13: Highest IV Rank — 65.5%
  • 2015-11-13: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.73$78.10$85.86$85.44$81.66
Max Pain$84.08$75.00$85.00$75.00$85.00
ATM IV23.7%20.4%28.8%20.6%23.8%
Expected Move6.9%5.8%8.4%6.3%7.3%
HV 20d26.2%21.2%30.0%21.5%27.3%
HV 60d27.4%23.3%29.6%28.2%23.3%
IV Rank45.2%31.8%65.5%32.8%45.7%
IV Percentile77.9%63.9%95.6%67.1%76.6%
Term Structure-0.3%-1.5%1.0%-0.1%-0.3%
VWIV25.2%20.4%32.9%23.1%25.8%
Skew 25d5.1%3.8%7.1%4.3%4.4%
Skew 10d9.8%6.9%13.4%8.6%7.2%
Call IV 25d22.1%18.7%26.0%19.9%22.1%
Put IV 25d27.1%23.4%33.0%24.2%26.5%
Bid-Ask Spread %14.208.7826.1116.0510.61
Gamma HHI0.110.080.170.160.08
Net GEX-25.9M-128.6M55.1M55.1M-18.8M
Net DEX506.0M-1.59B1.98B-1.59B522.3M
Net VEX-12.3M-14.3M-9.7M-9.7M-13.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.154.460.631.72
Total Volume98,219.42141,192311,756165,68048,887
Total OI1,411,197.2631,232,3491,567,0581,266,3481,499,203

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$85.44$75.0020.6%6.3%21.5%32.8%23.1%4.3%-0.1%55.1M-1.59B-9.7M0.6316.05101,45064,230594,908671,440
2015-11-04$85.86$77.5021.6%6.6%21.2%36.7%28.6%5.5%-0.3%44.6M-1.37B-11.9M1.0614.5846,69449,626633,214729,369
2015-11-05$84.92$85.0021.3%5.9%21.7%35.4%20.8%3.8%-0.4%30.5M-1.17B-11.4M1.2719.5735,09444,654640,551732,921
2015-11-06$84.47$85.0021.2%5.8%21.7%35.2%23.8%4.9%0.3%21.4M-780.9M-11.9M0.1516.34164,54325,304648,120745,693
2015-11-09$81.95$85.0021.8%6.1%24.3%37.6%22.4%5.3%-0.1%-9.7M562.9M-10.9M1.0914.7419,71021,482536,816695,533
2015-11-10$82.26$85.0020.4%5.8%24.3%31.8%20.4%4.8%-0.1%-5.3M432.9M-10.7M0.4613.9353,79124,860550,172701,766
2015-11-11$82.31$85.0020.4%5.8%24.3%31.8%21.6%4.7%-0.1%-7.4M415.5M-10.8M0.3826.1152,01019,973551,594707,427
2015-11-12$79.38$85.0025.5%7.2%27.4%52.3%26.0%6.2%-0.0%-45.3M1.27B-11.0M4.4612.4857,089254,667560,709711,188
2015-11-13$78.10$85.0028.8%8.4%27.3%65.5%32.9%7.1%1.0%-87.1M1.98B-13.1M1.6112.3553,40886,239566,804917,579
2015-11-16$80.90$85.0026.6%7.7%30.0%56.6%28.4%6.3%-1.5%-53.6M1.12B-13.3M1.2717.4025,03831,744558,061912,816
2015-11-17$80.07$85.0025.8%7.4%29.7%53.6%28.0%5.7%-0.8%-68.3M1.38B-13.1M0.5812.4835,04620,472568,430923,844
2015-11-18$80.86$85.0025.1%7.2%29.9%50.7%24.9%5.1%-1.2%-50.0M1.08B-12.6M0.5114.1942,78021,897571,088925,625
2015-11-19$80.26$85.0024.3%7.0%29.9%47.7%25.7%5.7%-0.6%-78.2M1.31B-12.4M1.6713.0148,15380,408575,707929,451
2015-11-20$79.75$85.0025.3%7.3%27.2%51.7%24.8%4.7%-0.4%-128.6M1.54B-13.5M0.8714.4062,27354,248587,316979,742
2015-11-23$80.28$85.0024.9%7.3%27.4%49.9%25.2%4.4%-0.4%-42.4M1.05B-13.2M0.2611.3255,87114,437511,013912,358
2015-11-24$81.88$85.0024.3%7.2%27.5%47.6%24.9%4.6%-0.4%-15.5M480.3M-13.7M0.5411.6233,03017,976550,505919,009
2015-11-25$81.30$85.0024.5%7.2%27.6%48.3%25.6%4.3%-0.6%-21.9M697.1M-14.3M0.909.9323,27820,937563,046927,629
2015-11-27$81.23$85.0024.6%7.3%27.2%48.8%25.5%4.3%-0.6%-11.7M704.8M-13.3M1.868.7819,16435,706569,299932,802
2015-11-30$81.66$85.0023.8%7.3%27.3%45.7%25.8%4.4%-0.3%-18.8M522.3M-13.0M1.7210.6117,95930,928555,143944,060