XOM Options History — June 2007 In June 2007, XOM traded between $81.82 and $86.36. ATM implied volatility averaged 19.0%. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.2% (HV 20d: 20.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2007-06-19 : Highest Volume — 73,708 contracts2007-06-13 : Largest IV drop — 43.8% change2007-06-26 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $83.67 $81.82 $86.36 $84.22 $83.88 Max Pain $75.24 $75.00 $80.00 $80.00 $75.00 ATM IV 19.0% 13.9% 24.7% 17.2% 19.2% Expected Move 5.5% 4.9% 6.3% 4.9% 5.5% HV 20d 20.2% 16.0% 24.3% 18.4% 23.1% HV 60d 17.5% 16.4% 19.3% 16.6% 19.2% Term Structure 1.2% 0.0% 2.0% 0.9% 2.0% VWIV 19.6% 17.6% 21.6% 17.6% 19.7% Skew 25d 2.6% 1.3% 3.5% 1.3% 2.4% Skew 10d 5.3% 1.4% 8.7% 1.4% 5.3% Call IV 25d 18.4% 16.4% 20.2% 18.2% 19.0% Put IV 25d 21.0% 19.3% 23.0% 19.5% 21.4% Bid-Ask Spread % 6.90 3.66 12.44 4.89 5.78 Gamma HHI 0.26 0.20 0.47 0.30 0.21 Net GEX 58.3M 43.8M 111.1M 64.1M 55.1M Net DEX -2.66B -3.38B -2.11B -2.94B -2.56B Net VEX -15.3M -16.4M -13.8M -15.0M -16.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.15 1.39 0.81 0.60 Total Volume 38,137.619 17,440 73,708 41,494 37,705 Total OI 1,144,660.81 1,077,028 1,177,188 1,130,434 1,177,188
Daily Data (21 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 2007-06-01 $84.22 $80.00 17.2% 4.9% 18.4% 0.0% 17.6% 1.3% 0.9% 64.1M -2.94B -15.0M 0.81 4.89 22,872 18,622 592,304 538,130 2007-06-04 $84.22 $75.00 18.4% 5.3% 18.3% 0.0% 19.1% 2.9% 1.0% 59.7M -2.90B -14.6M 0.42 6.67 15,168 6,362 584,052 540,878 2007-06-05 $84.26 $75.00 18.2% 5.3% 18.3% 0.0% 18.8% 3.0% 1.0% 64.0M -2.94B -14.6M 0.37 7.94 20,661 7,732 589,532 540,965 2007-06-06 $83.62 $75.00 18.6% 5.5% 18.5% 0.0% 20.0% 3.3% 0.8% 59.2M -2.79B -14.8M 0.75 7.63 14,558 10,876 592,507 542,009 2007-06-07 $81.96 $75.00 21.9% 6.3% 20.0% 0.0% 21.0% 3.5% 0.0% 44.3M -2.30B -15.8M 0.67 10.08 21,227 14,222 595,281 548,722 2007-06-08 $82.68 $75.00 18.1% 5.7% 17.8% 0.0% 21.6% 3.3% 0.9% 53.8M -2.52B -15.6M 0.63 12.44 33,773 21,158 601,003 551,371 2007-06-11 $83.06 $75.00 18.9% 5.6% 16.0% 0.0% 20.5% 2.8% 0.7% 60.4M -2.63B -15.4M 0.48 8.38 20,064 9,532 603,400 559,226 2007-06-12 $82.00 $75.00 24.7% 6.2% 16.8% 0.0% 21.2% 2.9% 0.5% 43.8M -2.34B -15.6M 0.83 8.63 16,384 13,652 600,212 558,101 2007-06-13 $83.35 $75.00 13.9% 5.4% 17.7% 0.0% 19.4% 2.7% 1.7% 63.3M -2.67B -15.4M 0.49 7.68 13,291 6,570 602,550 562,401 2007-06-14 $84.77 $75.00 18.4% 5.3% 18.5% 0.0% 19.2% 3.0% 1.5% 111.1M -3.01B -14.7M 0.54 5.58 31,903 17,321 603,221 562,877 2007-06-15 $85.94 $75.00 18.0% 5.2% 19.0% 0.0% 17.8% 3.1% 1.4% 75.4M -3.38B -14.0M 0.43 3.66 40,868 17,433 602,909 567,631 2007-06-18 $86.36 $75.00 18.2% 5.2% 18.1% 0.0% 18.1% 2.5% 1.6% 50.7M -3.03B -13.8M 0.54 5.30 18,323 9,933 549,812 527,216 2007-06-19 $85.84 $75.00 18.1% 5.2% 18.3% 0.0% 18.2% 2.3% 1.4% 51.4M -2.94B -14.2M 0.15 4.23 64,146 9,562 556,189 531,740 2007-06-20 $82.82 $75.00 18.5% 5.3% 22.3% 0.0% 18.7% 1.9% 1.0% 56.2M -2.50B -16.1M 0.81 8.09 32,086 26,062 609,927 536,346 2007-06-21 $84.30 $75.00 18.0% 5.2% 23.2% 0.0% 18.3% 2.2% 1.8% 55.2M -2.69B -15.5M 0.53 4.24 22,121 11,710 592,245 543,584 2007-06-22 $82.52 $75.00 19.2% 5.5% 24.3% 0.0% 20.2% 2.6% 1.5% 50.1M -2.31B -16.1M 0.56 7.31 21,567 12,033 594,323 546,000 2007-06-25 $82.37 $75.00 21.7% 6.2% 23.6% 0.0% 20.3% 2.3% 1.2% 50.0M -2.25B -16.0M 1.39 8.07 16,974 23,580 596,845 548,321 2007-06-26 $81.82 $75.00 22.0% 6.3% 23.5% 0.0% 21.0% 2.7% 1.3% 47.7M -2.11B -16.4M 1.33 6.66 12,997 17,302 599,430 552,623 2007-06-27 $83.48 $75.00 18.8% 5.4% 23.8% 0.0% 20.3% 2.5% 2.0% 53.7M -2.45B -16.3M 0.62 5.42 32,877 20,223 603,155 558,268 2007-06-28 $83.60 $75.00 19.1% 5.5% 23.6% 0.0% 19.9% 2.0% 1.3% 54.7M -2.55B -16.0M 0.63 6.30 10,683 6,757 608,495 566,888 2007-06-29 $83.88 $75.00 19.2% 5.5% 23.1% 0.0% 19.7% 2.4% 2.0% 55.1M -2.56B -16.2M 0.60 5.78 23,620 14,085 610,004 567,184
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