XOM Options History — May 2016

In May 2016, XOM traded between $87.89 and $90.25. ATM implied volatility averaged 16.1%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.2% (HV 20d: 11.9%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-05-10: Highest Volume — 222,399 contracts
  • 2016-05-10: Largest IV drop — 8.4% change
  • 2016-05-04: Highest IV Rank — 17.4%
  • 2016-05-04: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.19$87.89$90.25$89.07$89.13
Max Pain$87.14$85.00$87.50$85.00$87.50
ATM IV16.1%15.1%17.2%16.7%16.3%
Expected Move4.6%4.1%5.1%4.9%4.4%
HV 20d11.9%9.4%12.9%11.9%12.6%
HV 60d13.5%12.7%14.3%14.0%12.9%
IV Rank13.3%9.5%17.4%15.6%13.9%
IV Percentile14.8%7.5%21.4%18.3%15.9%
Term Structure0.4%-0.2%1.1%0.1%-0.1%
VWIV16.7%14.7%20.0%19.1%16.2%
Skew 25d3.6%2.9%4.5%4.5%3.3%
Skew 10d7.5%6.1%9.2%9.2%6.9%
Call IV 25d14.7%13.7%15.8%14.9%14.9%
Put IV 25d18.4%16.6%19.9%19.4%18.2%
Bid-Ask Spread %10.725.0624.5711.7212.71
Gamma HHI0.110.100.140.110.11
Net GEX49.0M17.8M78.0M51.6M43.9M
Net DEX-1.10B-1.66B-807.7M-1.35B-821.4M
Net VEX-13.8M-14.3M-13.2M-13.4M-13.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.182.111.121.35
Total Volume73,536.95245,792222,39950,38659,154
Total OI981,407.762892,8851,035,859967,790961,769

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$89.07$85.0016.7%4.9%11.9%15.6%19.1%4.5%0.1%51.6M-1.35B-13.4M1.1211.7223,79626,590457,762510,028
2016-05-03$88.13$85.0017.0%5.0%11.9%16.8%20.0%4.3%0.1%42.0M-1.06B-13.5M1.3012.8829,13337,763465,000516,185
2016-05-04$87.91$85.0017.2%5.1%11.3%17.4%19.0%4.0%0.4%34.6M-1.00B-13.5M2.119.0418,28238,656471,554531,810
2016-05-05$87.89$87.5017.0%5.0%9.6%16.6%16.3%4.1%0.3%33.4M-962.4M-13.7M1.048.3426,38127,309477,189543,756
2016-05-06$88.45$87.5016.0%4.8%9.4%13.1%17.5%3.6%0.2%60.0M-1.20B-13.5M0.818.9232,68526,629483,413547,933
2016-05-09$88.51$87.5016.9%4.9%9.4%16.1%16.6%3.4%0.4%57.4M-1.17B-13.5M0.635.6747,59229,974479,071506,292
2016-05-10$89.97$87.5015.5%4.5%10.3%11.0%18.0%3.3%0.1%78.0M-1.66B-13.2M0.186.62189,23833,161485,356516,708
2016-05-11$88.83$87.5016.0%4.5%11.7%13.1%16.5%3.5%-0.2%27.2M-938.1M-13.6M1.025.0656,16757,479426,511530,663
2016-05-12$89.63$87.5015.3%4.4%11.8%10.5%15.7%3.0%-0.0%49.5M-1.09B-14.0M0.5411.4954,47329,160430,835551,396
2016-05-13$88.65$87.5016.5%4.8%12.5%14.8%15.9%3.4%0.6%17.8M-807.7M-14.0M0.586.9163,04836,417438,817552,348
2016-05-16$89.50$87.5015.6%4.4%12.6%11.5%15.8%3.8%0.6%53.4M-1.10B-13.9M0.508.1446,99023,468445,348540,779
2016-05-17$89.48$87.5015.5%4.4%12.6%11.0%16.7%3.9%0.9%52.7M-1.06B-14.2M0.5014.1437,52418,634449,431548,027
2016-05-18$89.19$87.5015.8%4.5%12.4%12.4%16.6%3.9%1.0%46.3M-963.6M-14.3M0.779.4037,10028,735453,114556,676
2016-05-19$90.07$87.5016.1%4.6%12.8%13.2%16.3%3.8%0.7%71.2M-1.27B-14.1M0.817.7338,36731,157457,931566,405
2016-05-20$89.62$87.5015.2%4.3%12.9%10.2%15.6%3.4%1.1%56.5M-1.13B-14.1M0.949.3735,43333,252461,760574,099
2016-05-23$89.40$87.5016.4%4.7%12.9%14.5%16.1%3.6%0.1%56.7M-1.01B-13.9M1.0224.5724,28824,749441,973450,912
2016-05-24$89.70$87.5016.2%4.5%12.9%13.5%16.3%3.4%0.3%58.3M-1.10B-14.0M1.3715.4025,74035,366447,744460,420
2016-05-25$90.25$87.5015.8%4.4%12.6%12.2%15.8%3.1%0.3%66.9M-1.25B-14.1M1.3811.7827,67538,171457,041473,550
2016-05-26$89.72$87.5016.0%4.4%12.5%12.8%16.0%3.5%0.2%53.1M-1.05B-14.3M1.4111.2920,25928,489464,306497,969
2016-05-27$89.99$87.5015.1%4.1%12.3%9.5%14.7%2.9%0.4%19.4M-1.12B-14.2M1.1813.9121,01124,781468,393509,289
2016-05-31$89.13$87.5016.3%4.4%12.6%13.9%16.2%3.3%-0.1%43.9M-821.4M-13.9M1.3512.7125,18733,967463,014498,755