XOM Options History — January 2007 In January 2007, XOM traded between $70.98 and $74.90. ATM implied volatility averaged 22.2%. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.3% (HV 20d: 22.5%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.94.
Notable Days 2007-01-04 : Highest Volume — 101,662 contracts2007-01-30 : Largest IV drop — 9.0% change2007-01-10 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $73.01 $70.98 $74.90 $74.11 $74.10 Max Pain $72.63 $65.00 $75.00 $65.00 $72.50 ATM IV 22.2% 18.9% 25.1% 22.6% 18.9% Expected Move 6.5% 5.4% 7.3% 6.5% 5.4% HV 20d 22.5% 21.8% 23.5% 23.5% 21.8% Term Structure -0.8% -1.9% 1.8% 1.2% 0.7% VWIV 22.7% 19.4% 25.2% 22.9% 19.4% Skew 25d 2.2% 1.2% 4.9% 1.2% 4.9% Skew 10d 3.0% -3.4% 10.3% 3.7% 9.2% Call IV 25d 21.8% 15.7% 24.7% 23.0% 15.7% Put IV 25d 24.0% 20.6% 26.6% 24.2% 20.6% Bid-Ask Spread % 6.24 3.86 12.00 6.41 8.16 Gamma HHI 0.21 0.17 0.28 0.26 0.20 Net GEX 33.2M 7.7M 60.3M 60.3M 20.2M Net DEX -1.76B -3.05B -720.3M -3.05B -1.19B Net VEX -14.4M -15.6M -13.4M -14.2M -15.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.40 1.93 0.80 0.73 Total Volume 53,669.8 17,724 101,662 74,050 42,933 Total OI 1,404,952.1 834,741 1,765,825 1,591,412 1,060,660
Daily Data (20 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 2007-01-03 $74.11 $65.00 22.6% 6.5% 0.0% 0.0% 22.9% 1.2% 1.2% 60.3M -3.05B -14.2M 0.80 6.41 41,226 32,824 863,271 728,141 2007-01-04 $72.72 $65.00 22.5% 6.4% 0.0% 0.0% 22.9% 1.8% 1.8% 53.1M -2.42B -14.0M 1.28 4.82 44,663 56,999 867,346 736,659 2007-01-05 $73.24 $75.00 21.7% 6.9% 0.0% 0.0% 24.0% 3.0% -1.3% 53.7M -2.72B -14.2M 1.11 5.42 25,717 28,644 879,078 752,817 2007-01-08 $72.65 $75.00 22.6% 7.0% 0.0% 0.0% 24.3% 2.2% -1.3% 48.5M -2.46B -14.1M 0.76 5.48 31,608 24,120 883,925 769,313 2007-01-09 $72.09 $75.00 22.0% 6.9% 0.0% 0.0% 24.3% 2.1% -1.4% 47.5M -2.15B -14.3M 1.06 6.00 27,149 28,708 890,211 772,160 2007-01-10 $70.99 $75.00 23.9% 7.3% 0.0% 0.0% 25.2% 2.4% -1.9% 45.9M -1.64B -14.1M 0.98 12.00 40,172 39,546 896,803 781,926 2007-01-11 $70.98 $75.00 25.1% 7.2% 0.0% 0.0% 24.4% 2.6% -1.5% 47.7M -1.65B -14.2M 1.93 5.21 25,840 49,953 907,602 798,388 2007-01-12 $72.66 $75.00 23.8% 6.8% 0.0% 0.0% 24.1% 2.4% -1.5% 47.4M -2.34B -14.5M 0.61 5.43 26,272 15,928 908,286 826,310 2007-01-16 $71.63 $75.00 24.6% 7.0% 0.0% 0.0% 25.0% 1.9% -1.8% 46.2M -1.86B -13.8M 0.72 5.53 23,629 16,993 913,718 826,822 2007-01-17 $72.46 $72.50 23.6% 6.8% 0.0% 0.0% 23.9% 2.2% -1.6% 43.7M -2.19B -13.7M 0.40 6.41 29,142 11,523 916,535 831,633 2007-01-18 $71.96 $72.50 23.6% 6.8% 0.0% 0.0% 24.1% 2.9% -1.4% 41.5M -1.97B -13.6M 1.10 6.35 29,729 32,557 922,482 831,759 2007-01-19 $73.53 $72.50 22.9% 6.6% 0.0% 0.0% 22.7% 2.0% -1.8% 14.5M -2.79B -13.4M 1.04 7.61 34,482 35,962 927,923 837,902 2007-01-22 $72.90 $72.50 22.0% 6.3% 0.0% 0.0% 22.2% 1.6% -1.0% 7.7M -720.3M -13.6M 1.43 7.79 22,763 32,499 419,111 415,630 2007-01-23 $74.49 $72.50 20.4% 5.9% 0.0% 0.0% 21.1% 2.0% -0.7% 15.0M -1.03B -13.6M 1.11 6.17 22,428 24,957 433,125 434,328 2007-01-24 $74.90 $72.50 19.9% 5.7% 0.0% 0.0% 20.3% 2.5% -0.1% 17.0M -1.21B -14.9M 0.78 7.10 19,146 14,948 490,972 495,140 2007-01-25 $73.52 $72.50 21.6% 6.2% 23.5% 0.0% 21.1% 1.8% -0.6% 11.3M -881.0M -15.3M 0.93 3.86 22,275 20,823 499,021 498,115 2007-01-26 $73.61 $72.50 21.6% 6.2% 22.8% 0.0% 21.2% 1.6% -0.8% 13.6M -949.1M -15.6M 0.59 5.62 11,170 6,554 513,299 509,028 2007-01-29 $73.20 $72.50 21.4% 6.1% 22.1% 0.0% 21.4% 1.3% -0.7% 9.9M -830.0M -15.4M 0.89 4.81 13,508 11,987 512,962 510,743 2007-01-30 $74.39 $72.50 19.5% 5.6% 22.4% 0.0% 20.1% 1.2% 0.2% 19.3M -1.16B -15.4M 0.63 4.69 33,147 20,872 522,025 513,873 2007-01-31 $74.10 $72.50 18.9% 5.4% 21.8% 0.0% 19.4% 4.9% 0.7% 20.2M -1.19B -15.6M 0.73 8.16 24,844 18,089 535,763 524,897
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