XOM Options History — July 2007

In July 2007, XOM traded between $84.82 and $93.44. ATM implied volatility averaged 23.5%, placing in the 80.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.3% (HV 20d: 23.7%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2007-07-26: Highest Volume — 119,986 contracts
2007-07-27: Largest IV spike — 14.8% change
2007-07-20: Highest IV Rank — 100.0%
2007-07-27: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.53	$84.82	$93.44	$84.82	$85.13
Max Pain	$85.48	$75.00	$90.00	$75.00	$90.00
ATM IV	23.5%	19.0%	29.6%	19.0%	29.3%
Expected Move	6.8%	5.4%	8.5%	5.5%	8.4%
HV 20d	23.7%	17.2%	31.0%	23.5%	31.0%
HV 60d	20.6%	19.2%	24.4%	19.3%	24.4%
IV Rank	80.1%	46.6%	100.0%	46.6%	98.1%
IV Percentile	89.3%	62.7%	100.0%	62.7%	99.3%
Term Structure	-0.4%	-2.1%	2.6%	2.6%	-1.1%
VWIV	23.8%	19.2%	29.9%	19.3%	29.9%
Skew 25d	3.0%	1.4%	4.2%	3.3%	3.9%
Skew 10d	4.9%	2.7%	6.9%	5.3%	5.6%
Call IV 25d	22.5%	17.2%	28.6%	18.2%	28.6%
Put IV 25d	25.5%	20.8%	32.4%	21.5%	32.4%
Bid-Ask Spread %	7.86	4.57	13.14	6.79	7.47
Gamma HHI	0.23	0.18	0.34	0.22	0.18
Net GEX	48.9M	26.8M	72.5M	57.1M	27.3M
Net DEX	-3.24B	-4.35B	-1.85B	-2.79B	-1.85B
Net VEX	-15.6M	-18.4M	-14.4M	-15.6M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.39	1.45	0.51	0.79
Total Volume	59,094.762	22,221	119,986	22,221	56,698
Total OI	1,219,159.381	1,117,395	1,335,119	1,185,474	1,196,206

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
2007-07-02	$84.82	$75.00	19.0%	5.5%	23.5%	0.0%	19.3%	3.3%	2.6%	57.1M	-2.79B	-15.6M	0.51	6.79	14,764	7,457	612,505	572,969
2007-07-03	$85.36	$75.00	19.0%	5.4%	23.6%	0.0%	19.2%	2.3%	2.2%	60.2M	-2.92B	-15.7M	1.03	6.53	12,222	12,593	618,213	575,313
2007-07-05	$85.16	$75.00	19.1%	5.5%	23.4%	46.6%	19.8%	4.2%	2.2%	59.1M	-2.89B	-15.4M	1.30	4.57	10,868	14,078	620,248	583,023
2007-07-06	$86.46	$85.00	19.3%	6.1%	22.6%	47.8%	21.0%	3.1%	0.1%	61.8M	-3.20B	-15.0M	0.46	6.70	22,905	10,577	621,515	587,476
2007-07-09	$87.44	$85.00	20.5%	6.5%	22.7%	58.3%	21.6%	3.2%	-0.7%	60.9M	-3.38B	-15.0M	0.61	6.05	33,276	20,397	624,799	592,623
2007-07-10	$86.50	$85.00	21.0%	6.5%	23.2%	63.2%	22.1%	3.3%	0.1%	57.0M	-3.18B	-15.3M	0.72	6.27	24,116	17,251	632,058	602,954
2007-07-11	$87.29	$85.00	22.3%	6.6%	22.6%	74.2%	22.2%	3.5%	-0.3%	58.0M	-3.28B	-15.4M	0.56	8.07	21,222	11,781	635,085	609,341
2007-07-12	$89.62	$85.00	21.0%	6.0%	23.6%	63.1%	21.4%	3.4%	-0.1%	64.3M	-3.82B	-14.6M	0.45	7.91	68,885	30,769	637,651	609,975
2007-07-13	$90.33	$85.00	21.5%	6.2%	23.2%	67.5%	20.8%	3.5%	0.1%	72.5M	-4.01B	-14.4M	0.39	8.84	46,905	18,069	648,189	617,107
2007-07-16	$89.70	$85.00	22.5%	6.5%	23.1%	76.8%	22.7%	2.9%	-0.5%	58.5M	-3.80B	-14.8M	0.46	8.35	30,792	14,032	646,598	623,091
2007-07-17	$89.09	$85.00	22.8%	6.5%	23.3%	78.7%	23.2%	2.8%	-0.5%	58.8M	-3.66B	-15.0M	0.54	8.15	30,891	16,763	652,502	625,414
2007-07-18	$91.15	$85.00	23.7%	6.8%	24.3%	87.1%	23.5%	2.9%	-0.9%	60.0M	-4.17B	-14.5M	0.62	7.55	41,290	25,566	661,371	631,090
2007-07-19	$92.29	$85.00	24.8%	7.1%	19.6%	96.7%	24.5%	2.8%	-1.4%	43.2M	-4.35B	-14.4M	1.18	6.13	34,629	40,955	664,177	639,870
2007-07-20	$91.94	$90.00	25.8%	7.4%	19.3%	100.0%	25.5%	2.8%	-2.0%	37.9M	-4.18B	-14.8M	0.54	7.19	62,101	33,325	667,394	667,725
2007-07-23	$93.44	$90.00	25.0%	7.2%	17.2%	92.9%	26.4%	2.6%	-1.7%	35.3M	-3.49B	-14.9M	1.45	13.14	29,782	43,127	566,256	551,139
2007-07-24	$90.84	$90.00	27.0%	7.7%	21.0%	100.0%	27.0%	2.5%	-2.1%	26.8M	-3.00B	-16.0M	1.09	7.48	31,402	34,202	574,904	568,246
2007-07-25	$92.79	$90.00	25.2%	7.2%	21.2%	86.7%	26.0%	1.4%	-1.7%	38.6M	-3.39B	-15.5M	0.64	9.06	38,383	24,713	584,808	558,901
2007-07-26	$88.23	$90.00	25.8%	7.4%	28.6%	91.3%	26.1%	2.7%	-0.4%	29.6M	-2.49B	-17.5M	0.78	12.67	67,562	52,424	596,295	563,301
2007-07-27	$85.59	$90.00	29.6%	8.5%	31.0%	100.0%	29.4%	3.4%	-1.3%	28.5M	-2.02B	-18.1M	0.93	7.62	41,161	38,323	609,616	561,149
2007-07-30	$86.01	$90.00	28.4%	8.2%	31.0%	92.4%	28.5%	2.7%	-0.5%	30.4M	-2.08B	-17.9M	0.66	8.49	33,071	21,663	621,628	569,622
2007-07-31	$85.13	$90.00	29.3%	8.4%	31.0%	98.1%	29.9%	3.9%	-1.1%	27.3M	-1.85B	-18.4M	0.79	7.47	31,623	25,075	623,846	572,360