XOM Options History — June 2016

In June 2016, XOM traded between $88.36 and $93.54. ATM implied volatility averaged 17.8%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.9% (HV 20d: 12.9%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.20.

Notable Days

2016-06-16: Highest Volume — 117,987 contracts
2016-06-24: Largest IV spike — 32.0% change
2016-06-24: Highest IV Rank — 35.7%
2016-06-24: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.53	$88.36	$93.54	$89.25	$93.54
Max Pain	$88.18	$87.50	$90.00	$87.50	$90.00
ATM IV	17.8%	14.5%	22.4%	16.2%	16.1%
Expected Move	5.1%	4.1%	6.6%	4.4%	4.1%
HV 20d	12.9%	11.4%	16.8%	12.0%	16.6%
HV 60d	12.2%	11.5%	13.6%	12.1%	13.5%
IV Rank	18.5%	6.1%	35.7%	13.6%	6.1%
IV Percentile	23.9%	6.3%	54.8%	15.5%	8.7%
Term Structure	0.1%	-1.0%	1.2%	0.0%	0.0%
VWIV	18.9%	15.0%	25.2%	15.8%	15.3%
Skew 25d	4.8%	3.0%	6.7%	3.6%	4.0%
Skew 10d	9.8%	5.4%	13.7%	7.7%	6.9%
Call IV 25d	15.8%	13.6%	20.2%	14.6%	14.3%
Put IV 25d	20.6%	16.6%	26.2%	18.2%	18.3%
Bid-Ask Spread %	9.98	7.28	13.22	13.22	12.17
Gamma HHI	0.13	0.10	0.22	0.10	0.19
Net GEX	68.0M	15.0M	142.4M	39.0M	142.4M
Net DEX	-1.23B	-2.35B	-549.1M	-849.3M	-2.35B
Net VEX	-14.3M	-14.9M	-13.5M	-14.0M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.64	2.24	0.66	1.03
Total Volume	63,041.091	37,561	117,987	62,576	70,527
Total OI	1,054,472.273	981,772	1,139,292	981,772	1,111,425

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
2016-06-01	$89.25	$87.50	16.2%	4.4%	12.0%	13.6%	15.8%	3.6%	0.0%	39.0M	-849.3M	-14.0M	0.66	13.22	37,585	24,991	469,280	512,492
2016-06-02	$88.38	$87.50	16.3%	4.9%	12.5%	14.2%	17.7%	3.6%	0.0%	25.5M	-568.3M	-14.1M	0.85	10.20	37,847	32,064	486,726	521,466
2016-06-03	$88.36	$87.50	15.8%	4.8%	12.5%	12.3%	17.8%	3.1%	0.1%	15.0M	-549.1M	-14.1M	1.31	9.06	23,173	30,295	487,274	528,852
2016-06-06	$89.25	$87.50	15.4%	4.4%	12.8%	10.8%	18.4%	3.2%	-0.1%	61.2M	-901.0M	-13.8M	1.07	11.65	19,680	21,155	478,826	521,919
2016-06-07	$90.80	$87.50	14.5%	4.5%	14.1%	7.6%	16.7%	3.0%	1.2%	88.8M	-1.46B	-13.5M	1.01	9.42	27,291	27,593	480,556	530,808
2016-06-08	$90.73	$87.50	14.9%	4.5%	13.0%	9.1%	17.7%	3.0%	0.9%	90.5M	-1.43B	-13.8M	1.19	10.03	29,250	34,797	486,267	538,495
2016-06-09	$90.83	$87.50	15.3%	4.7%	12.0%	10.5%	18.1%	3.2%	1.0%	95.8M	-1.49B	-14.1M	1.06	8.53	18,205	19,356	497,377	551,998
2016-06-10	$89.95	$87.50	17.5%	5.1%	12.2%	18.6%	19.8%	4.5%	0.2%	65.9M	-1.11B	-14.4M	1.97	10.89	22,307	43,898	499,927	556,071
2016-06-13	$90.65	$87.50	19.9%	5.7%	11.7%	27.2%	21.4%	6.1%	-1.0%	58.4M	-1.22B	-14.6M	1.51	9.37	27,063	40,881	487,676	566,894
2016-06-14	$90.41	$87.50	20.8%	6.0%	11.4%	30.5%	20.3%	6.7%	-0.3%	46.1M	-1.07B	-14.9M	1.29	9.12	34,545	44,428	494,995	588,783
2016-06-15	$90.09	$87.50	19.2%	5.5%	11.5%	24.6%	21.1%	6.0%	-0.2%	56.5M	-1.02B	-14.7M	1.29	10.19	24,414	31,557	508,430	601,739
2016-06-16	$91.25	$87.50	20.3%	5.9%	12.2%	28.6%	20.2%	6.7%	-0.9%	82.1M	-1.47B	-14.6M	2.24	8.06	36,379	81,608	509,887	609,593
2016-06-17	$90.79	$87.50	19.5%	5.7%	11.9%	25.8%	19.1%	6.2%	-0.7%	55.3M	-1.40B	-14.8M	1.05	8.32	36,148	37,801	527,642	611,650
2016-06-20	$91.09	$87.50	17.4%	5.1%	11.8%	18.2%	18.2%	5.6%	0.7%	73.9M	-1.35B	-14.4M	1.19	8.50	18,858	22,463	490,050	521,404
2016-06-21	$91.52	$87.50	16.7%	4.9%	11.8%	15.6%	18.8%	5.4%	1.0%	83.9M	-1.47B	-14.2M	1.29	8.16	22,112	28,477	496,050	529,444
2016-06-22	$91.20	$90.00	18.4%	5.4%	11.9%	21.9%	20.1%	6.2%	0.3%	70.6M	-1.32B	-14.4M	1.78	7.28	14,059	25,067	503,501	540,130
2016-06-23	$91.60	$90.00	17.0%	4.9%	11.8%	16.5%	17.0%	5.2%	0.4%	87.6M	-1.48B	-14.4M	0.86	12.70	21,009	17,988	507,601	547,074
2016-06-24	$89.79	$90.00	22.4%	6.6%	13.7%	35.7%	23.9%	6.7%	0.0%	21.3M	-849.8M	-14.7M	1.37	11.25	46,046	63,035	516,910	550,801
2016-06-27	$88.89	$89.50	22.4%	6.4%	14.1%	35.6%	25.2%	5.5%	-0.5%	28.2M	-568.7M	-14.6M	0.91	9.19	36,816	33,442	518,902	544,950
2016-06-28	$90.82	$89.00	18.4%	5.0%	15.7%	16.4%	18.0%	4.5%	-0.1%	75.4M	-1.28B	-14.3M	0.75	10.19	21,849	16,478	526,119	552,847
2016-06-29	$92.41	$89.00	16.4%	4.2%	16.8%	8.3%	15.0%	4.4%	0.3%	132.4M	-1.95B	-13.7M	0.64	12.10	51,361	33,006	530,543	555,016
2016-06-30	$93.54	$90.00	16.1%	4.1%	16.6%	6.1%	15.3%	4.0%	0.0%	142.4M	-2.35B	-13.6M	1.03	12.17	34,733	35,794	540,207	571,218