XOM Options History — December 2017

In December 2017, XOM traded between $82.25 and $84.00. ATM implied volatility averaged 10.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.0% (HV 20d: 9.9%). Max pain ranged from $82.50 to $82.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-12-21: Highest Volume — 86,164 contracts
  • 2017-12-21: Largest IV spike — 14.7% change
  • 2017-12-04: Highest IV Rank — 25.8%
  • 2017-12-04: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.21$82.25$84.00$83.39$83.87
Max Pain$82.50$82.50$82.50$82.50$82.50
ATM IV10.9%9.8%12.3%12.0%11.6%
Expected Move3.2%2.8%3.7%3.6%2.9%
HV 20d9.9%8.1%11.4%10.9%8.1%
HV 60d8.7%8.4%9.0%8.5%8.4%
IV Rank11.4%0.0%25.8%21.9%19.0%
IV Percentile6.2%0.0%19.0%11.9%11.5%
Term Structure0.7%-0.3%2.1%0.3%2.1%
VWIV11.2%9.8%13.3%12.8%10.7%
Skew 25d1.9%1.5%2.3%2.0%1.9%
Skew 10d4.0%3.2%5.4%4.3%3.9%
Call IV 25d10.2%8.9%11.8%11.4%10.3%
Put IV 25d12.1%10.7%14.0%13.4%12.2%
Bid-Ask Spread %8.323.0225.804.163.02
Gamma HHI0.130.100.190.120.19
Net GEX91.3M38.6M170.9M112.6M154.3M
Net DEX-460.3M-833.8M-139.6M-596.7M-727.1M
Net VEX-7.0M-7.7M-6.4M-7.7M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.471.880.570.70
Total Volume40,584.5526,80486,16451,45135,232
Total OI944,237.6889,448973,843933,197968,124

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$83.39$82.5012.0%3.6%10.9%21.9%12.8%2.0%0.3%112.6M-596.7M-7.7M0.574.1632,72918,722429,825503,372
2017-12-04$83.61$82.5012.3%3.7%10.9%25.8%13.3%2.2%0.3%81.9M-546.2M-7.6M1.255.7217,98922,433420,443497,276
2017-12-05$82.91$82.5011.6%3.6%11.0%17.9%12.4%1.5%0.6%68.3M-357.2M-7.3M1.086.9918,99320,597427,450505,539
2017-12-06$82.25$82.5012.0%3.5%11.3%22.5%11.9%2.3%0.2%45.4M-155.2M-7.2M0.864.0627,62823,678433,961502,321
2017-12-07$82.57$82.5010.8%3.4%11.4%10.4%11.9%2.3%0.4%47.8M-185.0M-7.1M1.883.789,29217,512442,173513,094
2017-12-08$82.54$82.5010.4%3.2%11.1%6.3%11.1%2.0%0.6%44.4M-201.3M-7.0M0.8114.5719,24515,494442,362517,266
2017-12-11$83.08$82.5010.3%3.1%10.4%4.8%11.0%1.6%0.6%89.7M-359.6M-7.0M1.025.8814,80115,108443,314509,168
2017-12-12$82.75$82.5010.5%3.1%10.5%7.7%11.3%1.9%0.2%74.8M-294.1M-6.9M1.5019.3112,59018,942443,395511,294
2017-12-13$83.25$82.5010.2%3.1%10.2%4.4%10.4%1.6%0.4%90.6M-439.7M-6.8M1.0211.5714,56114,857445,995516,938
2017-12-14$82.97$82.509.8%3.0%9.3%0.1%11.0%1.8%0.7%97.0M-383.8M-6.6M1.2116.5415,20518,415448,010517,832
2017-12-15$82.88$82.5010.0%3.0%8.6%2.2%10.7%1.9%0.8%104.6M-329.0M-6.6M1.095.2220,60122,514451,029522,814
2017-12-18$83.02$82.5010.0%2.9%8.4%2.5%10.2%2.1%0.3%54.8M-310.9M-6.6M0.754.7323,08917,338401,382488,066
2017-12-19$82.46$82.509.8%2.8%8.9%0.3%9.8%1.8%0.6%38.6M-139.6M-6.4M0.674.7428,57419,061410,482492,317
2017-12-20$82.89$82.509.8%2.8%8.9%0.0%9.8%1.9%0.7%68.0M-320.9M-6.8M0.754.2724,22418,157425,167496,280
2017-12-21$83.90$82.5011.2%3.2%9.7%14.4%11.3%1.7%-0.3%110.8M-738.4M-7.2M0.4725.8058,73027,434438,378499,045
2017-12-22$84.00$82.5011.0%3.1%9.7%12.5%11.1%1.6%0.6%170.9M-833.8M-7.5M0.539.9929,92015,982458,952504,997
2017-12-26$84.00$82.5011.7%3.3%9.6%19.1%11.6%2.0%1.9%114.3M-776.7M-7.2M0.764.4818,85214,406448,168494,369
2017-12-27$83.91$82.5011.7%3.1%9.5%19.2%11.3%1.7%1.4%123.8M-738.3M-7.1M1.035.1717,60418,100455,132498,900
2017-12-28$83.98$82.5011.5%3.1%9.2%17.7%10.8%1.7%2.1%132.5M-773.5M-7.1M0.866.4917,76815,314457,853502,269
2017-12-29$83.87$82.5011.6%2.9%8.1%19.0%10.7%1.9%2.1%154.3M-727.1M-7.0M0.703.0220,77114,461463,434504,690