XOM Options History — November 2017

In November 2017, XOM traded between $80.25 and $84.00. ATM implied volatility averaged 12.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.2% (HV 20d: 8.0%). Max pain ranged from $82.50 to $82.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-11-09: Highest Volume — 93,424 contracts
  • 2017-11-16: Largest IV drop — 12.4% change
  • 2017-11-15: Highest IV Rank — 40.6%
  • 2017-11-15: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.26$80.25$84.00$83.88$83.32
Max Pain$82.50$82.50$82.50$82.50$82.50
ATM IV12.2%11.3%14.1%11.8%11.7%
Expected Move3.6%3.3%4.0%3.7%3.3%
HV 20d8.0%5.3%11.0%5.3%11.0%
HV 60d9.1%8.5%9.6%9.6%8.5%
IV Rank23.6%15.2%40.6%19.1%19.1%
IV Percentile14.5%3.2%51.6%6.7%6.0%
Term Structure0.0%-0.8%0.9%0.4%-0.1%
VWIV12.7%11.8%14.3%13.3%11.9%
Skew 25d2.2%1.7%2.7%2.7%2.0%
Skew 10d4.6%3.6%6.3%6.3%4.6%
Call IV 25d11.4%10.5%12.6%11.0%10.8%
Put IV 25d13.6%12.3%15.0%13.7%12.8%
Bid-Ask Spread %13.644.0827.1213.014.64
Gamma HHI0.120.110.160.120.12
Net GEX33.3M-31.7M88.2M86.6M88.2M
Net DEX-86.0M-560.5M553.9M-535.8M-488.2M
Net VEX-7.9M-9.0M-7.2M-8.8M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.211.350.650.52
Total Volume43,958.95224,82993,42437,70661,241
Total OI929,756885,009975,859934,916921,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$83.88$82.5011.8%3.7%5.3%19.1%13.3%2.7%0.4%86.6M-535.8M-8.8M0.6513.0122,81014,896440,454494,462
2017-11-02$83.47$82.5012.1%3.6%5.6%21.3%12.1%2.5%-0.1%67.4M-336.2M-8.5M0.709.0920,37314,333444,963499,452
2017-11-03$83.19$82.5011.5%3.4%5.4%16.2%11.9%2.4%-0.0%57.0M-311.7M-8.3M0.6614.2124,62316,156449,890501,337
2017-11-06$83.74$82.5012.3%3.8%5.7%23.8%13.5%2.3%0.8%74.4M-428.4M-8.5M0.4620.7241,47118,995439,941497,313
2017-11-07$83.54$82.5012.4%3.7%5.7%24.8%12.9%2.1%0.5%65.6M-371.0M-8.4M0.5217.3227,49514,354452,267506,811
2017-11-08$83.40$82.5012.0%3.7%5.6%20.5%12.8%2.0%0.8%68.3M-426.2M-8.3M0.5024.0929,97415,088460,435507,312
2017-11-09$84.00$82.5012.8%3.6%5.9%27.9%14.3%1.7%-0.2%85.5M-560.5M-9.0M0.2118.5277,08316,341464,647511,212
2017-11-10$82.94$82.5012.8%3.9%7.7%28.1%13.5%2.2%0.9%2.4M-201.7M-8.6M0.5712.6528,44216,219426,240514,990
2017-11-13$82.87$82.5012.5%3.7%7.5%25.3%12.5%2.6%-0.6%18.4M-199.0M-8.1M0.6312.0231,77519,887423,354507,685
2017-11-14$82.14$82.5012.6%3.6%8.1%26.7%12.8%2.1%-0.3%-13.7M-11.6M-8.0M1.1312.7920,49623,261416,673509,283
2017-11-15$81.22$82.5014.1%4.0%8.9%40.6%13.1%2.4%-0.8%-20.5M311.2M-7.9M1.0511.1218,35319,219420,700515,781
2017-11-16$80.50$82.5012.4%3.6%9.3%24.3%12.4%2.3%-0.3%-31.7M536.0M-7.3M1.0811.5324,55426,635423,590516,063
2017-11-17$80.25$82.5012.5%3.6%9.1%26.9%12.5%2.3%-0.8%-3.7M553.9M-7.3M1.019.4728,63129,014431,218519,451
2017-11-20$80.58$82.5012.9%3.8%9.3%31.6%13.7%2.1%-0.3%7.0M285.8M-7.6M0.709.4921,33614,923409,631475,378
2017-11-21$80.94$82.5011.4%3.3%9.4%16.2%11.8%2.0%0.2%20.4M141.4M-7.4M1.1412.4119,08521,783416,813479,405
2017-11-22$81.11$82.5011.7%3.4%9.5%19.5%11.9%2.2%-0.2%18.2M136.1M-7.6M1.3520.1612,50316,896417,916486,907
2017-11-24$81.42$82.5011.8%3.3%9.4%20.8%12.9%2.6%0.3%37.1M28.0M-7.6M0.9427.1213,44612,588420,499491,245
2017-11-27$81.15$82.5011.3%3.4%9.4%15.2%12.1%1.8%0.4%6.6M171.7M-7.2M1.334.0810,67014,159409,353487,934
2017-11-28$81.61$82.5012.2%3.6%9.7%24.1%12.8%2.5%-0.1%23.0M23.1M-7.4M1.334.5714,04118,608411,515489,488
2017-11-29$82.25$82.5012.1%3.5%10.2%23.1%12.4%2.4%0.2%41.9M-122.1M-7.4M1.0917.5115,02816,353414,791496,829
2017-11-30$83.32$82.5011.7%3.3%11.0%19.1%11.9%2.0%-0.1%88.2M-488.2M-7.6M0.524.6440,38120,860420,437501,211