XOM Options History — January 2016

In January 2016, XOM traded between $73.19 and $78.92. ATM implied volatility averaged 31.0%, placing in the 71.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.6% (HV 20d: 29.4%). Max pain ranged from $77.50 to $77.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.49.

Notable Days

2016-01-14: Highest Volume — 216,914 contracts
2016-01-20: Largest IV spike — 20.5% change
2016-01-20: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.10	$73.19	$78.92	$77.32	$77.85
Max Pain	$77.50	$77.50	$77.50	$77.50	$77.50
ATM IV	31.0%	24.8%	39.8%	25.8%	26.4%
Expected Move	8.7%	7.2%	11.4%	7.4%	7.6%
HV 20d	29.4%	25.1%	35.8%	27.8%	35.8%
HV 60d	27.7%	25.6%	30.6%	25.7%	30.6%
IV Rank	71.6%	49.4%	100.0%	53.6%	50.9%
IV Percentile	94.8%	79.0%	100.0%	83.7%	82.5%
Term Structure	-0.9%	-2.9%	1.0%	0.0%	0.1%
VWIV	31.4%	24.5%	39.8%	24.6%	30.4%
Skew 25d	8.9%	5.4%	12.3%	5.6%	6.8%
Skew 10d	16.9%	12.6%	23.1%	14.0%	13.4%
Call IV 25d	27.6%	22.9%	34.4%	24.0%	24.2%
Put IV 25d	36.5%	28.4%	46.7%	29.7%	31.0%
Bid-Ask Spread %	10.56	7.61	13.90	13.09	10.39
Gamma HHI	0.11	0.08	0.16	0.11	0.08
Net GEX	-48.8M	-86.4M	-16.4M	-49.3M	-16.4M
Net DEX	1.08B	367.0M	2.17B	1.18B	367.0M
Net VEX	-10.4M	-11.4M	-9.3M	-10.0M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	0.68	3.22	0.88	2.02
Total Volume	93,256	40,531	216,914	60,789	91,058
Total OI	1,261,190.895	859,503	1,664,316	1,442,600	1,048,839

Daily Data (19 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
2016-01-04	$77.32	$77.50	25.8%	7.4%	27.8%	53.6%	24.6%	5.6%	0.0%	-49.3M	1.18B	-10.0M	0.88	13.09	32,395	28,394	546,421	896,179
2016-01-05	$78.08	$77.50	24.8%	7.2%	28.0%	49.4%	24.5%	5.4%	1.0%	-38.3M	937.5M	-9.9M	0.68	10.30	24,080	16,451	553,588	905,004
2016-01-06	$77.36	$77.50	28.2%	7.8%	26.7%	63.3%	25.9%	6.3%	0.3%	-52.2M	1.16B	-10.0M	0.96	10.34	40,698	39,250	556,812	906,876
2016-01-07	$76.51	$77.50	30.1%	7.9%	25.1%	70.6%	28.1%	7.4%	-0.8%	-71.3M	1.43B	-10.1M	1.53	13.20	61,236	93,683	571,101	929,669
2016-01-08	$74.57	$77.50	31.3%	8.4%	26.5%	75.8%	29.4%	8.6%	-0.9%	-86.4M	2.03B	-9.9M	1.94	11.11	29,989	58,257	585,389	956,718
2016-01-11	$73.76	$77.50	31.6%	8.4%	26.7%	76.8%	29.7%	8.3%	-2.7%	-85.8M	2.17B	-9.3M	1.15	11.65	37,898	43,754	570,319	944,985
2016-01-12	$75.20	$77.50	31.8%	8.6%	27.0%	77.4%	28.9%	8.3%	-2.3%	-76.1M	1.72B	-9.7M	1.49	13.90	34,823	51,948	585,536	940,963
2016-01-13	$75.71	$77.50	32.8%	8.9%	26.2%	81.6%	32.4%	8.5%	-0.5%	-76.7M	1.60B	-10.1M	1.75	13.45	22,001	38,520	597,502	966,372
2016-01-14	$78.92	$77.50	30.8%	8.0%	25.6%	73.5%	29.8%	11.7%	-2.9%	-17.7M	506.1M	-10.6M	1.41	12.38	89,918	126,996	604,660	977,757
2016-01-15	$77.51	$77.50	33.8%	9.3%	26.3%	85.7%	35.2%	11.2%	-1.6%	-59.5M	1.10B	-10.9M	1.83	8.31	39,487	72,257	636,775	1,027,541
2016-01-19	$76.45	$77.50	33.0%	9.4%	26.4%	82.5%	34.2%	10.2%	-1.2%	-23.2M	545.0M	-10.5M	0.95	9.39	37,584	35,594	342,663	516,840
2016-01-20	$73.19	$77.50	39.8%	11.4%	30.4%	100.0%	39.8%	12.3%	-1.4%	-44.4M	1.09B	-10.5M	1.60	9.05	52,072	83,105	363,750	537,746
2016-01-21	$74.29	$77.50	34.4%	9.9%	31.0%	80.4%	36.2%	10.8%	-0.9%	-51.0M	975.2M	-10.6M	1.54	9.67	33,022	50,987	381,944	564,679
2016-01-22	$76.37	$77.50	29.1%	8.4%	32.6%	61.1%	31.3%	10.2%	-1.3%	-23.8M	554.4M	-10.7M	1.20	12.26	45,526	54,726	392,540	591,299
2016-01-25	$74.14	$77.50	33.3%	9.9%	31.7%	76.2%	35.8%	9.9%	-0.9%	-44.3M	985.6M	-10.5M	3.22	7.81	22,223	71,634	366,020	576,575
2016-01-26	$76.54	$77.50	30.2%	8.9%	34.1%	64.9%	33.0%	9.3%	-0.3%	-28.8M	597.4M	-11.0M	2.22	7.76	28,935	64,312	374,431	599,214
2016-01-27	$75.16	$77.50	31.9%	9.4%	34.5%	71.3%	33.7%	9.3%	-0.5%	-50.3M	979.2M	-10.8M	1.06	8.95	33,657	35,811	386,995	624,522
2016-01-28	$77.00	$77.50	30.1%	8.8%	35.7%	64.6%	32.9%	8.7%	-0.4%	-31.6M	525.8M	-11.4M	0.91	7.61	25,939	23,644	400,607	633,796
2016-01-29	$77.85	$77.50	26.4%	7.6%	35.8%	50.9%	30.4%	6.8%	0.1%	-16.4M	367.0M	-11.2M	2.02	10.39	30,120	60,938	407,121	641,718