XOM Options History — September 2017

In September 2017, XOM traded between $76.57 and $82.41. ATM implied volatility averaged 11.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.7% (HV 20d: 10.6%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2017-09-06: Highest Volume — 107,827 contracts
2017-09-25: Largest IV spike — 15.4% change
2017-09-28: Highest IV Rank — 31.0%
2017-09-05: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.86	$76.57	$82.41	$76.57	$81.98
Max Pain	$79.63	$77.50	$80.00	$77.50	$80.00
ATM IV	11.3%	9.8%	13.1%	11.9%	12.3%
Expected Move	3.1%	2.8%	3.7%	3.1%	2.9%
HV 20d	10.6%	9.0%	13.4%	9.8%	10.7%
HV 60d	11.1%	10.4%	11.9%	11.7%	10.4%
IV Rank	8.4%	0.0%	31.0%	4.6%	23.7%
IV Percentile	4.4%	0.0%	21.0%	3.6%	12.7%
Term Structure	0.6%	0.0%	1.9%	0.3%	0.1%
VWIV	11.2%	9.5%	13.1%	11.0%	10.5%
Skew 25d	2.0%	1.5%	2.6%	2.1%	1.5%
Skew 10d	4.4%	3.0%	6.2%	5.7%	3.0%
Call IV 25d	10.6%	8.8%	12.5%	11.0%	11.8%
Put IV 25d	12.5%	10.6%	14.2%	13.1%	13.3%
Bid-Ask Spread %	10.12	5.24	19.56	12.11	19.56
Gamma HHI	0.15	0.09	0.39	0.14	0.18
Net GEX	45.8M	-47.4M	187.5M	-34.4M	10.7M
Net DEX	121.4M	-689.6M	1.11B	1.11B	-502.6M
Net VEX	-8.6M	-9.0M	-8.3M	-8.3M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.29	1.89	0.62	0.67
Total Volume	48,951.15	33,190	107,827	37,268	34,122
Total OI	970,686.4	880,616	1,040,996	1,000,176	965,947

Daily Data (20 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
2017-09-01	$76.57	$77.50	11.9%	3.1%	9.8%	4.6%	11.0%	2.1%	0.3%	-34.4M	1.11B	-8.3M	0.62	12.11	23,047	14,221	441,150	559,026
2017-09-05	$77.26	$77.50	12.2%	3.7%	10.6%	7.9%	12.8%	2.6%	0.5%	-47.4M	925.9M	-8.5M	0.70	7.86	23,475	16,335	430,878	556,210
2017-09-06	$78.93	$77.50	11.7%	3.4%	13.4%	2.5%	13.1%	2.2%	0.1%	24.2M	398.9M	-8.9M	0.39	7.21	77,636	30,191	437,928	560,834
2017-09-07	$79.00	$80.00	12.2%	3.5%	13.3%	7.8%	12.7%	2.4%	0.1%	47.7M	315.7M	-9.0M	0.44	6.95	31,780	13,913	465,921	570,029
2017-09-08	$78.79	$80.00	12.1%	3.4%	12.0%	6.1%	12.9%	2.1%	0.0%	35.1M	400.5M	-9.0M	0.65	7.48	22,172	14,301	468,942	572,054
2017-09-11	$79.26	$80.00	11.9%	3.5%	11.9%	4.0%	13.1%	2.4%	0.1%	75.2M	260.3M	-8.9M	0.55	5.24	30,607	16,716	459,080	566,760
2017-09-12	$79.46	$80.00	11.5%	3.3%	11.9%	0.1%	11.9%	2.3%	0.1%	81.0M	273.0M	-8.9M	0.67	7.52	36,989	24,717	455,945	573,215
2017-09-13	$79.69	$80.00	10.7%	3.1%	11.8%	0.0%	11.1%	1.7%	0.3%	116.2M	92.8M	-8.5M	0.99	6.96	22,616	22,288	452,413	566,005
2017-09-14	$80.06	$80.00	10.2%	3.0%	11.3%	0.0%	10.6%	2.0%	0.3%	187.5M	-128.4M	-8.4M	0.46	5.65	44,089	20,380	457,124	559,830
2017-09-15	$80.01	$80.00	9.8%	2.9%	9.5%	0.0%	10.4%	1.8%	0.7%	21.5M	-22.3M	-8.4M	0.40	6.93	36,982	14,663	467,150	563,642
2017-09-18	$80.10	$80.00	10.1%	2.9%	9.3%	3.0%	10.3%	1.9%	1.9%	32.2M	67.9M	-8.4M	0.93	11.76	17,185	16,005	390,084	490,532
2017-09-19	$80.19	$80.00	10.4%	3.0%	9.0%	5.6%	10.4%	1.9%	1.5%	28.8M	104.8M	-8.8M	1.89	8.17	16,322	30,850	394,967	495,834
2017-09-20	$80.51	$80.00	10.2%	2.9%	9.0%	3.8%	10.4%	1.7%	1.6%	40.8M	-13.0M	-8.6M	0.74	11.42	23,972	17,630	400,479	508,072
2017-09-21	$79.83	$80.00	10.0%	2.8%	9.7%	2.3%	10.1%	1.6%	1.5%	22.8M	213.8M	-8.5M	0.83	11.28	24,045	20,002	408,852	516,337
2017-09-22	$79.96	$80.00	10.3%	2.8%	9.5%	5.1%	9.5%	1.7%	1.9%	41.8M	179.5M	-8.5M	0.67	12.51	25,221	17,005	413,858	519,021
2017-09-25	$81.00	$80.00	11.9%	3.1%	10.2%	19.8%	10.9%	2.2%	0.3%	37.1M	-96.0M	-8.5M	0.50	14.42	33,959	16,923	403,979	511,963
2017-09-26	$80.89	$80.00	11.9%	3.0%	9.9%	19.6%	10.4%	2.1%	0.4%	49.1M	-136.7M	-8.6M	0.82	13.39	21,373	17,498	419,001	510,389
2017-09-27	$81.37	$80.00	12.1%	2.9%	9.9%	21.5%	11.0%	1.9%	0.4%	67.3M	-324.8M	-8.5M	0.29	13.11	40,385	11,604	425,027	508,008
2017-09-28	$82.41	$80.00	13.1%	3.0%	10.2%	31.0%	11.4%	1.8%	0.0%	79.7M	-689.6M	-8.7M	0.45	12.93	39,795	18,009	435,406	511,836
2017-09-29	$81.98	$80.00	12.3%	2.9%	10.7%	23.7%	10.5%	1.5%	0.1%	10.7M	-502.6M	-8.6M	0.67	19.56	20,381	13,741	443,966	521,981