XOM Options History — February 2016

In February 2016, XOM traded between $74.61 and $82.33. ATM implied volatility averaged 27.1%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 7.8% (HV 20d: 34.9%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2016-02-04: Highest Volume — 143,539 contracts
  • 2016-02-04: Largest IV drop — 19.8% change
  • 2016-02-03: Highest IV Rank — 73.1%
  • 2016-02-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.37$74.61$82.33$76.37$80.41
Max Pain$79.13$77.50$80.00$77.50$80.00
ATM IV27.1%22.8%32.4%28.4%24.3%
Expected Move7.7%6.6%9.3%8.5%7.1%
HV 20d34.9%25.2%41.3%36.4%26.0%
HV 60d30.8%30.1%32.3%30.2%30.4%
IV Rank53.7%37.7%73.1%58.2%43.2%
IV Percentile79.9%57.9%96.4%89.3%66.7%
Term Structure-0.1%-1.2%0.9%-0.1%0.1%
VWIV28.8%24.2%33.5%31.4%26.6%
Skew 25d7.1%6.0%8.7%7.1%6.5%
Skew 10d16.2%12.9%25.8%13.7%13.1%
Call IV 25d24.3%20.5%29.0%25.7%21.6%
Put IV 25d31.4%26.7%37.7%32.8%28.1%
Bid-Ask Spread %13.559.0733.8310.1911.36
Gamma HHI0.110.070.330.120.09
Net GEX22.2M-67.9M145.3M-49.1M7.7M
Net DEX-397.2M-1.12B1.24B800.2M-232.1M
Net VEX-11.6M-12.4M-10.7M-11.1M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.742.571.421.32
Total Volume84,814.6544,392143,53962,44370,080
Total OI1,080,398952,9521,169,7891,039,3291,029,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$76.37$77.5028.4%8.5%36.4%58.2%31.4%7.1%-0.1%-49.1M800.2M-11.1M1.4210.1925,81836,625392,486646,843
2016-02-02$74.61$77.5030.6%8.7%37.1%66.3%32.0%7.4%-0.1%-67.9M1.24B-10.7M2.2411.2138,85686,996401,964652,685
2016-02-03$78.24$77.5032.4%8.0%40.9%73.1%29.3%7.1%-0.1%-14.9M233.2M-11.6M0.7733.8371,93155,646412,341656,892
2016-02-04$79.73$80.0026.0%7.3%41.3%49.6%25.7%6.7%0.2%15.3M-301.6M-11.7M1.199.9665,56177,978437,198665,742
2016-02-05$79.85$80.0026.9%7.7%41.0%52.8%27.8%7.0%0.0%33.5M-503.4M-11.8M1.6111.7933,72554,325463,058650,292
2016-02-08$81.39$80.0028.6%8.1%40.1%59.2%32.2%7.8%-0.3%22.3M-684.5M-12.0M0.7712.5473,49356,415442,711629,051
2016-02-09$80.11$80.0030.9%8.9%40.3%67.5%33.0%8.0%-0.2%5.7M-361.4M-12.1M0.9110.8054,32649,663430,515649,754
2016-02-10$79.35$80.0030.8%8.8%40.2%67.2%32.8%8.3%0.0%-10.0M-130.0M-12.1M2.169.6018,61140,269437,753672,147
2016-02-11$79.91$80.0032.4%9.3%40.2%72.8%33.5%8.7%-0.1%-1.8M-301.4M-12.4M0.8913.5544,72339,849450,965697,076
2016-02-12$80.96$80.0028.6%8.4%37.8%59.1%29.0%7.3%0.9%47.8M-784.9M-11.9M1.239.2945,20655,448457,605702,061
2016-02-16$80.89$77.5028.7%8.2%37.1%59.3%29.0%7.4%-1.2%41.7M-732.9M-11.5M1.109.0732,68836,049450,296665,665
2016-02-17$82.01$77.5025.5%7.3%36.8%47.6%26.5%6.9%0.3%67.0M-1.08B-11.1M0.7410.6436,58227,163457,696675,605
2016-02-18$82.30$77.5024.8%7.1%32.3%45.2%26.3%6.7%0.0%79.4M-1.12B-11.4M0.9412.4238,71536,251465,199683,863
2016-02-19$82.30$77.5024.5%7.0%32.2%44.0%28.5%6.9%0.3%145.3M-1.07B-11.5M1.1011.2935,54638,961474,663695,126
2016-02-22$82.33$80.0023.3%6.7%31.1%39.7%28.8%6.7%-0.2%32.5M-699.8M-11.2M2.5719.2326,13267,185398,525554,427
2016-02-23$81.34$80.0024.7%7.2%29.2%44.7%27.0%6.8%-0.1%17.3M-512.2M-11.3M1.2718.9024,52331,090411,599586,762
2016-02-24$81.49$80.0024.8%7.2%27.4%45.0%28.4%6.5%-0.5%16.9M-509.1M-11.6M1.9417.1523,75746,105417,673596,853
2016-02-25$81.97$80.0023.8%6.9%26.2%41.6%25.0%6.0%-0.7%24.7M-591.4M-11.5M1.2713.9319,55224,840423,208619,537
2016-02-26$81.81$80.0022.8%6.6%25.2%37.7%24.2%6.2%-0.3%31.0M-600.5M-11.3M1.0514.2427,10228,508428,325624,323
2016-02-29$80.41$80.0024.3%7.1%26.0%43.2%26.6%6.5%0.1%7.7M-232.1M-11.2M1.3211.3630,14739,933422,313607,163