XOM Options History — October 2007

In October 2007, XOM traded between $90.68 and $95.05. ATM implied volatility averaged 26.1%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.0% (HV 20d: 18.1%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.92.

Notable Days

2007-10-19: Highest Volume — 101,198 contracts
2007-10-11: Largest IV spike — 18.6% change
2007-10-31: Highest IV Rank — 86.9%
2007-10-31: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.56	$90.68	$95.05	$93.95	$91.99
Max Pain	$90.87	$85.00	$95.00	$85.00	$90.00
ATM IV	26.1%	20.7%	34.0%	21.0%	34.0%
Expected Move	7.6%	6.0%	9.7%	6.0%	9.7%
HV 20d	18.1%	14.8%	20.8%	17.7%	20.8%
HV 60d	27.8%	24.9%	29.6%	29.4%	24.9%
IV Rank	53.0%	29.4%	86.9%	30.8%	86.9%
IV Percentile	79.1%	51.5%	98.1%	55.6%	98.1%
Term Structure	-0.8%	-4.7%	2.3%	2.3%	-4.7%
VWIV	26.6%	22.5%	33.0%	22.5%	33.0%
Skew 25d	4.2%	3.6%	5.3%	5.3%	5.0%
Skew 10d	7.8%	4.7%	10.4%	10.4%	6.5%
Call IV 25d	24.5%	19.7%	30.7%	19.7%	30.7%
Put IV 25d	28.8%	25.0%	35.7%	25.0%	35.7%
Bid-Ask Spread %	8.85	3.28	19.83	5.75	12.24
Gamma HHI	0.28	0.18	0.53	0.30	0.19
Net GEX	50.0M	24.5M	98.3M	61.7M	26.4M
Net DEX	-3.29B	-4.25B	-2.28B	-3.96B	-2.28B
Net VEX	-17.5M	-19.4M	-16.4M	-16.6M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.46	2.19	0.90	1.20
Total Volume	45,604.783	19,255	101,198	22,344	95,795
Total OI	1,373,255.478	1,265,723	1,475,603	1,342,939	1,374,652

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
2007-10-01	$93.95	$85.00	21.0%	6.0%	17.7%	30.8%	22.5%	5.3%	2.3%	61.7M	-3.96B	-16.6M	0.90	5.75	11,772	10,572	671,927	671,012
2007-10-02	$92.24	$85.00	24.8%	7.1%	18.8%	47.2%	23.9%	4.4%	1.3%	56.6M	-3.58B	-17.0M	1.15	3.28	14,924	17,216	674,558	674,141
2007-10-03	$91.33	$85.00	24.4%	7.0%	19.3%	45.3%	24.2%	4.6%	1.6%	54.3M	-3.32B	-17.4M	0.91	3.76	14,962	13,633	677,157	673,473
2007-10-04	$90.92	$85.00	23.4%	6.7%	19.4%	41.2%	23.7%	3.8%	1.7%	54.2M	-3.30B	-17.3M	2.19	4.47	14,198	31,027	683,020	680,372
2007-10-05	$91.36	$90.00	22.6%	7.1%	17.6%	37.7%	24.0%	3.7%	-0.6%	52.6M	-3.36B	-17.2M	0.79	9.80	12,495	9,847	683,218	695,815
2007-10-08	$90.68	$90.00	23.8%	7.2%	17.3%	42.7%	25.1%	3.6%	-0.4%	49.9M	-3.19B	-17.1M	0.59	10.47	12,109	7,146	687,044	699,098
2007-10-09	$92.67	$90.00	21.1%	6.7%	17.0%	31.0%	24.8%	4.3%	-0.2%	60.1M	-3.66B	-16.6M	0.87	19.83	29,119	25,360	687,456	701,766
2007-10-10	$93.13	$90.00	20.7%	6.8%	16.9%	29.4%	25.1%	4.5%	-0.1%	63.2M	-3.83B	-16.6M	1.87	10.52	14,893	27,875	694,721	710,250
2007-10-11	$92.66	$90.00	24.6%	7.0%	16.8%	46.1%	25.7%	4.3%	-0.2%	58.2M	-3.70B	-17.0M	0.63	12.82	30,002	18,810	698,214	719,613
2007-10-12	$93.48	$90.00	23.4%	6.7%	17.0%	41.2%	24.5%	4.0%	0.4%	66.4M	-3.89B	-16.7M	0.65	11.47	15,505	10,052	703,503	714,415
2007-10-15	$94.82	$90.00	25.9%	7.4%	17.4%	51.7%	26.3%	4.4%	-0.5%	71.4M	-4.25B	-16.4M	0.58	6.87	29,560	17,008	707,640	716,133
2007-10-16	$94.74	$90.00	26.4%	7.6%	14.8%	53.9%	26.2%	3.6%	-1.1%	70.6M	-4.19B	-16.4M	0.46	7.15	32,186	14,748	711,423	724,147
2007-10-17	$94.80	$95.00	25.1%	7.2%	14.8%	48.3%	26.4%	3.8%	-0.2%	77.4M	-4.19B	-16.5M	0.82	8.88	29,865	24,516	717,093	732,063
2007-10-18	$95.05	$95.00	25.4%	7.3%	14.8%	49.6%	25.9%	3.6%	-0.5%	98.3M	-4.24B	-16.6M	0.63	9.21	33,257	20,818	721,207	736,082
2007-10-19	$92.14	$95.00	29.7%	8.5%	18.8%	68.2%	29.0%	4.2%	-2.1%	27.7M	-3.44B	-17.9M	0.70	10.77	59,494	41,704	727,522	748,081
2007-10-22	$90.91	$95.00	27.8%	8.0%	19.3%	60.1%	27.7%	4.8%	-0.9%	24.5M	-2.28B	-18.5M	0.89	8.71	26,052	23,242	605,531	660,192
2007-10-23	$91.35	$95.00	27.7%	7.9%	19.3%	59.6%	27.2%	4.7%	-1.0%	27.9M	-2.39B	-18.6M	0.89	6.78	23,089	20,610	615,149	669,008
2007-10-24	$92.13	$95.00	28.8%	8.3%	19.5%	64.4%	28.3%	4.4%	-1.6%	30.2M	-2.54B	-18.6M	1.31	9.86	17,046	22,355	623,568	676,987
2007-10-25	$91.57	$95.00	29.8%	8.5%	19.5%	68.6%	28.6%	4.5%	-2.3%	26.7M	-2.41B	-18.8M	0.68	6.76	16,531	11,294	627,370	686,206
2007-10-26	$92.21	$90.00	30.2%	8.7%	19.6%	70.6%	29.4%	4.0%	-2.7%	29.7M	-2.55B	-18.7M	0.96	7.93	15,908	15,341	632,361	688,622
2007-10-29	$93.61	$90.00	28.8%	8.3%	19.6%	64.6%	29.6%	4.1%	-2.4%	36.9M	-2.89B	-18.3M	0.58	9.66	31,927	18,495	638,073	693,365
2007-10-30	$91.14	$95.00	32.1%	9.2%	20.8%	78.7%	31.6%	4.1%	-3.1%	25.8M	-2.29B	-19.1M	1.01	6.57	33,059	33,493	648,269	703,359
2007-10-31	$91.99	$90.00	34.0%	9.7%	20.8%	86.9%	33.0%	5.0%	-4.7%	26.4M	-2.28B	-19.4M	1.20	12.24	43,532	52,263	661,157	713,495