XOM Options History — October 2017

In October 2017, XOM traded between $81.59 and $83.60. ATM implied volatility averaged 13.3%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 5.4% (HV 20d: 7.9%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-10-27: Highest Volume — 70,077 contracts
  • 2017-10-27: Largest IV drop — 8.5% change
  • 2017-10-11: Highest IV Rank — 42.8%
  • 2017-10-25: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.65$81.59$83.60$81.59$83.36
Max Pain$80.61$80.00$82.50$80.00$82.50
ATM IV13.3%12.0%14.4%13.5%12.0%
Expected Move3.8%3.0%4.2%3.0%3.7%
HV 20d7.9%4.7%11.1%11.1%5.0%
HV 60d10.1%9.5%10.4%10.4%9.5%
IV Rank32.6%20.7%42.8%34.2%21.0%
IV Percentile27.9%9.1%46.4%31.3%9.5%
Term Structure-0.1%-1.2%1.3%1.0%0.0%
VWIV13.8%11.2%15.2%11.8%14.2%
Skew 25d2.5%1.6%3.4%2.3%2.6%
Skew 10d5.1%2.5%6.9%2.5%4.9%
Call IV 25d12.2%10.7%13.2%12.2%11.2%
Put IV 25d14.7%13.3%16.1%14.6%13.8%
Bid-Ask Spread %10.305.0628.8511.468.02
Gamma HHI0.170.130.360.150.13
Net GEX85.1M53.7M226.8M53.7M76.6M
Net DEX-508.3M-765.7M-317.1M-317.1M-441.2M
Net VEX-8.4M-8.8M-7.8M-8.7M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.291.131.130.77
Total Volume36,985.72721,91370,07731,37335,387
Total OI973,026.636881,8501,059,078953,054925,038

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$81.59$80.0013.5%3.0%11.1%34.2%11.8%2.3%1.0%53.7M-317.1M-8.7M1.1311.4614,70516,668434,836518,218
2017-10-03$81.68$80.0013.2%3.0%10.9%31.4%11.3%1.6%0.6%59.1M-361.2M-8.7M0.737.8416,11911,726437,296525,796
2017-10-04$81.75$80.0013.1%3.0%8.4%30.4%11.2%2.4%1.3%62.6M-374.1M-8.7M0.8111.4713,06910,538440,558528,783
2017-10-05$82.09$80.0013.1%3.8%8.4%30.8%13.9%1.9%1.2%67.5M-474.1M-8.5M0.6910.6615,08710,456442,253530,183
2017-10-06$81.65$80.0013.7%3.8%8.7%35.7%13.9%2.4%0.8%62.2M-343.9M-8.5M0.9910.4618,44218,219446,322534,692
2017-10-09$81.94$80.0013.4%3.8%8.5%33.6%14.0%2.9%-0.5%67.3M-418.9M-8.3M0.899.0116,53414,708441,593531,631
2017-10-10$82.20$80.0014.2%4.0%8.6%40.6%14.9%2.6%-0.4%75.0M-500.8M-8.4M0.799.0129,51023,310446,903538,676
2017-10-11$82.59$80.0014.4%4.0%8.6%42.8%14.2%2.4%-0.5%86.6M-629.1M-8.4M0.705.0612,8809,033455,685550,839
2017-10-12$82.38$80.0014.2%3.9%8.7%41.0%14.9%2.5%-0.4%80.2M-555.6M-8.2M0.667.2314,8149,846458,627552,382
2017-10-13$82.40$80.0013.8%3.8%8.7%37.4%13.3%2.6%-0.6%101.3M-572.5M-8.3M0.477.7724,85911,586461,237554,199
2017-10-16$82.84$80.0013.8%3.9%8.8%37.3%13.9%2.5%-1.2%82.3M-678.0M-8.2M0.496.4121,28510,486457,953552,147
2017-10-17$82.95$80.0013.6%3.9%8.8%35.9%14.4%2.8%-1.2%92.6M-734.9M-7.8M0.468.2718,1968,374466,157556,317
2017-10-18$82.73$80.0013.7%3.9%8.8%36.7%14.3%2.5%-0.9%92.0M-572.8M-8.3M0.297.4641,83412,133468,552558,997
2017-10-19$82.69$80.0013.2%3.8%8.1%32.2%13.6%2.3%-0.9%122.5M-679.8M-8.1M0.5810.7722,82013,147488,136561,127
2017-10-20$83.02$80.0012.6%3.7%8.1%26.3%13.1%2.3%-0.9%226.8M-765.7M-8.3M0.4411.9131,66213,983492,814566,264
2017-10-23$83.23$80.0013.0%4.0%7.0%29.9%14.3%2.3%-0.2%66.9M-394.6M-8.2M0.336.7543,65014,316405,614476,236
2017-10-24$83.42$82.0012.9%3.9%6.9%29.1%14.5%2.7%-0.0%71.7M-484.4M-8.8M0.656.0818,99212,280423,060483,734
2017-10-25$83.14$82.0013.6%4.2%6.9%35.9%15.1%3.4%0.7%70.7M-431.3M-8.1M0.5728.8519,08310,824427,562487,060
2017-10-26$83.52$82.0013.3%4.1%5.6%32.4%15.1%2.8%-0.2%73.3M-493.8M-8.7M0.7022.1729,93421,094430,356490,564
2017-10-27$83.47$82.5012.1%3.6%5.2%21.9%13.1%2.6%0.2%105.3M-514.1M-8.2M0.4113.2549,56420,513439,255500,613
2017-10-30$83.60$82.5012.0%3.7%4.7%20.7%15.2%2.5%0.2%75.4M-445.2M-8.4M0.636.7719,64212,378430,257488,064
2017-10-31$83.36$82.5012.0%3.7%5.0%21.0%14.2%2.6%0.0%76.6M-441.2M-8.1M0.778.0220,00415,383435,383489,655