XOM Options History — August 2016

In August 2016, XOM traded between $85.75 and $88.91. ATM implied volatility averaged 14.7%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.2% (HV 20d: 17.9%). Max pain ranged from $87.50 to $92.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2016-08-01: Highest Volume — 122,856 contracts
2016-08-19: Largest IV spike — 10.7% change
2016-08-01: Highest IV Rank — 16.2%
2016-08-01: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.57	$85.75	$88.91	$85.75	$86.92
Max Pain	$88.15	$87.50	$92.50	$92.50	$87.50
ATM IV	14.7%	12.6%	18.6%	18.6%	15.1%
Expected Move	4.2%	3.5%	5.5%	5.5%	4.2%
HV 20d	17.9%	13.6%	20.3%	17.0%	13.8%
HV 60d	16.3%	15.6%	16.7%	16.0%	16.1%
IV Rank	5.0%	0.0%	16.2%	16.2%	9.4%
IV Percentile	4.9%	0.0%	28.6%	28.6%	8.7%
Term Structure	0.3%	-0.5%	1.3%	-0.5%	0.2%
VWIV	15.6%	13.6%	20.8%	19.7%	15.6%
Skew 25d	3.6%	2.9%	4.8%	4.8%	3.8%
Skew 10d	7.5%	5.8%	10.0%	7.5%	9.2%
Call IV 25d	13.5%	12.0%	16.6%	16.6%	13.8%
Put IV 25d	17.1%	15.3%	21.5%	21.5%	17.6%
Bid-Ask Spread %	10.28	8.41	13.70	9.64	8.41
Gamma HHI	0.09	0.07	0.19	0.10	0.07
Net GEX	-10.0M	-74.2M	50.6M	-61.8M	-3.1M
Net DEX	397.7M	-341.7M	1.37B	1.37B	15.7M
Net VEX	-13.3M	-13.9M	-12.7M	-13.2M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.60	2.45	1.29	1.27
Total Volume	54,952.043	21,573	122,856	122,856	50,153
Total OI	1,070,470.348	915,034	1,159,099	1,079,832	980,494

Daily Data (23 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
2016-08-01	$85.75	$92.50	18.6%	5.5%	17.0%	16.2%	19.7%	4.8%	-0.5%	-61.8M	1.37B	-13.2M	1.29	9.64	53,588	69,268	516,173	563,659
2016-08-02	$86.82	$92.50	18.1%	5.3%	17.8%	14.1%	20.8%	4.8%	-0.3%	-50.1M	1.03B	-13.9M	1.29	9.51	38,812	49,999	531,988	580,362
2016-08-03	$87.28	$92.50	16.7%	4.8%	17.2%	8.7%	17.9%	4.3%	-0.1%	-37.2M	873.6M	-13.9M	1.33	9.80	23,868	31,724	542,864	584,885
2016-08-04	$87.31	$87.50	15.6%	4.5%	16.9%	4.1%	16.5%	4.0%	-0.1%	-34.1M	911.3M	-13.7M	0.90	9.82	25,839	23,232	548,876	593,162
2016-08-05	$87.49	$87.50	14.7%	4.3%	16.5%	0.6%	16.3%	3.8%	0.0%	-16.1M	855.0M	-13.6M	0.89	10.53	23,499	20,904	555,984	596,541
2016-08-08	$88.56	$87.50	14.4%	4.4%	17.2%	0.0%	16.0%	3.3%	1.0%	-22.4M	446.2M	-13.6M	0.88	11.35	38,493	33,969	537,765	575,483
2016-08-09	$88.55	$87.50	13.8%	4.3%	16.6%	0.0%	15.1%	3.3%	1.3%	-17.3M	512.6M	-13.6M	1.43	11.06	29,002	41,419	546,551	588,745
2016-08-10	$86.33	$87.50	14.8%	4.2%	18.2%	4.2%	16.1%	3.1%	-0.0%	-74.2M	1.16B	-13.5M	1.17	9.09	25,263	29,606	538,600	610,590
2016-08-11	$86.74	$87.50	14.7%	4.2%	18.4%	3.5%	14.6%	3.0%	-0.1%	-65.5M	1.00B	-13.5M	1.15	10.12	26,630	30,521	542,433	608,003
2016-08-12	$87.88	$87.50	13.7%	4.1%	19.4%	0.0%	14.1%	2.9%	0.9%	-43.5M	581.4M	-13.6M	1.22	8.88	33,807	41,355	548,800	610,299
2016-08-15	$87.73	$87.50	14.0%	4.1%	19.4%	1.2%	14.2%	3.2%	0.4%	-38.3M	597.5M	-13.5M	0.90	10.33	20,315	18,340	542,806	601,704
2016-08-16	$88.05	$87.50	14.1%	4.1%	19.6%	1.7%	14.3%	3.5%	0.2%	-29.5M	475.5M	-13.3M	0.69	9.98	22,380	15,339	542,791	591,413
2016-08-17	$88.11	$87.50	14.0%	4.0%	19.6%	1.1%	13.6%	3.5%	0.3%	-21.7M	441.9M	-13.4M	1.10	13.70	10,279	11,294	547,127	595,237
2016-08-18	$88.91	$87.50	12.6%	3.5%	20.1%	0.0%	14.7%	3.7%	1.2%	-19.1M	115.5M	-13.2M	0.60	12.62	29,335	17,741	548,141	596,960
2016-08-19	$87.82	$87.50	13.9%	4.0%	20.3%	4.9%	13.9%	3.3%	0.2%	44.0M	512.7M	-13.1M	1.29	9.96	29,306	37,690	555,213	600,386
2016-08-22	$88.03	$87.50	14.1%	3.9%	19.6%	5.6%	15.0%	3.6%	0.4%	45.7M	-336.6M	-13.1M	1.12	9.56	20,795	23,313	484,571	430,463
2016-08-23	$87.59	$87.50	14.6%	4.1%	19.5%	7.3%	15.2%	3.4%	0.3%	36.1M	-240.5M	-13.0M	1.10	10.13	17,352	19,120	490,612	436,295
2016-08-24	$88.02	$87.50	14.3%	4.0%	19.6%	6.5%	14.7%	3.6%	0.4%	50.6M	-341.7M	-13.0M	1.58	12.75	12,764	20,144	497,592	442,315
2016-08-25	$87.44	$87.50	14.5%	4.1%	19.6%	7.1%	14.8%	3.6%	0.3%	29.8M	-189.0M	-12.9M	1.51	11.09	19,442	29,391	502,365	452,040
2016-08-26	$87.32	$87.50	14.3%	4.0%	18.7%	6.4%	15.0%	3.7%	0.3%	22.3M	-136.4M	-12.9M	1.54	10.32	20,945	32,354	506,334	455,385
2016-08-29	$87.79	$87.50	13.7%	3.8%	14.2%	4.3%	14.9%	3.5%	0.3%	40.9M	-277.3M	-12.7M	1.22	8.86	17,730	21,596	493,267	450,622
2016-08-30	$87.56	$87.50	14.7%	4.1%	13.6%	7.7%	14.8%	4.0%	0.1%	34.9M	-240.8M	-12.8M	2.45	8.88	16,247	39,734	497,935	456,987
2016-08-31	$86.92	$87.50	15.1%	4.2%	13.8%	9.4%	15.6%	3.8%	0.2%	-3.1M	15.7M	-12.8M	1.27	8.41	22,102	28,051	502,988	477,506