Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).

Gamma, theta, and vega are largest for strikes near the Imperial Oil stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.

Imperial Oil IV rank is 9, so implied volatility is near the bottom of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 23.3% to 174.8%. See the IMO implied volatility history for a longer view.

Across all open Imperial Oil options on Nov 4, 2026, net gamma exposure was $328.56K and net delta exposure was $3.89M per 1% move in the stock. The IMO gamma exposure chart shows where that gamma sits by strike.

Imperial Oil Ltd is an integrated oil company active in all phases of the petroleum industry in Canada, including the exploration for, and production and sale of, crude oil, natural gas, petroleum products, and petrochemicals.