XOM Options History — May 2017

In May 2017, XOM traded between $80.61 and $82.87. ATM implied volatility averaged 13.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.3% (HV 20d: 11.2%). Max pain ranged from $82.00 to $82.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-05-08: Highest Volume — 91,366 contracts
  • 2017-05-17: Largest IV spike — 11.3% change
  • 2017-05-17: Highest IV Rank — 22.3%
  • 2017-05-17: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.08$80.61$82.87$82.14$80.61
Max Pain$82.43$82.00$82.50$82.00$82.50
ATM IV13.6%12.8%14.7%14.0%13.6%
Expected Move3.9%3.5%4.2%3.7%3.9%
HV 20d11.2%10.1%12.9%10.1%10.6%
HV 60d11.6%10.3%12.4%11.9%10.3%
IV Rank10.4%3.0%22.3%14.6%10.7%
IV Percentile8.4%1.2%27.8%10.3%10.7%
Term Structure0.2%-0.4%1.1%0.1%-0.4%
VWIV13.9%12.5%15.2%13.2%13.4%
Skew 25d2.1%0.9%3.1%2.1%1.9%
Skew 10d4.5%1.8%6.0%6.0%4.0%
Call IV 25d12.8%12.1%13.9%12.5%12.8%
Put IV 25d15.0%13.8%17.0%14.6%14.7%
Bid-Ask Spread %11.217.0421.0617.7711.59
Gamma HHI0.120.090.240.110.12
Net GEX19.7M-47.7M118.5M11.8M-47.7M
Net DEX293.0M-65.0M702.0M325.8M702.0M
Net VEX-9.7M-10.3M-8.6M-8.6M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.432.610.570.89
Total Volume56,161.54535,22591,36635,22542,917
Total OI960,972.5849,8271,036,510849,827952,791

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$82.14$82.0014.0%3.7%10.1%14.6%13.2%2.1%0.1%11.8M325.8M-8.6M0.5717.7722,39912,826367,412482,415
2017-05-02$81.97$82.0013.1%3.7%10.1%5.5%14.3%2.4%-0.1%12.4M347.0M-8.8M1.0821.0635,46938,266372,712486,871
2017-05-03$82.84$82.0013.0%3.7%10.8%4.6%14.5%2.6%0.4%41.4M100.8M-9.5M0.8719.4828,09524,406391,723512,339
2017-05-04$81.57$82.5014.3%4.2%12.1%17.7%15.2%2.6%0.2%-23.4M497.1M-9.4M0.7410.5534,29925,490403,225519,796
2017-05-05$81.94$82.5013.5%3.9%12.0%9.7%15.2%2.5%0.4%-2.5M398.1M-9.3M2.617.0425,32766,027404,019525,026
2017-05-08$82.76$82.5013.5%3.8%12.6%10.0%13.2%1.6%0.1%31.5M201.3M-9.5M0.737.7052,68438,682393,846549,741
2017-05-09$82.30$82.5012.9%3.8%12.5%4.1%13.0%0.9%0.2%39.3M185.0M-9.3M0.438.5253,12722,743413,010549,594
2017-05-10$81.88$82.5013.4%3.8%12.5%8.5%13.8%2.1%-0.2%23.3M304.3M-9.9M0.509.0833,12116,686415,848559,341
2017-05-11$82.53$82.5013.5%3.9%12.9%10.2%13.8%1.8%0.3%69.6M46.5M-10.1M0.668.8236,06823,917421,018560,357
2017-05-12$82.43$82.5013.4%3.9%12.0%8.7%14.8%1.8%0.2%118.5M105.0M-10.1M0.718.9331,29922,348428,248561,161
2017-05-15$82.87$82.5012.8%3.7%12.1%3.0%13.5%2.1%0.2%74.2M-65.0M-10.0M0.798.6628,34622,531419,554559,038
2017-05-16$82.53$82.5013.2%3.8%11.9%7.2%13.5%2.4%0.3%71.0M31.3M-10.1M1.919.3817,19132,870427,770567,946
2017-05-17$82.13$82.5014.7%4.2%11.3%22.3%14.9%3.0%1.1%37.0M212.9M-10.0M1.889.1318,93735,567431,347577,831
2017-05-18$81.87$82.5014.6%4.2%10.6%20.6%15.1%3.1%0.3%19.0M403.1M-10.3M1.038.5625,18425,822435,654596,231
2017-05-19$81.90$82.5014.1%4.0%10.5%16.0%14.0%2.5%0.6%-1.4M442.7M-9.8M0.839.3232,74227,319437,915598,595
2017-05-22$82.22$82.5013.5%3.8%10.5%9.3%13.3%1.8%0.1%5.7M261.6M-9.7M0.7710.1822,32817,169401,358551,222
2017-05-23$82.66$82.5013.5%3.9%10.4%9.4%13.4%2.0%-0.2%25.3M141.3M-10.1M0.8013.5225,83920,614409,975555,142
2017-05-24$82.24$82.5013.8%4.0%10.5%12.8%13.8%1.9%0.0%10.6M287.1M-10.2M1.4512.2418,24026,511420,578564,219
2017-05-25$81.70$82.5013.9%3.9%10.7%13.3%13.4%1.8%-0.0%-22.0M485.7M-9.9M1.2811.7028,89236,957423,600566,256
2017-05-26$81.51$82.5012.9%3.5%10.5%3.3%12.5%1.7%0.2%-40.5M504.3M-9.6M1.3314.4418,23324,260426,501560,143
2017-05-30$81.24$82.5013.2%3.8%10.3%7.1%13.1%1.9%-0.2%-18.8M527.4M-9.1M1.028.9621,73922,067407,550532,477
2017-05-31$80.61$82.5013.6%3.9%10.6%10.7%13.4%1.9%-0.4%-47.7M702.0M-9.3M0.8911.5922,73820,179413,291539,500