XOM Options History — April 2016

In April 2016, XOM traded between $82.21 and $88.50. ATM implied volatility averaged 18.9%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.6% (HV 20d: 12.3%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.48.

Notable Days

2016-04-20: Highest Volume — 202,267 contracts
2016-04-06: Largest IV drop — 9.9% change
2016-04-05: Highest IV Rank — 32.3%
2016-04-05: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.39	$82.21	$88.50	$83.15	$88.50
Max Pain	$83.10	$82.50	$85.00	$82.50	$85.00
ATM IV	18.9%	16.9%	21.3%	20.4%	17.4%
Expected Move	5.4%	4.8%	6.0%	5.2%	5.1%
HV 20d	12.3%	10.9%	14.1%	14.1%	12.0%
HV 60d	22.2%	14.4%	26.5%	26.5%	14.4%
IV Rank	23.7%	16.1%	32.3%	29.2%	18.0%
IV Percentile	33.4%	18.7%	48.0%	44.4%	23.0%
Term Structure	-0.2%	-1.3%	0.9%	0.0%	0.1%
VWIV	19.8%	17.5%	21.6%	18.3%	19.6%
Skew 25d	5.0%	4.3%	5.7%	4.6%	5.1%
Skew 10d	9.5%	5.2%	12.3%	12.3%	10.0%
Call IV 25d	16.7%	14.4%	18.9%	18.4%	15.4%
Put IV 25d	21.7%	19.3%	24.0%	23.1%	20.5%
Bid-Ask Spread %	10.25	4.84	16.49	5.37	11.07
Gamma HHI	0.17	0.09	0.80	0.12	0.10
Net GEX	91.5M	32.4M	569.9M	43.4M	61.0M
Net DEX	-772.5M	-1.35B	-46.0M	-268.6M	-1.32B
Net VEX	-11.3M	-13.5M	-9.9M	-10.7M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.67	3.09	1.56	1.70
Total Volume	75,890.238	37,272	202,267	75,978	128,678
Total OI	1,042,677.619	718,489	1,236,822	1,172,058	1,023,127

Daily Data (21 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
2016-04-01	$83.15	$82.50	20.4%	5.2%	14.1%	29.2%	18.3%	4.6%	0.0%	43.4M	-268.6M	-10.7M	1.56	5.37	29,629	46,349	474,812	697,246
2016-04-04	$83.11	$82.50	20.0%	5.9%	14.0%	27.6%	20.4%	5.1%	0.3%	57.7M	-288.2M	-10.4M	0.95	4.85	19,098	18,174	463,967	682,176
2016-04-05	$82.21	$82.50	21.3%	6.0%	11.7%	32.3%	20.3%	5.1%	0.3%	41.1M	-50.0M	-10.3M	0.93	4.84	25,516	23,683	470,062	687,494
2016-04-06	$83.44	$82.50	19.2%	5.8%	10.9%	24.6%	18.7%	4.3%	0.6%	72.4M	-391.1M	-10.3M	1.79	9.42	20,631	36,906	475,898	692,505
2016-04-07	$82.32	$82.50	20.8%	6.0%	11.9%	30.4%	21.6%	5.0%	0.6%	32.4M	-46.0M	-10.2M	1.25	7.95	18,352	22,976	479,073	699,501
2016-04-08	$83.09	$82.50	19.6%	5.7%	12.3%	26.0%	20.7%	5.4%	0.9%	69.4M	-300.0M	-10.2M	1.30	10.91	23,789	30,913	483,584	705,020
2016-04-11	$83.47	$82.50	19.6%	5.7%	12.4%	26.1%	20.2%	5.7%	0.3%	74.0M	-387.5M	-9.9M	1.13	8.56	25,190	28,360	478,076	697,059
2016-04-12	$84.27	$82.50	21.0%	5.5%	12.8%	31.1%	20.2%	5.5%	-0.8%	100.7M	-673.3M	-10.2M	1.39	8.77	23,816	33,167	486,035	701,039
2016-04-13	$84.85	$82.50	19.3%	5.2%	12.9%	25.1%	18.0%	5.1%	-1.2%	119.9M	-826.0M	-10.4M	0.67	10.01	32,673	22,001	491,653	714,374
2016-04-14	$85.44	$82.50	19.0%	5.1%	13.0%	24.0%	17.9%	4.4%	-0.6%	145.6M	-1.07B	-10.2M	0.81	10.28	44,425	36,037	499,326	716,293
2016-04-15	$85.02	$82.50	18.5%	5.1%	11.8%	22.2%	18.9%	4.5%	-1.3%	569.9M	-906.4M	-10.5M	1.06	8.01	40,972	43,320	509,729	727,093
2016-04-18	$85.66	$82.50	17.0%	4.8%	12.0%	16.6%	17.5%	5.1%	-0.3%	69.3M	-828.8M	-10.4M	1.11	10.63	30,152	33,595	397,530	320,959
2016-04-19	$86.06	$82.50	16.9%	4.8%	11.8%	16.1%	18.0%	4.5%	-0.6%	80.7M	-958.0M	-10.7M	1.19	9.97	28,491	33,958	411,818	331,872
2016-04-20	$86.87	$82.50	18.1%	5.2%	12.1%	20.6%	19.7%	4.8%	-0.6%	84.8M	-1.16B	-11.0M	2.79	13.90	53,429	148,838	421,199	347,386
2016-04-21	$86.97	$83.00	19.0%	5.5%	12.0%	24.0%	21.4%	5.3%	-0.4%	57.2M	-1.01B	-12.9M	1.27	10.16	41,508	52,555	444,374	456,909
2016-04-22	$87.52	$84.00	18.4%	5.3%	12.0%	21.9%	19.7%	5.1%	-0.2%	63.5M	-1.20B	-13.2M	0.94	10.07	35,982	33,774	459,689	484,506
2016-04-25	$87.28	$84.00	18.6%	5.5%	12.1%	22.6%	21.5%	5.0%	-0.3%	39.7M	-967.4M	-13.1M	1.97	14.69	12,937	25,524	447,772	470,260
2016-04-26	$87.54	$84.00	18.7%	5.6%	12.1%	22.8%	20.8%	4.6%	-0.4%	44.8M	-1.09B	-12.9M	3.09	14.66	16,140	49,863	452,817	470,531
2016-04-27	$88.46	$85.00	17.7%	5.3%	12.5%	19.0%	21.3%	4.6%	-0.3%	52.0M	-1.35B	-12.9M	1.10	14.70	33,029	36,203	457,197	491,253
2016-04-28	$87.86	$85.00	17.5%	5.4%	12.4%	18.5%	21.4%	5.2%	-0.1%	41.8M	-1.14B	-13.2M	3.04	16.49	37,929	115,133	467,950	507,066
2016-04-29	$88.50	$85.00	17.4%	5.1%	12.0%	18.0%	19.6%	5.1%	0.1%	61.0M	-1.32B	-13.5M	1.70	11.07	47,719	80,959	473,565	549,562