XOM Options History — March 2016

In March 2016, XOM traded between $81.33 and $84.42. ATM implied volatility averaged 19.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.6% (HV 20d: 17.2%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.68.

Notable Days

2016-03-02: Highest Volume — 109,823 contracts
2016-03-08: Largest IV spike — 9.8% change
2016-03-10: Highest IV Rank — 35.4%
2016-03-01: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.22	$81.33	$84.42	$81.33	$83.73
Max Pain	$82.27	$80.00	$82.50	$80.00	$82.50
ATM IV	19.8%	17.0%	22.1%	22.1%	19.9%
Expected Move	5.6%	4.8%	6.5%	6.5%	5.1%
HV 20d	17.2%	13.9%	25.0%	25.0%	13.9%
HV 60d	28.0%	26.5%	29.9%	29.8%	26.5%
IV Rank	26.8%	16.8%	35.4%	35.2%	27.4%
IV Percentile	41.5%	21.8%	54.0%	53.2%	42.1%
Term Structure	0.3%	-0.5%	1.4%	0.2%	-0.3%
VWIV	20.8%	17.5%	25.2%	24.3%	17.5%
Skew 25d	5.0%	4.1%	6.0%	6.0%	5.0%
Skew 10d	10.5%	8.7%	12.5%	11.9%	8.7%
Call IV 25d	17.8%	16.0%	20.2%	19.8%	17.6%
Put IV 25d	22.9%	20.3%	25.8%	25.8%	22.6%
Bid-Ask Spread %	6.19	3.35	14.45	14.45	4.91
Gamma HHI	0.13	0.09	0.21	0.09	0.13
Net GEX	61.1M	23.6M	110.7M	23.6M	58.5M
Net DEX	-607.6M	-1.05B	-352.9M	-474.2M	-460.7M
Net VEX	-10.5M	-11.1M	-10.0M	-11.1M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.76	3.64	1.66	1.55
Total Volume	64,583.091	30,067	109,823	53,401	50,508
Total OI	1,120,161.864	1,008,806	1,186,251	1,061,255	1,157,122

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
2016-03-01	$81.33	$80.00	22.1%	6.5%	25.0%	35.2%	24.3%	6.0%	0.2%	23.6M	-474.2M	-11.1M	1.66	14.45	20,094	33,307	432,449	628,806
2016-03-02	$82.64	$80.00	20.6%	6.0%	23.3%	29.8%	22.4%	4.9%	0.6%	51.3M	-845.3M	-10.8M	3.49	7.69	24,451	85,372	437,755	640,176
2016-03-03	$82.37	$82.50	20.2%	6.0%	17.2%	28.5%	21.4%	4.5%	0.4%	45.5M	-468.2M	-10.9M	1.26	6.52	23,463	29,540	443,064	701,170
2016-03-04	$82.25	$82.50	20.5%	5.9%	16.2%	29.4%	21.1%	4.6%	0.0%	41.4M	-532.9M	-10.7M	1.06	8.71	36,065	38,278	448,898	703,814
2016-03-07	$84.20	$82.50	19.7%	5.5%	17.9%	26.3%	20.7%	4.5%	-0.5%	67.5M	-988.2M	-10.7M	0.78	5.75	36,970	28,668	442,185	679,634
2016-03-08	$82.58	$82.50	21.6%	6.2%	18.4%	33.4%	22.5%	5.3%	0.2%	50.0M	-571.9M	-10.9M	1.69	6.36	20,779	35,093	452,679	687,046
2016-03-09	$82.28	$82.50	21.7%	6.2%	17.5%	33.7%	22.2%	5.2%	0.2%	45.0M	-479.1M	-10.9M	0.96	5.58	36,303	34,726	455,478	692,586
2016-03-10	$82.01	$82.50	22.1%	6.3%	17.1%	35.4%	24.6%	5.0%	-0.2%	38.0M	-352.9M	-10.9M	1.33	7.44	28,025	37,391	469,293	703,214
2016-03-11	$82.13	$82.50	20.5%	5.9%	17.0%	29.5%	19.0%	4.8%	-0.1%	46.9M	-412.5M	-10.5M	1.56	6.75	27,505	42,907	471,308	714,943
2016-03-14	$82.31	$82.50	20.9%	6.0%	16.4%	30.8%	21.4%	5.9%	-0.1%	53.8M	-468.3M	-10.4M	1.17	4.91	13,887	16,180	453,273	678,469
2016-03-15	$82.66	$82.50	20.4%	5.9%	16.4%	29.0%	20.5%	5.5%	0.2%	62.8M	-548.3M	-10.4M	1.57	5.48	12,720	19,980	456,416	687,522
2016-03-16	$82.96	$82.50	18.6%	5.3%	15.8%	22.3%	18.9%	5.2%	-0.0%	76.8M	-618.7M	-10.1M	0.91	6.36	31,970	29,204	458,980	693,881
2016-03-17	$84.40	$82.50	17.0%	4.9%	16.8%	16.8%	19.1%	4.1%	0.4%	110.7M	-1.05B	-10.0M	0.91	5.57	24,591	22,395	465,355	698,660
2016-03-18	$84.22	$82.50	17.3%	4.9%	16.9%	17.7%	19.1%	4.9%	1.3%	87.5M	-992.5M	-10.1M	1.10	4.58	47,244	51,956	474,518	707,682
2016-03-21	$83.76	$82.50	18.3%	5.2%	17.0%	21.3%	19.4%	4.7%	1.1%	67.1M	-546.2M	-10.1M	3.64	5.37	14,596	53,156	417,429	591,377
2016-03-22	$84.20	$82.50	18.0%	5.1%	16.4%	20.1%	19.8%	4.8%	1.1%	66.1M	-600.3M	-10.3M	2.15	6.19	25,327	54,426	421,943	620,317
2016-03-23	$84.01	$82.50	18.8%	5.3%	16.4%	23.0%	18.7%	4.8%	0.9%	64.2M	-549.1M	-10.4M	3.26	5.36	17,334	56,502	431,745	642,558
2016-03-24	$83.85	$82.50	19.1%	5.3%	16.4%	24.1%	25.2%	5.5%	1.4%	69.8M	-500.4M	-10.6M	2.87	6.32	23,467	67,254	436,325	656,912
2016-03-28	$84.08	$82.50	20.0%	5.4%	16.4%	27.7%	23.6%	5.6%	-0.2%	60.7M	-549.8M	-10.5M	1.61	3.50	14,292	23,013	430,171	647,969
2016-03-29	$84.42	$82.50	19.4%	5.1%	14.8%	25.6%	18.9%	5.2%	0.1%	74.8M	-688.6M	-10.3M	1.69	3.35	21,388	36,103	435,451	659,189
2016-03-30	$84.40	$82.50	18.5%	4.8%	14.5%	22.3%	17.8%	4.8%	-0.1%	81.5M	-667.4M	-10.3M	0.76	4.99	42,229	32,169	442,749	673,050
2016-03-31	$83.73	$82.50	19.9%	5.1%	13.9%	27.4%	17.5%	5.0%	-0.3%	58.5M	-460.7M	-10.7M	1.55	4.91	19,842	30,666	468,741	688,381