XOM Options History — December 2015

In December 2015, XOM traded between $74.56 and $81.89. ATM implied volatility averaged 25.4%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.5% (HV 20d: 27.9%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.15.

Notable Days

2015-12-04: Highest Volume — 111,706 contracts
2015-12-15: Largest IV drop — 12.1% change
2015-12-11: Highest IV Rank — 72.1%
2015-12-11: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.94	$74.56	$81.89	$81.89	$78.02
Max Pain	$82.07	$80.00	$85.00	$85.00	$80.00
ATM IV	25.4%	21.3%	30.4%	23.3%	23.2%
Expected Move	7.3%	6.1%	8.7%	7.2%	6.3%
HV 20d	27.9%	25.7%	29.8%	27.1%	28.0%
HV 60d	25.3%	23.1%	26.7%	23.1%	25.8%
IV Rank	52.0%	35.5%	72.1%	43.5%	43.2%
IV Percentile	81.0%	60.3%	98.4%	73.8%	69.0%
Term Structure	0.2%	-1.4%	1.3%	-0.2%	1.3%
VWIV	26.2%	22.2%	32.2%	25.3%	22.8%
Skew 25d	5.4%	4.1%	7.3%	4.4%	5.7%
Skew 10d	11.2%	7.7%	14.5%	9.2%	12.4%
Call IV 25d	23.5%	19.8%	27.9%	22.1%	20.9%
Put IV 25d	28.9%	24.1%	35.2%	26.5%	26.6%
Bid-Ask Spread %	10.45	7.04	23.30	10.01	15.71
Gamma HHI	0.12	0.08	0.33	0.08	0.15
Net GEX	-51.1M	-148.2M	13.0M	-15.1M	-90.1M
Net DEX	1.45B	249.7M	2.70B	505.1M	983.7M
Net VEX	-11.6M	-13.2M	-10.4M	-13.2M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.70	1.80	1.05	0.95
Total Volume	68,053.318	20,517	111,706	20,517	50,564
Total OI	1,565,752.591	1,419,573	1,731,556	1,530,517	1,465,032

Daily Data (22 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
2015-12-01	$81.89	$85.00	23.3%	7.2%	27.1%	43.5%	25.3%	4.4%	-0.2%	-15.1M	505.1M	-13.2M	1.05	10.01	9,999	10,518	564,142	966,375
2015-12-02	$79.50	$85.00	26.1%	8.2%	26.7%	54.8%	28.9%	4.2%	-0.4%	-41.2M	1.25B	-12.9M	1.66	10.80	24,194	40,234	569,547	971,894
2015-12-03	$78.43	$82.50	26.6%	7.7%	26.7%	56.7%	27.8%	4.3%	-0.3%	-58.4M	1.65B	-12.8M	1.10	10.45	33,167	36,629	576,036	983,048
2015-12-04	$78.73	$82.50	23.5%	7.1%	26.7%	44.1%	24.3%	4.1%	0.1%	-54.3M	1.66B	-12.4M	1.07	8.79	53,835	57,871	584,917	996,633
2015-12-07	$76.80	$82.50	26.1%	7.5%	27.8%	54.8%	26.3%	5.1%	0.1%	-68.6M	2.15B	-11.9M	0.82	8.25	49,210	40,371	581,065	1,001,269
2015-12-08	$74.76	$82.50	28.3%	8.1%	27.4%	63.5%	29.0%	5.7%	0.2%	-87.2M	2.60B	-11.7M	0.92	8.17	55,070	50,769	590,001	1,016,696
2015-12-09	$75.64	$82.50	28.1%	8.1%	27.8%	62.7%	28.1%	5.9%	0.3%	-82.2M	2.43B	-11.9M	0.98	7.63	46,331	45,301	603,969	1,032,308
2015-12-10	$75.85	$82.50	27.2%	8.0%	27.9%	59.3%	28.4%	5.5%	0.8%	-82.1M	2.35B	-11.8M	1.10	8.53	28,043	30,868	614,660	1,050,515
2015-12-11	$74.56	$82.50	30.4%	8.7%	25.7%	72.1%	32.2%	7.3%	-0.2%	-89.2M	2.70B	-12.0M	1.30	7.04	33,469	43,574	622,779	1,055,706
2015-12-14	$75.96	$82.50	29.7%	8.6%	26.3%	69.2%	29.2%	6.7%	-1.4%	-64.7M	2.28B	-11.6M	1.09	7.31	41,497	45,372	607,671	1,047,452
2015-12-15	$79.41	$82.50	26.1%	7.5%	28.2%	54.8%	27.1%	5.9%	-0.2%	-30.6M	1.22B	-12.2M	1.01	7.41	48,772	49,207	619,955	1,064,013
2015-12-16	$79.19	$82.50	24.5%	7.0%	27.9%	48.4%	25.7%	5.3%	0.2%	-29.9M	1.34B	-11.7M	1.22	10.11	33,625	40,962	636,022	1,079,195
2015-12-17	$78.20	$82.50	25.7%	7.4%	28.0%	53.2%	24.8%	5.1%	-0.8%	-41.2M	1.68B	-11.6M	1.80	9.36	20,182	36,271	641,418	1,086,668
2015-12-18	$77.58	$82.50	26.8%	7.7%	28.0%	57.5%	27.0%	5.4%	-0.5%	-148.2M	1.88B	-11.5M	1.37	8.95	46,298	63,282	643,447	1,088,109
2015-12-21	$77.14	$82.50	26.1%	7.6%	28.0%	54.9%	26.5%	5.7%	0.0%	-41.0M	1.13B	-11.2M	1.20	7.76	25,812	30,945	537,908	881,665
2015-12-22	$77.59	$82.50	23.8%	6.9%	27.9%	45.3%	24.5%	5.2%	0.7%	-39.4M	1.04B	-11.2M	1.12	7.93	19,342	21,673	544,882	887,663
2015-12-23	$80.11	$80.50	21.3%	6.1%	29.5%	35.5%	22.2%	4.4%	1.1%	10.0M	249.7M	-11.3M	0.70	9.33	43,526	30,316	552,005	894,804
2015-12-24	$79.33	$80.00	22.3%	6.3%	29.6%	39.6%	22.2%	5.4%	0.4%	13.0M	460.1M	-11.2M	1.02	12.57	21,489	21,821	566,822	899,408
2015-12-28	$78.76	$80.00	23.3%	6.6%	29.6%	43.6%	25.0%	4.8%	1.1%	-17.5M	707.1M	-10.6M	1.30	8.06	17,062	22,122	544,353	883,267
2015-12-29	$79.05	$80.00	22.8%	6.4%	29.6%	41.7%	23.2%	5.8%	0.7%	-19.2M	620.6M	-10.8M	0.83	22.45	19,972	16,564	549,658	892,137
2015-12-30	$78.10	$80.00	23.6%	6.6%	29.8%	44.7%	25.5%	5.8%	1.0%	-46.4M	932.3M	-10.4M	1.73	23.30	15,058	25,986	554,500	896,943
2015-12-31	$78.02	$80.00	23.2%	6.3%	28.0%	43.2%	22.8%	5.7%	1.3%	-90.1M	983.7M	-10.4M	0.95	15.71	25,878	24,686	557,295	907,737