XOM Options History — March 2017

In March 2017, XOM traded between $81.06 and $83.44. ATM implied volatility averaged 14.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.5% (HV 20d: 13.6%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.80.

Notable Days

2017-03-01: Highest Volume — 90,413 contracts
2017-03-27: Largest IV spike — 12.9% change
2017-03-27: Highest IV Rank — 32.1%
2017-03-14: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.02	$81.06	$83.44	$82.97	$82.26
Max Pain	$84.33	$82.50	$85.00	$82.50	$83.00
ATM IV	14.2%	12.5%	15.7%	14.4%	15.4%
Expected Move	3.8%	3.3%	4.4%	4.0%	3.5%
HV 20d	13.6%	9.7%	15.6%	14.4%	11.0%
HV 60d	13.6%	12.7%	15.0%	14.6%	13.4%
IV Rank	16.3%	0.0%	32.1%	18.1%	28.9%
IV Percentile	12.5%	0.0%	34.9%	10.7%	31.3%
Term Structure	0.5%	-1.0%	2.6%	0.0%	0.3%
VWIV	13.7%	12.1%	15.3%	14.2%	12.4%
Skew 25d	2.1%	1.3%	4.0%	1.7%	2.1%
Skew 10d	4.2%	1.2%	8.2%	2.7%	4.3%
Call IV 25d	13.4%	12.0%	14.9%	13.8%	14.4%
Put IV 25d	15.5%	13.6%	18.6%	15.5%	16.5%
Bid-Ask Spread %	41.29	33.19	52.09	33.92	35.62
Gamma HHI	0.09	0.07	0.15	0.09	0.09
Net GEX	-10.4M	-76.9M	77.1M	-9.2M	31.2M
Net DEX	599.2M	-39.1M	985.2M	370.1M	317.6M
Net VEX	-9.9M	-10.3M	-9.2M	-10.2M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.41	1.35	0.57	0.48
Total Volume	56,146.783	35,363	90,413	90,413	77,827
Total OI	880,973.217	818,941	958,525	860,813	896,628

Daily Data (23 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
2017-03-01	$82.97	$82.50	14.4%	4.0%	14.4%	18.1%	14.2%	1.7%	0.0%	-9.2M	370.1M	-10.2M	0.57	33.92	57,455	32,958	390,293	470,520
2017-03-02	$83.44	$82.50	14.4%	4.1%	14.1%	18.7%	15.3%	2.0%	0.0%	24.1M	188.9M	-10.3M	0.84	37.49	45,261	38,089	400,611	474,682
2017-03-03	$82.44	$82.50	14.1%	3.9%	14.7%	15.7%	14.7%	1.8%	-0.0%	-38.0M	554.2M	-10.2M	1.07	38.58	25,747	27,671	409,971	483,180
2017-03-06	$82.85	$85.00	13.4%	3.9%	14.8%	8.6%	14.0%	2.0%	0.1%	-17.0M	498.7M	-9.9M	0.63	48.09	21,732	13,631	387,096	452,089
2017-03-07	$82.41	$85.00	13.5%	3.9%	14.9%	9.2%	13.7%	1.8%	-0.0%	-32.9M	648.1M	-9.7M	0.46	48.94	39,605	18,257	395,712	454,127
2017-03-08	$81.20	$85.00	15.0%	4.4%	15.6%	25.0%	14.6%	2.1%	-0.1%	-76.9M	985.2M	-9.9M	0.79	47.98	32,430	25,771	418,443	458,116
2017-03-09	$81.58	$85.00	14.7%	4.2%	14.7%	21.6%	14.9%	1.4%	0.4%	-54.1M	857.0M	-10.1M	0.41	47.30	62,618	25,452	427,109	466,115
2017-03-10	$81.58	$85.00	14.2%	3.9%	14.5%	16.3%	14.0%	1.8%	0.4%	-42.3M	814.9M	-10.0M	0.73	51.89	33,039	24,123	443,517	470,021
2017-03-13	$81.36	$85.00	14.0%	3.9%	14.2%	14.6%	14.0%	2.7%	-0.6%	-51.7M	867.0M	-9.9M	1.33	50.40	19,685	26,226	429,104	454,412
2017-03-14	$81.06	$85.00	15.3%	4.4%	14.1%	27.1%	15.3%	1.5%	0.1%	-67.8M	951.7M	-10.0M	0.75	46.39	36,674	27,656	434,040	468,946
2017-03-15	$81.98	$85.00	14.3%	3.8%	14.7%	17.5%	14.1%	1.8%	-0.8%	-26.5M	630.4M	-9.9M	1.26	52.09	31,765	40,175	442,641	483,261
2017-03-16	$81.95	$85.00	13.0%	3.6%	14.6%	4.6%	12.7%	1.7%	-1.0%	-9.2M	673.0M	-10.1M	0.92	49.73	23,971	22,012	450,889	499,638
2017-03-17	$82.16	$85.00	12.5%	3.5%	14.3%	0.0%	12.5%	1.3%	-0.4%	17.8M	633.9M	-10.0M	1.35	50.59	22,447	30,400	457,867	500,658
2017-03-20	$81.95	$85.00	12.6%	3.6%	14.0%	0.8%	13.0%	1.6%	2.3%	5.5M	595.7M	-9.9M	0.58	34.66	23,026	13,313	396,078	422,863
2017-03-21	$81.76	$85.00	14.1%	4.0%	14.0%	15.3%	15.1%	2.4%	1.8%	6.7M	601.4M	-10.0M	1.21	34.13	23,664	28,647	403,833	427,453
2017-03-22	$81.82	$85.00	13.4%	3.8%	13.4%	8.3%	13.6%	2.4%	2.3%	5.2M	612.0M	-10.0M	0.49	34.26	31,492	15,309	412,665	443,453
2017-03-23	$81.76	$85.00	13.4%	3.7%	13.0%	8.9%	13.0%	2.5%	2.6%	9.9M	625.8M	-10.0M	0.66	34.54	22,986	15,175	425,032	449,056
2017-03-24	$81.26	$85.00	13.9%	3.7%	12.8%	14.0%	13.4%	2.4%	2.6%	-15.2M	755.1M	-9.7M	0.61	37.58	23,365	14,222	430,614	452,876
2017-03-27	$81.38	$85.00	15.7%	3.8%	12.5%	32.1%	13.7%	4.0%	-0.1%	-12.3M	733.7M	-9.7M	1.19	34.16	20,179	24,060	411,020	448,503
2017-03-28	$81.84	$83.00	15.0%	3.5%	12.5%	25.5%	12.4%	2.3%	0.7%	4.4M	532.7M	-9.7M	0.73	34.28	32,745	23,748	417,781	445,276
2017-03-29	$82.11	$83.00	15.0%	3.4%	9.7%	25.0%	12.4%	2.4%	-0.0%	31.9M	373.2M	-9.2M	0.66	33.82	22,459	14,863	431,240	440,955
2017-03-30	$83.30	$83.00	14.5%	3.3%	10.9%	20.2%	12.1%	2.2%	0.2%	77.1M	-39.1M	-9.8M	0.76	33.19	33,723	25,723	438,549	445,451
2017-03-31	$82.26	$83.00	15.4%	3.5%	11.0%	28.9%	12.4%	2.1%	0.3%	31.2M	317.6M	-9.4M	0.48	35.62	52,620	25,207	445,538	451,090