XOM Options History — November 2016

In November 2016, XOM traded between $83.54 and $87.70. ATM implied volatility averaged 18.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.3% (HV 20d: 16.4%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2016-11-09: Highest Volume — 114,568 contracts
2016-11-07: Largest IV drop — 11.2% change
2016-11-16: Highest IV Rank — 29.0%
2016-11-28: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.68	$83.54	$87.70	$83.66	$87.70
Max Pain	$87.26	$85.00	$87.50	$85.00	$87.50
ATM IV	18.7%	17.0%	20.5%	18.5%	17.3%
Expected Move	5.5%	4.9%	6.1%	5.7%	5.2%
HV 20d	16.4%	14.2%	18.8%	15.1%	16.7%
HV 60d	17.7%	16.8%	18.5%	17.6%	18.5%
IV Rank	22.4%	16.3%	29.0%	21.7%	17.4%
IV Percentile	51.4%	32.1%	66.3%	48.4%	35.3%
Term Structure	-0.2%	-0.9%	0.6%	-0.2%	-0.2%
VWIV	19.6%	17.1%	22.7%	20.3%	18.7%
Skew 25d	3.4%	2.7%	4.6%	4.4%	2.8%
Skew 10d	6.8%	5.0%	8.4%	8.4%	6.2%
Call IV 25d	17.4%	15.5%	19.0%	17.2%	16.1%
Put IV 25d	20.9%	18.9%	22.4%	21.7%	18.9%
Bid-Ask Spread %	13.69	9.47	21.65	15.74	21.65
Gamma HHI	0.12	0.07	0.25	0.07	0.16
Net GEX	33.8M	-55.0M	110.1M	-27.4M	110.1M
Net DEX	-89.3M	-851.1M	780.6M	690.9M	-851.1M
Net VEX	-10.8M	-11.6M	-10.3M	-10.4M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.51	1.48	1.33	0.86
Total Volume	66,761.19	44,056	114,568	79,712	98,307
Total OI	1,050,542.429	976,146	1,125,845	976,146	1,073,063

Daily Data (21 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
2016-11-01	$83.66	$85.00	18.5%	5.7%	15.1%	21.7%	20.3%	4.4%	-0.2%	-27.4M	690.9M	-10.4M	1.33	15.74	34,252	45,460	491,498	484,648
2016-11-02	$83.65	$85.00	18.1%	5.6%	14.6%	20.4%	20.6%	4.2%	-0.1%	-32.0M	726.2M	-10.6M	0.63	17.39	49,441	31,069	505,353	505,057
2016-11-03	$83.54	$87.50	18.7%	5.5%	14.6%	22.5%	18.9%	4.4%	-0.2%	-27.0M	780.6M	-10.6M	1.15	11.39	20,501	23,555	510,547	516,827
2016-11-04	$83.65	$87.50	19.2%	5.7%	14.6%	24.3%	19.7%	4.6%	-0.2%	-17.1M	729.4M	-10.6M	1.27	11.64	32,732	41,706	515,249	522,468
2016-11-07	$85.07	$87.50	17.0%	4.9%	14.2%	16.3%	18.0%	4.5%	0.3%	-7.2M	354.2M	-10.6M	0.69	12.42	42,358	29,374	499,520	521,836
2016-11-08	$85.55	$87.50	17.2%	5.1%	14.3%	17.1%	18.1%	4.2%	0.5%	13.5M	69.7M	-10.8M	0.91	10.84	26,238	23,887	493,644	531,197
2016-11-09	$86.21	$87.50	18.0%	5.3%	14.5%	19.9%	17.1%	3.3%	0.6%	38.3M	-239.6M	-11.1M	0.51	9.74	75,694	38,874	497,538	532,724
2016-11-10	$87.18	$87.50	18.6%	5.3%	14.8%	22.0%	18.5%	3.0%	0.1%	73.0M	-685.2M	-11.6M	0.57	9.47	57,689	32,989	534,774	537,393
2016-11-11	$85.61	$87.50	19.6%	5.6%	16.2%	25.7%	20.4%	3.5%	0.2%	80.9M	-105.6M	-11.5M	1.37	10.19	41,227	56,381	551,868	546,803
2016-11-14	$85.13	$87.50	19.5%	5.6%	16.3%	25.6%	19.3%	3.3%	-0.2%	12.5M	55.4M	-11.1M	0.79	10.14	28,636	22,694	544,401	527,813
2016-11-15	$86.80	$87.50	19.1%	5.5%	17.8%	23.9%	19.7%	2.9%	-0.1%	68.5M	-550.5M	-11.4M	0.72	10.59	38,109	27,553	546,405	532,240
2016-11-16	$85.72	$87.50	20.5%	5.9%	18.1%	29.0%	19.8%	3.1%	-0.9%	33.0M	-129.4M	-11.2M	0.77	10.48	31,380	24,155	558,238	539,032
2016-11-17	$85.28	$87.50	19.5%	5.6%	18.1%	25.3%	19.2%	3.0%	-0.6%	9.8M	27.6M	-11.0M	0.89	11.21	32,877	29,130	568,086	546,715
2016-11-18	$85.22	$87.50	19.5%	5.6%	18.1%	25.4%	19.2%	2.8%	-0.8%	-55.0M	15.1M	-10.5M	0.76	11.56	36,940	28,180	569,827	556,018
2016-11-21	$86.31	$87.50	18.4%	5.3%	18.7%	21.2%	18.8%	3.0%	-0.5%	67.1M	-396.1M	-10.6M	0.75	13.84	31,769	23,893	528,881	468,341
2016-11-22	$86.72	$87.50	18.8%	5.5%	18.8%	22.8%	19.5%	2.9%	-0.5%	81.0M	-529.9M	-10.9M	0.92	17.19	24,710	22,818	541,097	478,563
2016-11-23	$86.93	$87.50	17.9%	5.3%	18.7%	19.7%	19.8%	2.7%	-0.3%	92.4M	-630.9M	-10.8M	1.29	16.98	19,401	25,106	548,464	488,300
2016-11-25	$87.12	$87.50	18.5%	5.7%	18.8%	21.8%	21.0%	2.8%	-0.5%	102.8M	-702.3M	-10.6M	1.20	19.09	22,616	27,195	555,456	501,444
2016-11-28	$86.42	$87.50	19.2%	6.1%	16.0%	24.2%	22.7%	3.5%	-0.4%	56.4M	-362.3M	-10.5M	1.48	17.75	20,226	29,937	542,117	489,247
2016-11-29	$85.80	$87.50	19.2%	6.1%	15.1%	24.5%	21.9%	2.9%	-0.3%	35.6M	-141.9M	-10.3M	0.85	18.24	28,601	24,325	550,648	508,051
2016-11-30	$87.70	$87.50	17.3%	5.2%	16.7%	17.4%	18.7%	2.8%	-0.2%	110.1M	-851.1M	-10.3M	0.86	21.65	52,951	45,356	556,962	516,101