XOM Options History — July 2016

In July 2016, XOM traded between $88.67 and $95.05. ATM implied volatility averaged 16.5%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.2% (HV 20d: 16.3%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.37.

Notable Days

2016-07-29: Highest Volume — 204,335 contracts
2016-07-25: Largest IV spike — 19.8% change
2016-07-07: Highest IV Rank — 17.9%
2016-07-07: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.26	$88.67	$95.05	$93.90	$88.67
Max Pain	$92.38	$90.00	$92.50	$90.00	$92.50
ATM IV	16.5%	15.0%	19.0%	15.5%	15.8%
Expected Move	4.7%	3.8%	5.5%	3.8%	4.6%
HV 20d	16.3%	13.2%	17.5%	16.6%	13.4%
HV 60d	13.8%	13.2%	14.5%	13.2%	14.5%
IV Rank	7.9%	2.0%	17.9%	4.0%	5.0%
IV Percentile	11.9%	0.8%	31.3%	4.0%	6.0%
Term Structure	-0.2%	-1.5%	0.5%	-0.1%	0.1%
VWIV	18.8%	15.2%	24.3%	15.2%	17.0%
Skew 25d	4.9%	3.1%	5.8%	3.1%	4.2%
Skew 10d	10.5%	7.3%	12.8%	9.6%	7.5%
Call IV 25d	14.6%	13.4%	16.7%	14.7%	14.1%
Put IV 25d	19.5%	17.7%	22.5%	17.9%	18.3%
Bid-Ask Spread %	11.71	7.38	21.31	10.04	13.44
Gamma HHI	0.21	0.08	0.82	0.20	0.11
Net GEX	91.5M	-77.2M	626.7M	130.5M	-77.2M
Net DEX	-1.58B	-2.78B	646.5M	-2.42B	646.5M
Net VEX	-13.9M	-14.6M	-13.2M	-13.8M	-13.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.42	2.46	1.43	1.46
Total Volume	71,162.7	34,750	204,335	66,372	204,335
Total OI	1,084,169.45	896,737	1,272,364	1,131,401	1,072,557

Daily Data (20 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
2016-07-01	$93.90	$90.00	15.5%	3.8%	16.6%	4.0%	15.2%	3.1%	-0.1%	130.5M	-2.42B	-13.8M	1.43	10.04	27,310	39,062	541,847	589,554
2016-07-05	$92.87	$92.50	16.8%	5.0%	17.1%	9.0%	18.0%	4.2%	0.5%	105.2M	-1.92B	-13.7M	0.95	9.01	29,913	28,340	535,006	586,550
2016-07-06	$94.05	$92.50	18.3%	5.0%	16.6%	15.0%	24.3%	5.4%	0.4%	107.1M	-2.28B	-13.8M	2.46	9.21	25,568	62,834	538,735	592,246
2016-07-07	$92.85	$92.50	19.0%	5.5%	17.4%	17.9%	21.5%	5.8%	0.4%	76.1M	-1.75B	-14.2M	1.56	7.82	32,804	51,193	541,907	628,657
2016-07-08	$93.52	$92.50	17.4%	5.2%	17.5%	11.2%	20.4%	5.0%	0.4%	102.2M	-2.08B	-13.8M	0.74	11.22	34,651	25,780	547,075	646,570
2016-07-11	$93.91	$92.50	16.8%	4.5%	17.0%	9.1%	20.4%	5.8%	-1.5%	121.4M	-2.32B	-13.4M	0.61	9.93	43,927	26,700	552,205	637,290
2016-07-12	$94.90	$92.50	15.9%	4.5%	17.2%	5.5%	18.2%	5.2%	-0.4%	138.3M	-2.71B	-13.2M	1.07	7.38	34,488	36,890	559,210	646,845
2016-07-13	$94.87	$92.50	15.9%	4.5%	17.1%	5.3%	19.8%	5.3%	-0.0%	136.2M	-2.66B	-13.5M	1.95	10.75	22,150	43,175	567,329	665,399
2016-07-14	$95.00	$92.50	16.0%	4.5%	16.9%	5.6%	17.5%	5.1%	-0.2%	147.7M	-2.72B	-13.3M	0.69	8.67	37,795	26,171	570,805	691,505
2016-07-15	$95.05	$92.50	15.0%	4.2%	16.5%	2.0%	17.2%	4.3%	-0.5%	626.7M	-2.78B	-13.6M	0.42	9.25	72,775	30,379	577,269	695,095
2016-07-18	$94.85	$92.50	15.9%	4.5%	16.4%	5.3%	17.6%	5.2%	-0.6%	70.5M	-1.63B	-13.9M	2.16	12.56	16,506	35,583	467,367	429,370
2016-07-19	$94.37	$92.50	15.6%	4.4%	16.6%	4.2%	18.3%	5.6%	-0.1%	53.2M	-1.47B	-13.9M	0.84	10.00	18,880	15,870	472,791	452,752
2016-07-20	$93.99	$92.50	15.9%	4.6%	16.7%	5.5%	17.9%	5.2%	-0.2%	40.8M	-1.34B	-14.5M	1.23	12.83	18,857	23,124	480,372	459,139
2016-07-21	$93.81	$92.50	16.2%	4.7%	16.6%	6.8%	17.2%	5.2%	-0.6%	32.9M	-1.24B	-14.6M	0.89	21.31	20,109	17,876	484,332	469,592
2016-07-22	$93.89	$92.50	15.2%	4.4%	16.6%	2.7%	17.7%	5.0%	-0.1%	45.0M	-1.31B	-14.3M	1.06	10.46	17,935	18,925	491,765	473,808
2016-07-25	$92.16	$92.50	18.2%	5.4%	16.4%	14.7%	19.5%	5.3%	-0.2%	23.5M	-777.7M	-14.3M	1.91	12.56	25,204	48,050	489,527	466,666
2016-07-26	$91.53	$92.50	17.3%	5.2%	16.1%	10.9%	19.3%	4.3%	-0.5%	7.7M	-554.3M	-14.2M	2.29	15.77	23,131	53,066	498,956	495,369
2016-07-27	$90.77	$92.50	17.5%	5.3%	14.6%	12.0%	19.9%	4.3%	-0.5%	-20.5M	-252.9M	-14.5M	1.59	18.25	15,473	24,542	505,215	524,066
2016-07-28	$90.21	$92.50	16.2%	4.9%	13.2%	6.7%	18.1%	3.9%	-0.2%	-37.6M	-40.5M	-14.1M	2.06	13.71	30,631	63,252	508,017	530,629
2016-07-29	$88.67	$92.50	15.8%	4.6%	13.4%	5.0%	17.0%	4.2%	0.1%	-77.2M	646.5M	-13.7M	1.46	13.44	83,059	121,276	517,129	555,428