XOM Options History — July 2017

In July 2017, XOM traded between $79.58 and $82.10. ATM implied volatility averaged 15.5%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.8% (HV 20d: 12.7%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-07-28: Highest Volume — 170,718 contracts
  • 2017-07-31: Largest IV drop — 12.3% change
  • 2017-07-07: Highest IV Rank — 62.3%
  • 2017-07-07: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.61$79.58$82.10$82.10$80.28
Max Pain$81.75$80.00$82.50$82.50$80.00
ATM IV15.5%12.2%17.3%14.7%12.2%
Expected Move4.4%3.6%5.0%3.8%3.6%
HV 20d12.7%10.8%15.5%14.6%12.0%
HV 60d12.4%12.0%12.8%12.4%12.0%
IV Rank42.5%5.2%62.3%32.8%5.2%
IV Percentile49.0%0.8%72.6%36.1%0.8%
Term Structure-0.4%-1.8%1.0%-0.1%0.1%
VWIV15.1%12.3%17.1%13.0%12.3%
Skew 25d2.8%2.3%3.5%2.5%2.9%
Skew 10d5.7%4.7%6.2%6.2%5.3%
Call IV 25d14.1%11.1%16.0%13.7%11.1%
Put IV 25d16.9%14.0%18.7%16.2%14.0%
Bid-Ask Spread %10.487.4218.969.049.37
Gamma HHI0.160.090.690.100.09
Net GEX-29.9M-433.4M62.4M62.4M22.2M
Net DEX469.0M28.2M788.3M28.2M298.7M
Net VEX-8.4M-9.1M-7.7M-9.1M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.331.410.330.45
Total Volume54,161.228,888170,71844,16579,945
Total OI931,854.65783,8521,011,251941,506849,590

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$82.10$82.5014.7%3.8%14.6%32.8%13.0%2.5%-0.1%62.4M28.2M-9.1M0.339.0433,27010,895419,672521,834
2017-07-05$80.86$82.5015.7%4.1%15.3%44.8%14.5%2.3%1.0%1.6M491.1M-9.1M0.648.6524,80115,883425,178522,518
2017-07-06$80.14$82.5016.8%4.8%15.5%56.4%17.1%3.1%0.7%-32.6M713.0M-9.0M0.497.4228,85914,115430,849527,776
2017-07-07$80.28$82.5017.3%5.0%15.5%62.3%16.3%2.3%0.7%-24.3M641.3M-8.7M0.717.9653,07737,905440,983530,588
2017-07-10$80.21$82.5017.3%4.8%14.1%62.0%16.6%2.5%-0.8%-21.5M619.3M-8.6M0.858.2416,05713,603433,405528,786
2017-07-11$80.63$82.5017.2%5.0%13.5%61.4%16.5%3.0%0.1%-6.3M479.2M-8.9M0.627.9922,88214,135438,858535,378
2017-07-12$80.96$82.5016.8%4.8%13.6%56.7%16.3%3.5%0.1%9.3M363.6M-8.8M0.788.5827,13021,095443,235537,964
2017-07-13$80.92$82.5016.4%4.7%13.2%52.3%15.2%2.9%0.3%3.1M405.5M-8.6M0.5710.2418,42910,459448,237544,181
2017-07-14$81.31$82.5015.5%4.2%13.3%41.8%14.8%2.6%-1.7%28.6M278.8M-8.7M0.667.9023,04115,204450,563546,454
2017-07-17$80.91$82.5016.0%4.6%11.7%47.5%15.4%3.0%-1.5%-16.8M457.4M-8.3M1.418.4415,36421,677440,346537,374
2017-07-18$80.62$82.5016.1%4.6%11.3%48.5%15.1%2.9%-1.1%-52.7M608.2M-8.0M0.819.2217,73214,314443,508546,209
2017-07-19$80.81$82.5015.6%4.5%11.3%43.0%15.2%2.9%-1.8%-47.3M518.0M-8.0M0.659.5625,17816,412447,316548,381
2017-07-20$80.92$82.5015.3%4.4%10.8%39.5%14.2%3.1%-1.6%-38.5M441.3M-7.8M1.1110.3720,54622,880453,151554,652
2017-07-21$80.07$82.5015.2%4.4%11.3%38.9%14.8%2.9%-0.7%-433.4M788.3M-7.9M1.149.3930,11634,374456,077555,174
2017-07-24$79.90$80.0014.6%4.3%11.1%31.7%14.6%2.8%-0.2%-12.2M512.5M-7.7M1.0014.1126,82026,860339,082444,770
2017-07-25$80.47$80.0014.5%4.3%11.5%31.2%15.0%2.9%-0.2%7.5M388.2M-8.0M0.5514.1629,28016,204347,569453,097
2017-07-26$80.52$80.0014.5%4.3%11.5%31.5%15.3%3.3%0.1%8.5M381.8M-8.1M0.9816.2721,01220,623355,131458,568
2017-07-27$80.65$80.0015.1%4.6%11.4%38.1%16.0%3.1%-0.4%11.2M342.5M-8.2M0.6618.9643,60828,721361,622464,922
2017-07-28$79.58$80.0013.9%3.9%11.6%24.4%13.9%2.5%-0.2%-66.8M622.9M-7.8M0.5613.64109,34661,372379,191474,904
2017-07-31$80.28$80.0012.2%3.6%12.0%5.2%12.3%2.9%0.1%22.2M298.7M-7.8M0.459.3754,97724,968375,964473,626