XOM Options History — December 2016

In December 2016, XOM traded between $87.20 and $92.82. ATM implied volatility averaged 15.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.5% (HV 20d: 16.3%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2016-12-12: Highest Volume — 116,157 contracts
2016-12-16: Largest IV drop — 7.8% change
2016-12-01: Highest IV Rank — 17.7%
2016-12-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.77	$87.20	$92.82	$87.52	$90.16
Max Pain	$85.24	$85.00	$87.50	$87.50	$85.00
ATM IV	15.8%	14.7%	17.4%	17.4%	16.8%
Expected Move	4.5%	4.2%	5.3%	5.3%	4.5%
HV 20d	16.3%	14.5%	17.7%	16.8%	14.5%
HV 60d	17.1%	15.3%	18.5%	18.5%	15.3%
IV Rank	11.8%	7.7%	17.7%	17.7%	15.4%
IV Percentile	19.5%	7.5%	36.5%	36.5%	34.9%
Term Structure	0.6%	-0.2%	1.8%	-0.2%	1.6%
VWIV	16.3%	15.2%	18.2%	18.2%	16.5%
Skew 25d	2.6%	1.9%	3.2%	3.2%	3.2%
Skew 10d	5.2%	4.2%	6.6%	4.5%	6.4%
Call IV 25d	14.9%	13.9%	16.2%	16.2%	15.1%
Put IV 25d	17.5%	15.9%	19.4%	19.4%	18.3%
Bid-Ask Spread %	11.95	6.22	19.86	16.44	13.60
Gamma HHI	0.19	0.14	0.33	0.15	0.14
Net GEX	110.5M	60.6M	198.5M	105.9M	74.7M
Net DEX	-1.28B	-2.75B	-636.1M	-754.8M	-1.03B
Net VEX	-10.2M	-10.6M	-9.9M	-10.6M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.38	1.88	1.27	0.85
Total Volume	58,566.857	30,234	116,157	85,946	32,408
Total OI	1,085,148.333	998,066	1,196,184	1,102,630	1,042,731

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
2016-12-01	$87.52	$87.50	17.4%	5.3%	16.8%	17.7%	18.2%	3.2%	-0.2%	105.9M	-754.8M	-10.6M	1.27	16.44	37,940	48,006	572,142	530,488
2016-12-02	$87.20	$87.50	16.6%	4.9%	16.9%	14.7%	16.9%	2.7%	-0.1%	60.6M	-636.1M	-10.4M	0.83	19.86	38,390	32,025	576,513	551,429
2016-12-05	$87.49	$85.00	16.0%	4.7%	16.9%	12.7%	16.4%	2.8%	0.4%	97.1M	-690.8M	-10.1M	1.05	9.60	21,398	22,492	558,084	524,225
2016-12-06	$87.60	$85.00	16.5%	4.7%	15.9%	14.5%	16.8%	2.9%	0.1%	92.3M	-700.9M	-10.2M	1.88	8.87	22,890	43,085	562,689	535,135
2016-12-07	$87.67	$85.00	16.2%	4.7%	15.9%	13.2%	16.4%	2.8%	0.3%	107.4M	-759.1M	-10.1M	0.77	9.52	21,385	16,518	567,512	537,579
2016-12-08	$88.33	$85.00	16.0%	4.8%	15.9%	12.7%	17.7%	2.4%	0.1%	135.6M	-1.04B	-10.3M	0.87	7.69	31,077	27,150	572,247	542,843
2016-12-09	$88.90	$85.00	15.2%	4.3%	15.6%	9.5%	16.2%	2.2%	0.3%	165.4M	-1.29B	-10.0M	1.24	6.59	25,640	31,890	578,751	553,925
2016-12-12	$90.88	$85.00	15.9%	4.7%	15.5%	12.1%	16.3%	2.3%	0.4%	180.9M	-1.97B	-9.9M	0.63	7.29	71,457	44,700	569,795	527,323
2016-12-13	$92.82	$85.00	16.4%	4.8%	16.4%	14.1%	16.9%	1.9%	0.3%	151.1M	-2.75B	-10.2M	0.38	6.22	79,684	30,647	587,232	545,161
2016-12-14	$90.90	$85.00	16.8%	4.9%	17.7%	15.4%	16.7%	2.2%	0.4%	185.6M	-1.96B	-10.5M	0.81	9.05	51,023	41,308	589,997	554,799
2016-12-15	$90.75	$85.00	16.2%	4.7%	16.9%	13.2%	16.8%	2.3%	0.2%	198.5M	-1.86B	-10.5M	1.09	9.34	31,097	33,807	603,246	572,948
2016-12-16	$91.09	$85.00	14.9%	4.4%	16.6%	8.6%	15.3%	1.9%	0.5%	145.4M	-2.06B	-10.6M	0.44	9.04	71,306	31,396	608,165	588,019
2016-12-19	$90.38	$85.00	14.7%	4.2%	17.1%	7.7%	15.2%	2.3%	0.4%	74.6M	-1.15B	-10.1M	0.77	17.70	23,803	18,353	501,875	496,191
2016-12-20	$90.34	$85.00	14.8%	4.2%	16.7%	8.1%	15.4%	2.8%	0.5%	72.0M	-1.06B	-10.3M	0.90	13.57	21,851	19,579	512,479	503,982
2016-12-21	$90.30	$85.00	14.9%	4.3%	16.7%	8.6%	16.2%	2.7%	0.5%	75.6M	-1.12B	-10.2M	0.74	18.02	20,778	15,469	519,418	509,582
2016-12-22	$90.81	$85.00	15.0%	4.3%	16.7%	8.9%	15.7%	2.5%	0.5%	85.1M	-1.32B	-10.2M	0.64	17.04	23,203	14,879	525,652	514,600
2016-12-23	$90.61	$85.00	14.9%	4.2%	16.8%	8.5%	15.4%	2.5%	0.7%	72.4M	-1.26B	-10.3M	1.02	10.94	14,977	15,257	534,618	518,751
2016-12-27	$90.63	$85.00	15.2%	4.3%	16.4%	9.7%	15.8%	2.5%	1.7%	84.1M	-1.22B	-9.9M	0.83	11.19	18,180	15,018	519,164	506,524
2016-12-28	$90.36	$85.00	15.5%	4.3%	16.1%	10.9%	16.0%	2.8%	1.8%	75.3M	-1.10B	-10.0M	0.69	13.86	19,566	13,568	521,283	511,413
2016-12-29	$90.34	$85.00	16.0%	4.3%	14.5%	12.4%	15.8%	3.2%	1.5%	80.0M	-1.11B	-10.0M	0.72	15.45	21,293	15,411	524,739	514,866
2016-12-30	$90.16	$85.00	16.8%	4.5%	14.5%	15.4%	16.5%	3.2%	1.6%	74.7M	-1.03B	-10.0M	0.85	13.60	17,547	14,861	525,076	517,655