XOM Options History — September 2020

In September 2020, XOM traded between $34.25 and $39.34. ATM implied volatility averaged 38.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 12.8% (HV 20d: 25.8%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2020-09-16: Highest Volume — 187,669 contracts
2020-09-23: Largest IV spike — 19.4% change
2020-09-23: Highest IV Rank — 30.6%
2020-09-23: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.74	$34.25	$39.34	$39.34	$34.25
Max Pain	$40.40	$39.00	$45.00	$45.00	$39.00
ATM IV	38.6%	34.2%	45.1%	36.5%	41.5%
Expected Move	10.9%	9.8%	12.2%	10.3%	11.2%
HV 20d	25.8%	21.7%	29.6%	25.8%	27.9%
HV 60d	30.2%	28.6%	35.3%	35.3%	29.8%
IV Rank	24.0%	19.6%	30.6%	21.9%	26.9%
IV Percentile	60.0%	52.0%	73.8%	58.3%	66.7%
Term Structure	-0.0%	-6.6%	4.0%	0.2%	4.0%
VWIV	38.3%	34.3%	42.9%	36.0%	38.3%
Skew 25d	6.2%	4.2%	10.8%	5.5%	6.9%
Skew 10d	13.2%	7.5%	19.6%	12.5%	15.9%
Call IV 25d	36.5%	33.1%	39.7%	35.3%	39.5%
Put IV 25d	42.7%	37.9%	47.9%	40.7%	46.4%
Bid-Ask Spread %	2.47	2.08	3.75	2.11	2.36
Gamma HHI	0.13	0.10	0.17	0.11	0.12
Net GEX	-22.0M	-30.6M	-15.7M	-16.3M	-22.6M
Net DEX	1.38B	1.06B	1.63B	1.06B	1.63B
Net VEX	-7.6M	-8.3M	-6.9M	-7.5M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.25	1.83	0.48	0.25
Total Volume	99,683.81	56,968	187,669	72,300	87,636
Total OI	1,703,611.524	1,542,977	1,859,863	1,542,977	1,818,951

Daily Data (21 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
2020-09-01	$39.34	$45.00	36.5%	10.3%	25.8%	21.9%	36.0%	5.5%	0.2%	-16.3M	1.06B	-7.5M	0.48	2.11	48,930	23,370	822,825	720,152
2020-09-02	$39.18	$45.00	38.6%	10.9%	25.2%	23.9%	37.9%	5.2%	0.9%	-15.7M	1.07B	-7.6M	1.61	2.32	35,311	57,010	838,700	726,763
2020-09-03	$38.99	$40.00	41.0%	11.6%	25.2%	26.5%	40.9%	5.8%	0.3%	-17.0M	1.10B	-7.7M	0.54	2.64	63,940	34,568	849,722	738,666
2020-09-04	$39.06	$40.00	39.8%	11.2%	25.3%	25.2%	40.2%	7.0%	0.5%	-23.6M	1.08B	-7.9M	0.67	3.75	49,910	33,570	868,687	752,487
2020-09-08	$38.34	$40.00	40.2%	11.9%	23.0%	25.6%	42.9%	6.2%	1.7%	-19.9M	1.20B	-7.5M	0.79	2.56	58,660	46,225	840,143	744,730
2020-09-09	$38.01	$40.00	37.7%	10.9%	21.9%	23.1%	40.9%	5.5%	0.3%	-22.4M	1.25B	-7.4M	1.14	2.16	37,184	42,517	860,565	762,940
2020-09-10	$37.06	$40.00	38.0%	10.9%	22.0%	23.4%	38.5%	7.1%	-0.1%	-27.6M	1.42B	-6.9M	0.63	2.35	55,322	35,035	871,166	782,892
2020-09-11	$36.85	$40.00	35.7%	10.2%	21.7%	21.0%	36.5%	6.1%	-0.3%	-30.6M	1.48B	-7.0M	1.16	2.31	48,249	55,889	889,429	801,676
2020-09-14	$36.80	$40.00	34.2%	9.8%	21.7%	19.6%	34.3%	5.2%	-1.7%	-27.7M	1.47B	-6.9M	1.58	2.44	62,753	99,070	867,545	797,305
2020-09-15	$36.25	$40.00	36.4%	10.5%	21.8%	21.8%	34.5%	5.0%	-3.4%	-27.3M	1.58B	-7.1M	1.82	2.08	46,631	84,658	909,859	841,283
2020-09-16	$37.89	$40.00	34.5%	9.9%	28.7%	19.8%	34.6%	4.8%	0.3%	-21.8M	1.26B	-8.0M	0.29	2.38	146,031	41,638	925,961	854,424
2020-09-17	$37.45	$40.00	35.7%	10.2%	28.7%	21.0%	35.2%	5.2%	0.4%	-17.7M	1.28B	-8.3M	0.43	2.54	44,208	18,863	989,526	856,081
2020-09-18	$37.11	$40.00	35.8%	10.2%	28.7%	21.2%	36.4%	6.2%	0.7%	-17.1M	1.38B	-8.2M	1.83	2.42	47,980	87,972	1,004,575	855,288
2020-09-21	$36.15	$40.00	39.1%	11.1%	29.6%	24.5%	38.6%	6.6%	-2.4%	-21.5M	1.37B	-8.2M	0.63	3.01	52,809	33,446	839,789	828,482
2020-09-22	$35.64	$40.00	37.8%	11.3%	27.1%	23.2%	39.7%	5.8%	-0.1%	-22.5M	1.45B	-8.0M	0.56	2.13	36,463	20,505	854,988	844,162
2020-09-23	$34.51	$40.00	45.1%	12.2%	27.5%	30.6%	41.7%	10.8%	-6.6%	-22.5M	1.60B	-7.7M	1.34	2.65	50,613	67,659	872,880	854,623
2020-09-24	$34.30	$40.00	43.3%	11.9%	27.1%	28.7%	41.7%	8.8%	-0.7%	-23.5M	1.62B	-7.6M	0.95	2.61	51,801	49,287	889,153	872,850
2020-09-25	$34.68	$40.00	41.0%	11.4%	27.9%	26.4%	38.8%	4.2%	-1.6%	-21.0M	1.55B	-8.0M	0.71	2.37	39,769	28,268	909,902	880,023
2020-09-28	$35.36	$40.00	38.2%	10.7%	27.3%	23.5%	37.7%	5.8%	3.6%	-21.2M	1.47B	-7.9M	0.91	2.58	45,339	41,311	886,526	868,254
2020-09-29	$34.38	$39.50	40.3%	11.1%	28.0%	25.7%	39.6%	7.3%	3.9%	-21.9M	1.61B	-7.5M	1.00	2.18	41,431	41,529	901,221	880,648
2020-09-30	$34.25	$39.00	41.5%	11.2%	27.9%	26.9%	38.3%	6.9%	4.0%	-22.6M	1.63B	-7.8M	0.25	2.36	69,853	17,783	918,491	900,460