XOM Options History — February 2007 In February 2007, XOM traded between $71.68 and $75.67. ATM implied volatility averaged 17.6%. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.1% (HV 20d: 17.5%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.66.
Notable Days 2007-02-06 : Highest Volume — 101,765 contracts2007-02-27 : Largest IV spike — 34.6% change2007-02-27 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $74.86 $71.68 $75.67 $75.08 $71.68 Max Pain $72.50 $72.50 $72.50 $72.50 $72.50 ATM IV 17.6% 15.4% 22.0% 18.0% 20.6% Expected Move 5.1% 4.4% 6.3% 5.2% 5.9% HV 20d 17.5% 11.1% 21.7% 21.7% 19.8% Term Structure 0.9% -0.8% 1.6% 0.8% 0.2% VWIV 18.0% 15.4% 22.2% 18.4% 21.4% Skew 25d 1.7% -2.8% 5.2% 5.2% 3.3% Skew 10d 5.2% 2.3% 9.3% 8.5% 8.0% Call IV 25d 16.9% 14.0% 22.1% 14.0% 19.6% Put IV 25d 18.6% 12.3% 23.6% 19.1% 22.9% Bid-Ask Spread % 6.38 4.01 12.36 5.13 6.53 Gamma HHI 0.22 0.16 0.32 0.20 0.16 Net GEX 29.4M 5.2M 56.9M 23.2M 5.2M Net DEX -1.40B -1.71B -316.5M -1.38B -316.5M Net VEX -15.0M -15.5M -14.3M -15.4M -14.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.10 1.55 0.37 0.68 Total Volume 33,280.842 12,373 101,765 47,086 68,895 Total OI 1,089,005 1,034,934 1,132,558 1,064,365 1,061,275
Daily Data (19 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 2007-02-01 $75.08 $72.50 18.0% 5.2% 21.7% 0.0% 18.4% 5.2% 0.8% 23.2M -1.38B -15.4M 0.37 5.13 34,413 12,673 535,931 528,434 2007-02-02 $75.54 $72.50 17.4% 5.4% 20.5% 0.0% 18.9% 1.7% 0.6% 30.2M -1.59B -15.4M 0.65 5.34 40,732 26,513 552,811 532,602 2007-02-05 $75.67 $72.50 17.7% 5.4% 20.4% 0.0% 19.2% 2.5% 0.9% 30.1M -1.63B -15.4M 0.38 7.47 15,553 5,918 569,061 554,132 2007-02-06 $75.46 $72.50 17.6% 5.3% 20.2% 0.0% 18.9% 1.7% 0.7% 30.6M -1.55B -15.4M 0.10 6.76 92,777 8,988 571,382 553,498 2007-02-07 $74.79 $72.50 17.1% 5.2% 20.2% 0.0% 18.5% 2.1% 1.0% 24.1M -1.30B -15.4M 0.51 7.62 17,575 8,930 552,592 555,426 2007-02-08 $75.46 $72.50 18.1% 5.2% 19.3% 0.0% 19.5% 1.7% 1.1% 31.4M -1.58B -15.3M 0.89 8.04 14,359 12,709 557,239 546,826 2007-02-09 $75.22 $72.50 17.8% 5.1% 19.4% 0.0% 18.5% 1.7% 1.6% 34.0M -1.52B -15.2M 1.55 8.02 10,155 15,781 560,296 550,429 2007-02-12 $74.60 $72.50 18.5% 5.3% 18.2% 0.0% 18.6% 1.7% 0.9% 33.9M -1.28B -15.5M 0.97 6.32 13,948 13,545 564,015 557,364 2007-02-13 $75.45 $72.50 18.1% 5.2% 17.5% 0.0% 17.9% 1.7% 0.9% 35.2M -1.62B -15.2M 0.54 4.95 11,111 6,029 563,894 562,743 2007-02-14 $75.60 $72.50 17.5% 5.0% 17.2% 0.0% 17.3% 2.4% 1.3% 40.9M -1.71B -15.0M 0.60 5.72 11,720 6,977 567,037 560,932 2007-02-15 $75.34 $72.50 17.4% 5.0% 17.0% 0.0% 17.3% 1.3% 1.2% 48.4M -1.61B -15.0M 0.75 5.43 9,957 7,429 569,664 562,894 2007-02-16 $75.29 $72.50 16.4% 4.7% 15.4% 0.0% 16.5% 2.0% 1.5% 56.9M -1.67B -14.8M 0.43 7.32 27,086 11,728 566,659 562,867 2007-02-20 $74.87 $72.50 16.0% 4.6% 15.2% 0.0% 16.1% 1.7% 1.4% 22.6M -1.40B -14.6M 0.82 5.50 9,652 7,950 526,922 508,012 2007-02-21 $74.78 $72.50 16.0% 4.6% 13.2% 0.0% 15.8% -2.8% 1.2% 24.6M -1.30B -14.9M 0.49 6.18 11,604 5,742 527,807 510,642 2007-02-22 $75.08 $72.50 15.8% 4.5% 13.2% 0.0% 16.0% 1.2% 0.9% 25.6M -1.51B -14.5M 0.42 4.01 9,189 3,901 532,686 511,869 2007-02-23 $75.22 $72.50 15.4% 4.4% 11.1% 0.0% 15.4% 1.0% 1.4% 26.6M -1.56B -14.4M 0.69 4.24 7,327 5,046 533,775 513,029 2007-02-26 $75.40 $72.50 16.3% 4.7% 11.2% 0.0% 16.4% 1.0% 0.7% 28.1M -1.62B -14.3M 0.69 4.23 7,686 5,270 537,145 514,572 2007-02-27 $71.83 $72.50 22.0% 6.3% 20.8% 0.0% 22.2% 1.5% -0.8% 7.3M -437.9M -15.0M 1.08 12.36 25,687 27,781 539,112 515,521 2007-02-28 $71.68 $72.50 20.6% 5.9% 19.8% 0.0% 21.4% 3.3% 0.2% 5.2M -316.5M -14.8M 0.68 6.53 40,929 27,966 542,420 518,855
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