XOM Options History — March 2008

In March 2008, XOM traded between $82.46 and $88.47. ATM implied volatility averaged 29.8%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.0% (HV 20d: 29.8%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2008-03-14: Highest Volume — 70,213 contracts
2008-03-11: Largest IV drop — 26.3% change
2008-03-10: Highest IV Rank — 90.5%
2008-03-17: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.69	$82.46	$88.47	$87.75	$84.58
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	29.8%	25.9%	36.3%	25.9%	28.4%
Expected Move	8.6%	7.4%	10.0%	7.4%	8.2%
HV 20d	29.8%	19.6%	35.1%	24.4%	33.3%
HV 60d	27.0%	24.2%	28.9%	24.7%	28.7%
IV Rank	64.4%	48.4%	90.5%	48.4%	58.9%
IV Percentile	79.2%	57.9%	98.0%	57.9%	73.0%
Term Structure	0.4%	-2.6%	2.3%	1.7%	2.3%
VWIV	29.4%	25.9%	33.8%	26.9%	28.4%
Skew 25d	5.1%	3.6%	6.0%	5.1%	5.3%
Skew 10d	9.5%	7.3%	11.8%	9.3%	8.9%
Call IV 25d	27.3%	23.9%	31.6%	24.8%	26.3%
Put IV 25d	32.4%	28.8%	36.9%	29.9%	31.6%
Bid-Ask Spread %	8.12	2.88	13.76	10.02	2.88
Gamma HHI	0.17	0.14	0.29	0.18	0.16
Net GEX	11.5M	-34.6M	41.0M	25.8M	6.2M
Net DEX	-393.6M	-992.8M	130.1M	-775.2M	-181.0M
Net VEX	-16.9M	-17.7M	-16.3M	-17.2M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.54	1.31	0.69	0.91
Total Volume	39,373.15	20,646	70,213	23,230	20,646
Total OI	993,231.35	934,013	1,069,696	951,597	978,645

Daily Data (20 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
2008-03-03	$87.75	$85.00	25.9%	7.4%	24.4%	48.4%	26.9%	5.1%	1.7%	25.8M	-775.2M	-17.2M	0.69	10.02	13,718	9,512	496,241	455,356
2008-03-04	$86.69	$85.00	29.2%	8.4%	24.8%	61.9%	27.0%	4.9%	0.4%	18.7M	-596.4M	-17.1M	0.69	12.45	14,638	10,107	497,315	458,612
2008-03-05	$87.19	$85.00	27.4%	7.9%	19.6%	54.7%	25.9%	4.9%	2.0%	22.2M	-663.9M	-16.9M	0.69	6.73	19,203	13,312	497,654	457,910
2008-03-06	$84.51	$85.00	29.0%	8.3%	22.8%	61.1%	28.8%	3.6%	0.8%	6.9M	-209.2M	-16.7M	0.93	5.52	20,221	18,729	502,900	461,392
2008-03-07	$82.49	$85.00	32.8%	9.5%	24.6%	76.5%	30.9%	5.3%	-1.2%	-3.1M	130.1M	-16.4M	1.02	6.50	25,084	25,680	507,024	467,879
2008-03-10	$82.46	$85.00	36.3%	9.8%	24.5%	90.5%	33.0%	5.3%	-1.5%	-3.2M	127.4M	-16.3M	1.29	5.20	21,237	27,345	510,465	472,693
2008-03-11	$86.68	$85.00	26.7%	8.5%	29.6%	51.9%	29.0%	5.4%	-0.2%	20.5M	-585.8M	-17.0M	0.83	8.66	32,633	27,233	519,931	486,277
2008-03-12	$85.97	$85.00	28.0%	8.5%	29.5%	56.8%	28.8%	5.1%	-0.1%	18.3M	-482.2M	-17.0M	1.07	5.96	16,939	18,204	526,997	486,398
2008-03-13	$87.05	$85.00	30.1%	8.6%	29.5%	65.4%	28.2%	5.6%	-0.1%	26.9M	-715.2M	-17.5M	0.54	6.46	19,991	10,698	532,156	495,835
2008-03-14	$85.91	$85.00	32.1%	9.2%	29.9%	73.8%	31.8%	6.0%	-0.8%	15.1M	-426.9M	-17.4M	1.01	13.76	34,964	35,249	533,793	496,256
2008-03-17	$85.79	$85.00	34.9%	10.0%	29.9%	84.9%	33.8%	5.3%	-2.6%	15.7M	-479.9M	-17.7M	1.29	7.13	25,609	32,933	543,106	504,215
2008-03-18	$88.47	$85.00	28.2%	8.1%	31.1%	58.1%	29.3%	5.4%	0.0%	41.0M	-992.8M	-17.5M	0.68	7.38	26,033	17,666	551,676	510,258
2008-03-19	$84.43	$85.00	31.6%	9.1%	35.0%	71.7%	31.2%	5.0%	-1.1%	-3.4M	-155.7M	-17.2M	1.10	12.67	25,072	27,460	554,744	508,673
2008-03-20	$85.00	$85.00	30.6%	8.8%	34.9%	67.7%	31.1%	5.0%	-0.2%	-34.6M	-276.4M	-17.1M	1.31	6.22	28,415	37,283	557,508	512,188
2008-03-24	$85.95	$85.00	29.5%	8.5%	35.1%	63.3%	28.8%	4.7%	1.1%	10.5M	-343.1M	-16.7M	0.70	9.36	22,383	15,668	485,920	448,093
2008-03-25	$85.20	$85.00	29.1%	8.3%	34.2%	61.3%	29.0%	4.8%	1.4%	8.3M	-213.1M	-16.7M	0.66	11.47	13,604	8,930	496,517	455,965
2008-03-26	$86.26	$85.00	28.9%	8.3%	34.4%	60.7%	28.4%	5.3%	1.7%	13.9M	-397.9M	-16.7M	0.77	11.76	13,906	10,675	498,977	456,351
2008-03-27	$86.20	$85.00	29.4%	8.4%	34.3%	62.9%	28.3%	4.5%	1.4%	14.1M	-391.8M	-16.8M	0.63	8.91	14,641	9,166	504,557	461,682
2008-03-28	$85.22	$85.00	28.2%	8.1%	34.5%	57.9%	28.3%	4.9%	2.1%	9.8M	-243.9M	-16.6M	0.73	3.42	13,122	9,554	509,610	462,858
2008-03-31	$84.58	$85.00	28.4%	8.2%	33.3%	58.9%	28.4%	5.3%	2.3%	6.2M	-181.0M	-16.3M	0.91	2.88	10,824	9,822	512,257	466,388