XOM Options History — September 2016

In September 2016, XOM traded between $82.85 and $89.18. ATM implied volatility averaged 16.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.1% (HV 20d: 16.5%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-09-28: Highest Volume — 116,899 contracts
  • 2016-09-13: Largest IV spike — 20.9% change
  • 2016-09-29: Highest IV Rank — 22.8%
  • 2016-09-13: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.59$82.85$89.18$86.66$87.44
Max Pain$86.90$85.00$87.50$87.50$85.00
ATM IV16.6%13.9%18.8%15.6%17.4%
Expected Move4.7%3.7%5.3%4.3%4.7%
HV 20d16.5%11.2%23.4%13.8%23.4%
HV 60d17.1%16.1%18.6%16.1%18.3%
IV Rank14.7%4.7%22.8%10.9%17.7%
IV Percentile24.9%1.6%45.6%12.3%34.1%
Term Structure0.2%-0.8%1.1%0.1%-0.2%
VWIV16.5%13.6%18.4%15.4%16.9%
Skew 25d3.9%3.4%5.1%3.9%3.8%
Skew 10d7.9%6.8%9.3%9.1%7.8%
Call IV 25d15.0%12.4%17.3%14.0%16.0%
Put IV 25d18.9%15.8%21.7%17.9%19.8%
Bid-Ask Spread %9.407.6712.958.967.67
Gamma HHI0.070.060.100.070.10
Net GEX-1.2M-38.3M73.5M-16.5M71.8M
Net DEX223.0M-721.7M918.8M93.4M-689.7M
Net VEX-11.8M-12.6M-10.5M-12.6M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.751.740.950.79
Total Volume61,379.04825,072116,89937,31278,438
Total OI1,008,897.19957,2671,084,219990,1741,084,219

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$86.66$87.5015.6%4.3%13.8%10.9%15.4%3.9%0.1%-16.5M93.4M-12.6M0.958.9619,08818,224509,199480,975
2016-09-02$87.28$87.5014.0%3.7%14.0%5.1%13.6%3.6%0.2%5.9M-123.8M-12.6M1.1810.3817,57420,824512,172482,588
2016-09-06$88.44$87.5014.3%4.5%14.2%6.3%15.4%3.9%0.3%39.0M-448.1M-12.5M1.089.6718,37919,938499,970473,547
2016-09-07$88.22$87.5014.4%4.4%14.2%6.6%15.4%3.6%0.3%34.5M-367.7M-12.4M1.3110.0810,85414,218507,484483,178
2016-09-08$89.18$87.5013.9%4.0%11.2%4.7%14.4%3.4%0.3%73.5M-721.7M-12.5M0.837.9624,81920,545509,729486,393
2016-09-09$87.04$87.5016.3%4.7%14.4%13.6%16.6%4.4%0.1%-15.3M-1.2M-12.5M1.208.6927,46633,024515,663492,296
2016-09-12$87.31$87.5015.4%4.5%13.6%10.5%16.0%4.2%0.2%-10.4M-83.1M-12.3M1.348.7121,01728,163513,126485,625
2016-09-13$85.12$87.5018.7%5.3%16.3%22.4%18.2%5.1%-0.0%-33.0M556.1M-12.1M1.108.8430,68733,785519,349491,317
2016-09-14$84.45$87.5018.4%5.2%16.3%21.4%18.4%4.9%-0.3%-37.4M783.9M-11.7M1.749.2935,39661,501523,647499,157
2016-09-15$85.05$87.5017.0%4.9%16.6%16.3%16.9%4.4%0.0%-38.3M688.4M-11.7M1.368.9826,21835,539529,894516,203
2016-09-16$84.18$87.5017.0%4.7%16.3%16.2%16.7%3.6%-0.8%-32.4M918.8M-11.5M1.379.6328,83139,451536,389519,207
2016-09-19$84.02$87.5016.8%4.8%15.9%15.7%16.4%3.9%1.0%-16.4M597.9M-11.3M1.179.6922,10125,871499,085458,182
2016-09-20$82.85$87.5017.7%5.1%16.4%18.9%18.1%3.9%0.9%-23.4M806.6M-11.0M1.6612.9533,18254,969504,636460,479
2016-09-21$83.29$87.5016.8%4.8%16.6%15.5%17.5%3.8%1.0%-23.4M710.5M-11.0M1.3810.0128,63939,403516,807475,331
2016-09-22$83.58$87.5016.1%4.6%16.5%12.9%16.0%3.5%1.1%-17.3M626.8M-10.9M1.218.0927,91433,899525,217481,578
2016-09-23$83.51$86.5016.7%4.7%16.5%15.1%16.6%3.6%1.1%-26.8M638.0M-11.0M1.079.4030,18532,179531,643485,744
2016-09-26$83.12$86.0017.6%4.8%16.5%18.4%16.8%3.9%-0.1%-17.7M718.4M-10.6M0.867.8520,40617,505519,824472,792
2016-09-27$83.11$85.0017.6%4.7%16.3%18.6%16.2%3.5%-0.1%-15.2M699.0M-10.5M0.809.4426,10220,881526,768481,530
2016-09-28$86.89$85.0017.7%4.8%23.4%18.9%17.7%3.8%-0.1%39.3M-375.2M-11.8M0.7611.3166,33850,561535,812484,524
2016-09-29$86.64$85.0018.8%5.1%23.2%22.8%18.3%3.9%-0.3%33.9M-343.3M-11.9M0.759.7054,12440,722555,412500,150
2016-09-30$87.44$85.0017.4%4.7%23.4%17.7%16.9%3.8%-0.2%71.8M-689.7M-12.2M0.797.6743,79634,642575,281508,938