XOM Options History — December 2020

In December 2020, XOM traded between $38.53 and $43.92. ATM implied volatility averaged 38.1%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 12.0% (HV 20d: 50.1%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.34.

Notable Days

2020-12-10: Highest Volume — 200,379 contracts
2020-12-07: Largest IV spike — 4.8% change
2020-12-02: Highest IV Rank — 25.2%
2020-12-02: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.89	$38.53	$43.92	$38.53	$41.25
Max Pain	$42.05	$37.50	$42.50	$37.50	$42.50
ATM IV	38.1%	36.5%	40.0%	38.5%	37.7%
Expected Move	10.9%	10.0%	12.1%	11.6%	10.1%
HV 20d	50.1%	31.1%	66.6%	64.8%	31.1%
HV 60d	48.6%	47.7%	49.5%	48.0%	47.8%
IV Rank	22.7%	19.0%	25.2%	23.8%	20.2%
IV Percentile	40.3%	30.2%	51.2%	45.6%	34.5%
Term Structure	1.3%	-0.7%	3.8%	1.6%	3.0%
VWIV	39.2%	35.8%	43.0%	41.7%	37.0%
Skew 25d	1.0%	0.3%	1.7%	1.0%	1.0%
Skew 10d	2.6%	-0.3%	4.9%	1.5%	2.9%
Call IV 25d	38.7%	37.0%	41.0%	39.5%	37.9%
Put IV 25d	39.7%	37.6%	41.4%	40.5%	38.9%
Bid-Ask Spread %	1.93	1.30	3.17	2.39	2.02
Gamma HHI	0.13	0.11	0.27	0.11	0.12
Net GEX	43.7M	25.2M	61.1M	30.0M	27.9M
Net DEX	-1.00B	-1.99B	-56.4M	-56.4M	-408.4M
Net VEX	-11.6M	-12.1M	-11.0M	-11.0M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.15	0.54	0.32	0.54
Total Volume	120,896.727	52,041	200,379	115,337	86,731
Total OI	2,148,957.591	1,925,744	2,342,522	2,152,828	2,050,104

Daily Data (22 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
2020-12-01	$38.53	$37.50	38.5%	11.6%	64.8%	23.8%	41.7%	1.0%	1.6%	30.0M	-56.4M	-11.0M	0.32	2.39	87,487	27,850	1,324,388	828,440
2020-12-02	$40.09	$37.50	40.0%	12.1%	65.5%	25.2%	43.0%	0.4%	-0.2%	43.5M	-617.7M	-11.7M	0.34	2.37	97,500	33,079	1,338,759	837,679
2020-12-03	$39.99	$42.50	38.5%	11.4%	65.4%	23.7%	41.0%	0.9%	3.8%	46.7M	-595.0M	-11.4M	0.22	3.17	109,507	24,585	1,355,231	849,052
2020-12-04	$41.62	$42.50	36.6%	11.0%	66.1%	21.8%	39.6%	0.3%	1.0%	48.2M	-1.22B	-11.6M	0.35	2.30	116,189	41,241	1,360,566	856,332
2020-12-07	$40.81	$42.50	38.4%	11.2%	66.6%	23.6%	39.3%	1.4%	0.4%	40.7M	-775.1M	-11.2M	0.15	1.97	136,816	21,105	1,308,756	835,931
2020-12-08	$42.34	$42.50	37.7%	11.1%	53.1%	22.9%	39.8%	0.4%	1.2%	54.9M	-1.40B	-11.9M	0.30	1.30	90,970	27,056	1,364,978	843,584
2020-12-09	$42.72	$42.50	37.9%	11.2%	52.7%	23.1%	40.2%	0.3%	1.1%	57.1M	-1.52B	-12.0M	0.29	1.51	136,002	38,984	1,369,732	849,234
2020-12-10	$43.92	$42.50	38.5%	11.2%	52.6%	23.7%	40.4%	0.8%	0.6%	61.1M	-1.99B	-12.0M	0.35	1.46	147,887	52,492	1,390,362	861,442
2020-12-11	$43.66	$42.50	38.1%	11.2%	50.2%	23.3%	39.1%	0.8%	1.3%	60.0M	-1.89B	-12.1M	0.42	1.60	70,119	29,543	1,420,920	872,413
2020-12-14	$42.28	$42.50	38.1%	11.0%	51.8%	23.4%	39.9%	1.7%	-0.7%	48.8M	-1.30B	-11.5M	0.40	1.74	95,426	38,396	1,387,106	847,862
2020-12-15	$42.91	$42.50	38.2%	11.0%	49.5%	23.4%	39.2%	0.5%	0.3%	52.4M	-1.55B	-11.6M	0.42	1.75	72,442	30,781	1,395,273	862,383
2020-12-16	$43.78	$42.50	39.5%	11.3%	49.8%	24.8%	40.6%	0.5%	-0.3%	60.0M	-1.87B	-11.8M	0.21	1.58	160,129	33,015	1,412,190	870,861
2020-12-17	$43.50	$42.50	38.6%	11.1%	48.7%	23.9%	38.4%	1.4%	-0.1%	54.4M	-1.71B	-11.9M	0.20	1.48	92,230	18,341	1,432,078	886,247
2020-12-18	$42.57	$42.50	38.5%	11.0%	49.7%	23.7%	39.7%	1.5%	0.2%	60.2M	-1.37B	-11.7M	0.44	1.42	76,677	33,363	1,452,743	889,779
2020-12-21	$41.92	$42.50	39.3%	11.4%	50.1%	24.3%	40.3%	1.4%	0.9%	29.0M	-577.2M	-11.5M	0.30	2.08	90,540	27,369	1,204,448	721,296
2020-12-22	$41.33	$42.50	38.3%	11.1%	46.8%	23.3%	39.9%	1.6%	1.3%	25.2M	-412.9M	-11.5M	0.34	2.05	72,442	24,598	1,235,286	732,605
2020-12-23	$41.92	$42.50	37.6%	10.6%	40.9%	22.5%	37.6%	1.2%	1.1%	31.5M	-619.9M	-11.7M	0.34	2.07	53,673	18,326	1,256,882	739,094
2020-12-24	$41.53	$42.50	36.5%	10.1%	40.0%	20.7%	36.8%	0.8%	1.1%	27.7M	-503.2M	-11.5M	0.52	2.25	34,255	17,786	1,269,896	746,084
2020-12-28	$41.75	$42.50	37.2%	10.0%	39.2%	20.6%	35.8%	1.2%	3.2%	33.0M	-556.2M	-11.3M	0.34	2.12	84,688	29,035	1,246,374	729,461
2020-12-29	$41.43	$42.50	36.6%	10.1%	33.8%	19.0%	36.0%	1.3%	3.6%	30.0M	-474.1M	-11.1M	0.32	2.06	64,826	20,982	1,268,427	742,723
2020-12-30	$41.69	$42.50	37.1%	10.1%	33.6%	19.5%	35.9%	1.1%	3.4%	40.1M	-596.8M	-11.2M	0.36	1.84	70,278	24,987	1,285,152	744,914
2020-12-31	$41.25	$42.50	37.7%	10.1%	31.1%	20.2%	37.0%	1.0%	3.0%	27.9M	-408.4M	-11.0M	0.54	2.02	56,436	30,295	1,297,428	752,676