XOM Options History — November 2020

In November 2020, XOM traded between $32.92 and $41.91. ATM implied volatility averaged 38.4%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 17.3% (HV 20d: 55.8%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2020-11-09: Highest Volume — 625,447 contracts
  • 2020-11-04: Largest IV drop — 18.8% change
  • 2020-11-02: Highest IV Rank — 32.2%
  • 2020-11-02: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.85$32.92$41.91$33.97$37.98
Max Pain$36.88$35.00$37.50$35.00$37.50
ATM IV38.4%34.5%46.7%46.7%38.4%
Expected Move11.3%9.9%14.5%14.5%11.9%
HV 20d55.8%36.8%66.1%41.3%66.1%
HV 60d41.0%32.2%47.9%33.2%47.9%
IV Rank23.7%19.7%32.2%32.2%23.6%
IV Percentile46.2%36.9%75.0%75.0%45.6%
Term Structure-0.4%-2.2%1.8%-0.7%0.8%
VWIV40.4%34.0%51.8%51.8%42.6%
Skew 25d1.7%-0.7%4.1%4.1%0.2%
Skew 10d3.5%-3.6%8.1%6.9%1.9%
Call IV 25d38.8%36.5%46.1%46.1%39.8%
Put IV 25d40.6%36.3%50.3%50.3%40.0%
Bid-Ask Spread %2.681.994.922.762.51
Gamma HHI0.100.060.190.090.10
Net GEX19.8M-18.1M52.1M3.0M23.8M
Net DEX297.1M-1.28B1.22B886.1M126.2M
Net VEX-9.8M-11.8M-7.2M-8.6M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.291.051.050.50
Total Volume169,317.471,972625,447242,554155,676
Total OI2,094,582.051,900,3852,314,4161,900,3852,097,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$33.97$35.0046.7%14.5%41.3%32.2%51.8%4.1%-0.7%3.0M886.1M-8.6M1.052.76118,113124,4411,109,234791,151
2020-11-03$33.59$35.0046.5%14.3%41.4%32.0%50.4%2.4%-1.9%1.0M958.7M-8.2M0.622.8377,83447,9091,109,234791,151
2020-11-04$33.43$35.0037.8%11.1%41.5%23.1%39.5%2.5%0.2%-5.0M1.07B-7.6M0.553.2166,94236,8101,171,738819,921
2020-11-05$33.25$37.5037.1%10.7%36.9%22.5%37.4%1.6%-0.3%-9.1M1.12B-7.5M0.841.9945,50638,1251,195,007829,160
2020-11-06$32.92$35.0035.8%10.6%36.8%21.2%38.2%0.8%0.1%-18.1M1.22B-7.2M0.522.0867,66334,8601,207,949839,725
2020-11-09$37.20$35.0034.5%9.9%57.6%19.7%34.0%-0.7%0.4%27.1M96.0M-8.7M0.552.50402,310223,1371,172,811831,580
2020-11-10$36.77$37.5037.5%10.6%57.6%22.7%38.3%3.5%-0.6%11.0M502.1M-9.7M0.402.1490,42836,2191,131,482863,512
2020-11-11$36.27$37.5038.1%11.1%57.9%23.3%39.2%2.3%0.6%8.3M588.8M-9.6M0.362.45177,27864,4361,145,496867,982
2020-11-12$35.02$37.5038.8%11.2%59.5%24.0%40.3%2.9%0.3%-945.8K909.5M-9.4M0.573.8387,92250,3741,263,932908,519
2020-11-13$36.16$37.5038.1%11.3%60.4%23.3%40.2%2.0%1.8%14.9M600.9M-10.0M0.312.1579,97825,1291,274,919920,819
2020-11-16$37.99$37.5038.0%11.0%62.0%23.2%40.9%2.8%-1.7%33.1M65.2M-10.6M0.483.16133,71964,5061,260,960905,605
2020-11-17$38.39$37.5038.4%11.1%62.1%23.6%39.6%1.9%-2.2%41.2M-83.0M-10.7M0.562.0366,29037,3151,283,217902,855
2020-11-18$37.47$37.5037.8%10.8%62.5%23.0%38.9%2.2%-1.4%33.1M254.9M-10.4M0.562.4778,12544,1021,295,938915,817
2020-11-19$37.40$37.5037.3%10.7%60.5%22.5%37.8%2.4%-0.8%32.5M321.7M-10.5M0.662.5072,45447,4541,311,545932,532
2020-11-20$37.12$37.5036.0%10.4%59.9%21.2%38.5%0.7%-0.4%30.1M482.1M-10.5M0.482.6752,15425,1721,350,573963,843
2020-11-23$39.28$37.5037.7%11.0%61.4%22.9%39.5%1.4%-1.2%34.8M-355.5M-11.0M0.292.34121,18135,0321,231,147800,185
2020-11-24$41.91$37.5038.2%11.2%64.2%23.4%40.3%0.8%-0.7%42.7M-1.28B-11.7M0.292.70235,88868,2181,261,739816,233
2020-11-25$40.84$37.5038.3%11.2%62.8%23.5%40.3%0.4%-0.3%40.5M-925.1M-11.8M0.484.92122,36159,3151,292,500842,977
2020-11-27$40.03$37.5037.9%11.2%62.8%23.1%39.5%0.7%-1.0%52.1M-614.2M-11.6M0.532.3446,98024,9921,327,037854,080
2020-11-30$37.98$37.5038.4%11.9%66.1%23.6%42.6%0.2%0.8%23.8M126.2M-10.8M0.502.51103,54452,1321,285,876811,660