XOM Options History — January 2017

In January 2017, XOM traded between $83.69 and $90.75. ATM implied volatility averaged 17.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.3% (HV 20d: 14.0%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-01-20: Highest Volume — 99,412 contracts
  • 2017-01-30: Largest IV spike — 15.6% change
  • 2017-01-11: Highest IV Rank — 26.2%
  • 2017-01-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.46$83.69$90.75$90.75$83.69
Max Pain$87.05$85.00$87.50$85.00$85.00
ATM IV17.3%15.0%19.7%17.2%15.4%
Expected Move5.0%4.2%5.7%4.3%4.6%
HV 20d14.0%10.7%17.2%14.4%14.3%
HV 60d15.8%15.3%16.7%15.4%15.6%
IV Rank19.2%12.3%26.2%16.9%14.5%
IV Percentile44.3%11.9%77.0%41.3%16.7%
Term Structure-0.4%-2.1%0.9%0.8%-0.0%
VWIV17.6%15.1%20.2%15.8%15.8%
Skew 25d2.8%-0.7%4.1%3.0%2.7%
Skew 10d5.4%3.1%6.9%6.3%5.2%
Call IV 25d16.0%14.1%18.0%16.2%14.3%
Put IV 25d18.8%15.6%21.2%19.2%17.1%
Bid-Ask Spread %14.708.3726.1315.4118.30
Gamma HHI0.090.060.180.170.08
Net GEX8.4M-47.0M75.1M75.1M-47.0M
Net DEX172.2M-1.19B872.7M-1.19B870.1M
Net VEX-9.0M-9.5M-8.5M-9.5M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.511.270.830.74
Total Volume63,567.638,41399,41238,41380,216
Total OI944,646.1612,0471,170,0521,025,769713,047

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$90.75$85.0017.2%4.3%14.4%16.9%15.8%3.0%0.8%75.1M-1.19B-9.5M0.8315.4121,04017,373513,802511,967
2017-01-04$89.84$86.0017.2%4.2%15.0%16.9%15.1%2.8%0.9%52.5M-876.0M-9.4M0.6515.8226,67317,424518,217518,226
2017-01-05$88.54$87.5017.5%5.3%16.1%18.2%17.9%2.7%0.5%22.5M-385.9M-9.2M0.5310.6728,77015,277523,459525,946
2017-01-06$88.60$87.5016.8%5.1%16.1%15.6%17.4%2.4%0.9%70.8M-433.6M-9.0M0.909.8831,71228,632534,393529,342
2017-01-09$87.14$87.5018.6%5.2%16.9%22.1%18.7%2.9%-0.9%-513.1K73.0M-8.8M1.279.9532,65641,463524,116524,801
2017-01-10$86.08$87.5019.1%5.5%17.2%24.0%18.1%3.0%0.1%-7.5M394.3M-8.7M0.888.3736,28531,895534,642542,188
2017-01-11$86.73$87.5019.7%5.3%15.2%26.2%18.7%3.2%-1.4%-796.8K179.0M-9.2M0.8112.7229,20623,666550,084556,073
2017-01-12$86.41$87.5018.7%5.1%12.4%22.6%18.5%3.0%-0.9%-2.1M269.2M-9.0M0.9314.3829,29427,109555,530561,505
2017-01-13$86.47$87.5017.2%4.8%10.7%16.9%17.1%-0.7%-1.0%-2.7M275.2M-8.9M0.7311.5728,18720,677563,161568,730
2017-01-17$87.05$87.5017.5%5.0%11.1%18.2%17.8%3.4%-0.3%-5.7M16.5M-8.8M0.5111.4055,25727,931552,227558,174
2017-01-18$86.25$87.5018.4%5.3%11.2%21.4%17.5%3.3%-1.9%-1.6M286.7M-8.8M1.1910.3332,32138,527568,012562,496
2017-01-19$84.61$87.5018.3%5.3%12.5%21.0%19.4%4.1%-0.5%12.6M872.7M-8.5M0.7911.2053,07642,028576,861567,048
2017-01-20$85.76$87.5017.5%5.2%13.9%22.6%17.9%2.9%-2.1%-2.5M279.7M-8.9M1.049.0648,70150,711590,699579,353
2017-01-23$85.00$87.5016.8%5.0%14.0%20.5%17.3%3.3%-0.4%-5.9M520.3M-8.8M0.7719.2334,98527,028303,861308,186
2017-01-24$85.23$87.5016.5%5.0%13.8%19.0%17.5%2.7%-0.4%284.0K459.7M-9.1M0.5721.2237,87221,728317,646318,865
2017-01-25$85.42$87.5015.7%4.7%13.9%15.9%17.0%2.5%-0.2%8.4M420.5M-9.3M0.7426.1327,27220,287334,706329,290
2017-01-26$85.54$87.0015.5%4.7%14.0%14.6%17.0%2.6%-0.4%10.5M396.1M-9.4M0.6720.1825,22716,811343,065334,846
2017-01-27$85.29$87.0015.0%4.6%14.0%12.3%16.9%2.5%-0.3%-2.2M472.1M-9.2M0.8818.9933,12829,116352,946341,970
2017-01-30$84.70$86.0017.4%5.7%14.0%24.1%20.2%2.7%-0.2%-6.0M543.4M-9.3M1.2719.1136,08245,709344,160339,282
2017-01-31$83.69$85.0015.4%4.6%14.3%14.5%15.8%2.7%-0.0%-47.0M870.1M-8.8M0.7418.3046,15634,060355,608357,439