XOM Options History — August 2007

In August 2007, XOM traded between $80.67 and $87.90. ATM implied volatility averaged 30.0%, placing in the 75.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 6.8% (HV 20d: 36.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2007-08-08: Highest Volume — 117,699 contracts
2007-08-09: Largest IV spike — 25.7% change
2007-08-01: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.18	$80.67	$87.90	$85.84	$85.73
Max Pain	$85.65	$85.00	$90.00	$90.00	$85.00
ATM IV	30.0%	24.3%	37.0%	30.4%	25.9%
Expected Move	8.5%	7.0%	10.4%	8.7%	7.4%
HV 20d	36.8%	31.1%	41.6%	31.1%	34.5%
HV 60d	28.3%	24.5%	30.6%	24.5%	30.3%
IV Rank	75.7%	44.8%	100.0%	100.0%	52.1%
IV Percentile	93.6%	81.5%	100.0%	100.0%	85.6%
Term Structure	-0.2%	-2.3%	0.7%	0.7%	0.7%
VWIV	29.8%	24.3%	35.8%	30.7%	25.7%
Skew 25d	4.1%	1.9%	5.8%	5.2%	3.9%
Skew 10d	7.9%	3.4%	10.8%	10.3%	7.1%
Call IV 25d	28.1%	22.4%	33.6%	28.6%	23.9%
Put IV 25d	32.3%	26.1%	39.4%	33.8%	27.8%
Bid-Ask Spread %	9.85	5.54	15.17	11.86	6.85
Gamma HHI	0.19	0.14	0.23	0.18	0.23
Net GEX	27.2M	6.8M	41.3M	26.7M	39.2M
Net DEX	-1.81B	-2.36B	-1.01B	-2.05B	-2.27B
Net VEX	-20.1M	-21.5M	-18.9M	-18.9M	-19.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.47	1.51	0.91	0.76
Total Volume	49,893.565	19,925	117,699	80,597	23,352
Total OI	1,280,510.739	1,204,592	1,353,298	1,204,592	1,294,033

Daily Data (23 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
2007-08-01	$85.84	$90.00	30.4%	8.7%	31.1%	100.0%	30.7%	5.2%	0.7%	26.7M	-2.05B	-18.9M	0.91	11.86	42,212	38,385	627,235	577,357
2007-08-02	$85.18	$90.00	29.7%	8.5%	31.2%	95.5%	30.5%	3.8%	0.6%	25.0M	-1.83B	-19.2M	0.73	8.20	34,127	24,796	632,509	586,714
2007-08-03	$82.08	$90.00	34.1%	9.8%	33.3%	100.0%	33.4%	1.9%	-1.5%	17.8M	-1.22B	-19.8M	1.02	15.17	29,798	30,289	644,070	595,977
2007-08-06	$83.54	$85.00	32.9%	9.0%	33.7%	94.1%	32.6%	3.8%	-0.1%	19.9M	-1.51B	-20.0M	0.85	13.01	41,366	35,127	650,530	607,446
2007-08-07	$85.70	$85.00	31.1%	8.5%	34.9%	85.1%	29.7%	2.3%	0.2%	29.6M	-2.02B	-19.5M	0.78	14.03	40,838	31,660	659,966	611,726
2007-08-08	$87.90	$85.00	26.5%	8.0%	36.0%	62.2%	28.6%	2.9%	-0.6%	33.9M	-2.34B	-19.4M	0.47	14.52	80,254	37,445	666,473	624,029
2007-08-09	$83.60	$85.00	33.3%	9.1%	38.8%	95.9%	32.7%	3.7%	-0.4%	20.0M	-1.63B	-20.2M	1.31	13.91	30,666	40,113	663,011	634,180
2007-08-10	$84.51	$85.00	33.2%	9.3%	38.9%	95.7%	33.7%	4.4%	-0.5%	23.2M	-1.75B	-20.9M	0.84	9.08	38,136	32,044	671,571	640,304
2007-08-13	$82.92	$85.00	35.1%	9.1%	39.3%	100.0%	32.3%	4.0%	-1.0%	19.9M	-1.45B	-21.0M	0.85	6.68	17,428	14,833	695,954	645,890
2007-08-14	$83.13	$85.00	33.7%	9.0%	39.3%	93.3%	31.9%	4.5%	-0.8%	20.4M	-1.51B	-20.8M	0.89	7.37	15,372	13,666	698,090	640,416
2007-08-15	$81.69	$85.00	37.0%	9.9%	38.3%	100.0%	32.9%	5.0%	-1.7%	13.3M	-1.20B	-21.1M	1.12	9.16	22,351	25,062	701,843	634,745
2007-08-16	$80.67	$85.00	36.4%	10.4%	37.8%	97.1%	35.8%	5.8%	-2.3%	6.8M	-1.01B	-21.5M	0.90	12.40	33,436	30,192	706,101	640,892
2007-08-17	$84.14	$85.00	30.8%	8.8%	41.6%	73.1%	31.7%	5.2%	0.0%	30.3M	-1.74B	-21.0M	1.32	13.43	23,277	30,663	711,504	641,794
2007-08-20	$84.53	$85.00	29.6%	8.5%	41.0%	67.9%	30.0%	5.0%	-0.4%	29.8M	-1.99B	-20.3M	0.86	9.21	16,676	14,395	622,781	608,329
2007-08-21	$83.15	$85.00	28.4%	8.1%	40.4%	62.8%	29.0%	4.3%	0.3%	26.5M	-1.71B	-20.3M	0.50	7.79	15,784	7,936	629,085	604,414
2007-08-22	$83.58	$85.00	27.1%	7.8%	39.4%	57.0%	28.1%	4.7%	0.0%	29.8M	-1.82B	-20.0M	0.70	9.39	12,334	8,615	634,755	609,054
2007-08-23	$83.75	$85.00	26.3%	7.5%	35.7%	53.6%	26.3%	3.9%	0.2%	31.6M	-1.88B	-20.0M	0.82	9.14	10,949	8,976	640,336	614,160
2007-08-24	$85.69	$85.00	24.3%	7.0%	35.2%	44.8%	24.3%	3.7%	0.7%	41.3M	-2.36B	-19.3M	0.78	8.03	20,801	16,327	645,693	620,019
2007-08-27	$85.12	$85.00	24.6%	7.1%	35.2%	46.5%	25.0%	4.3%	0.6%	38.7M	-2.20B	-19.4M	1.25	8.92	13,732	17,143	647,537	619,730
2007-08-28	$83.00	$85.00	26.8%	7.7%	36.1%	55.5%	27.3%	3.9%	-0.1%	28.3M	-1.74B	-20.0M	1.51	7.15	13,226	19,963	652,886	628,732
2007-08-29	$85.23	$85.00	26.1%	7.5%	37.3%	52.9%	25.9%	4.9%	0.4%	36.4M	-2.19B	-19.7M	0.48	5.54	24,632	11,835	649,832	630,679
2007-08-30	$85.40	$85.00	26.8%	7.7%	37.2%	55.7%	26.8%	4.4%	0.2%	37.0M	-2.24B	-20.0M	1.08	5.61	27,603	29,737	654,794	634,571
2007-08-31	$85.73	$85.00	25.9%	7.4%	34.5%	52.1%	25.7%	3.9%	0.7%	39.2M	-2.27B	-19.7M	0.76	6.85	13,285	10,067	658,852	635,181