XOM Options History — October 2016

In October 2016, XOM traded between $83.31 and $88.46. ATM implied volatility averaged 18.2%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.0% (HV 20d: 19.3%). Max pain ranged from $85.00 to $86.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-10-28: Highest Volume — 124,787 contracts
  • 2016-10-11: Largest IV spike — 11.3% change
  • 2016-10-13: Highest IV Rank — 29.6%
  • 2016-10-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.69$83.31$88.46$87.09$83.31
Max Pain$85.10$85.00$86.50$85.00$85.50
ATM IV18.2%16.8%20.6%17.4%18.6%
Expected Move5.2%4.6%5.8%4.7%5.8%
HV 20d19.3%11.1%23.3%23.3%15.2%
HV 60d18.2%16.6%18.8%18.2%17.8%
IV Rank20.8%15.6%29.6%17.6%22.2%
IV Percentile42.5%28.6%59.5%34.1%49.6%
Term Structure-0.1%-1.9%0.9%0.8%-0.1%
VWIV19.0%16.6%20.9%17.1%20.9%
Skew 25d4.5%3.6%5.2%3.9%4.4%
Skew 10d8.5%6.9%11.1%8.3%7.8%
Call IV 25d16.5%14.9%18.9%15.6%17.2%
Put IV 25d21.0%19.4%24.0%19.5%21.7%
Bid-Ask Spread %11.317.3519.777.8810.96
Gamma HHI0.090.070.130.090.07
Net GEX38.2M-31.3M79.6M52.9M-30.1M
Net DEX-260.8M-876.3M776.3M-457.7M776.3M
Net VEX-11.3M-12.0M-10.1M-12.0M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.671.481.320.77
Total Volume47,907.85727,605124,78738,02966,676
Total OI1,047,092.524895,8441,138,1101,053,801954,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$87.09$85.0017.4%4.7%23.3%17.6%17.1%3.9%0.8%52.9M-457.7M-12.0M1.327.8816,38821,641566,617487,184
2016-10-04$86.25$85.0018.0%4.8%23.0%20.0%16.9%3.9%0.8%36.1M-190.4M-11.8M1.299.2215,05619,497571,720492,271
2016-10-05$86.99$85.0017.5%4.6%23.3%18.0%16.6%3.7%0.8%56.6M-434.6M-11.9M1.1811.0618,43821,715575,962495,390
2016-10-06$86.98$85.0017.8%5.1%22.9%19.2%17.2%3.7%0.6%59.8M-438.0M-11.8M0.869.3423,43620,129579,304500,514
2016-10-07$86.78$85.0017.8%5.0%21.2%19.3%19.0%3.6%0.9%55.2M-351.9M-11.7M0.878.3324,78921,492585,111504,302
2016-10-10$88.46$85.0017.9%5.2%22.3%19.7%19.1%4.7%0.1%79.6M-876.3M-11.7M1.129.1927,38430,652571,758493,632
2016-10-11$87.78$85.0020.0%5.5%20.3%27.1%19.0%4.9%-0.8%61.9M-637.9M-11.8M1.188.0423,18927,247577,627505,183
2016-10-12$87.17$85.0019.7%5.5%20.3%26.1%20.6%5.1%-0.7%46.9M-409.6M-11.8M0.6710.3018,90612,727581,889515,896
2016-10-13$86.57$85.0020.6%5.6%20.4%29.6%20.8%5.2%-1.9%27.0M-223.0M-11.6M0.898.9021,62719,323585,360517,490
2016-10-14$86.79$85.0019.5%5.4%20.0%25.4%19.7%5.1%-0.7%33.9M-311.0M-11.6M0.727.5820,33814,564590,888522,890
2016-10-17$86.50$85.0019.1%5.4%20.0%24.2%19.7%4.8%-0.2%25.0M-205.3M-11.3M0.877.3514,79412,811581,699515,217
2016-10-18$86.66$85.0018.3%5.2%19.2%21.2%19.8%4.9%-0.1%29.1M-255.1M-11.2M1.088.6014,72015,932586,850519,086
2016-10-19$87.31$85.0018.4%5.3%19.2%21.2%19.9%4.8%-1.0%47.3M-512.9M-11.1M1.2515.3519,84724,800590,106517,026
2016-10-20$87.00$85.0017.5%5.0%19.3%17.9%19.0%5.0%-0.2%57.6M-390.9M-11.1M1.4811.1416,75224,725601,320529,291
2016-10-21$86.61$85.0017.2%4.9%19.4%17.1%19.4%4.5%-0.3%62.6M-200.3M-10.8M0.678.5028,08318,709603,515534,595
2016-10-24$86.80$85.0016.8%5.1%19.3%15.6%17.8%4.5%0.0%30.0M-185.5M-10.7M0.8315.2421,37017,817450,420445,424
2016-10-25$86.72$85.0017.4%5.3%19.3%17.8%19.4%4.5%-0.1%28.9M-164.6M-10.8M1.0117.1816,75316,992456,940450,944
2016-10-26$87.01$85.0017.7%5.4%11.1%18.9%18.9%4.6%0.1%36.0M-251.5M-11.0M0.8119.7720,82416,797462,482456,446
2016-10-27$87.02$85.0017.6%5.4%11.1%18.6%18.6%4.8%0.1%37.7M-241.5M-11.1M0.6918.5955,81738,521471,400463,442
2016-10-28$84.66$86.5018.2%5.6%14.3%20.8%20.0%4.6%0.1%-31.3M485.3M-10.6M1.4715.0350,53274,255494,759482,844
2016-10-31$83.31$85.5018.6%5.8%15.2%22.2%20.9%4.4%-0.1%-30.1M776.3M-10.1M0.7710.9637,60629,070478,466475,683