XOM Options History — October 2008

In October 2008, XOM traded between $62.35 and $78.58. ATM implied volatility averaged 69.8%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 27.3% (HV 20d: 97.0%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.02.

Notable Days

2008-10-10: Highest Volume — 200,924 contracts
2008-10-10: Largest IV spike — 40.7% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-10: Largest Expected Move — 25.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.97	$62.35	$78.58	$78.58	$74.12
Max Pain	$74.78	$70.00	$80.00	$80.00	$70.00
ATM IV	69.8%	41.0%	122.2%	41.0%	62.5%
Expected Move	18.3%	11.8%	25.3%	11.8%	17.9%
HV 20d	97.0%	50.5%	131.8%	54.4%	131.7%
HV 60d	62.8%	38.7%	82.1%	39.6%	82.0%
IV Rank	65.1%	30.2%	100.0%	71.5%	41.6%
IV Percentile	98.0%	93.7%	100.0%	99.6%	93.7%
Term Structure	-6.7%	-15.5%	-0.7%	-2.3%	-0.7%
VWIV	64.5%	43.3%	85.2%	43.3%	64.3%
Skew 25d	19.0%	7.2%	27.6%	7.2%	19.7%
Skew 10d	37.5%	14.2%	55.5%	14.2%	37.9%
Call IV 25d	54.8%	38.7%	75.5%	38.7%	53.5%
Put IV 25d	73.8%	45.9%	96.4%	45.9%	73.2%
Bid-Ask Spread %	7.54	4.05	17.23	4.11	6.49
Gamma HHI	0.11	0.09	0.13	0.13	0.11
Net GEX	1.6M	-9.3M	12.3M	7.6M	12.3M
Net DEX	614.0M	-54.2M	1.55B	170.5M	-54.2M
Net VEX	-11.9M	-14.0M	-9.1M	-12.5M	-14.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.52	1.53	1.37	0.89
Total Volume	96,659.609	41,636	200,924	43,022	79,622
Total OI	1,135,702.174	1,013,442	1,272,054	1,054,258	1,266,278

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
2008-10-01	$78.58	$80.00	41.0%	11.8%	54.4%	71.5%	43.3%	7.2%	-2.3%	7.6M	170.5M	-12.5M	1.37	4.11	18,184	24,838	600,388	453,870
2008-10-02	$77.50	$80.00	52.2%	15.0%	53.9%	100.0%	50.7%	9.5%	-6.0%	5.2M	348.5M	-12.5M	0.82	5.83	22,936	18,700	601,813	454,605
2008-10-03	$77.94	$80.00	46.3%	13.3%	53.9%	81.9%	48.6%	10.3%	-3.3%	5.1M	303.9M	-12.6M	0.72	5.00	30,404	21,906	603,001	458,117
2008-10-06	$77.32	$80.00	63.1%	15.0%	53.7%	100.0%	51.9%	14.6%	-7.3%	5.1M	377.9M	-12.7M	1.20	4.75	44,209	52,873	613,356	459,794
2008-10-07	$76.07	$80.00	60.3%	15.0%	51.2%	93.3%	50.2%	14.2%	-7.9%	1.5M	584.3M	-12.2M	1.39	6.15	28,349	39,451	617,067	467,791
2008-10-08	$77.00	$80.00	65.4%	16.1%	50.5%	100.0%	55.6%	16.4%	-8.6%	5.7M	395.0M	-12.8M	1.27	7.72	44,738	56,916	623,223	472,637
2008-10-09	$68.00	$80.00	86.9%	19.7%	67.3%	100.0%	66.3%	17.9%	-10.4%	-3.8M	1.07B	-10.8M	1.39	12.28	42,834	59,453	633,582	479,328
2008-10-10	$62.36	$80.00	122.2%	25.3%	72.1%	100.0%	85.2%	20.8%	-15.5%	-6.7M	1.50B	-9.1M	1.16	17.23	92,829	108,095	638,118	492,436
2008-10-13	$73.08	$80.00	76.3%	16.9%	91.8%	55.1%	62.5%	20.7%	-6.9%	-1.9M	727.4M	-11.9M	0.84	11.37	67,726	56,580	657,099	525,282
2008-10-14	$72.46	$75.00	83.5%	18.3%	90.4%	62.2%	64.0%	19.4%	-8.8%	-2.7M	751.0M	-11.8M	0.93	4.05	69,115	64,164	672,317	537,748
2008-10-15	$62.35	$75.00	105.6%	24.0%	104.5%	83.7%	77.8%	19.9%	-14.0%	-9.3M	1.55B	-9.3M	1.12	7.66	50,605	56,782	691,934	545,094
2008-10-16	$69.45	$75.00	72.6%	20.8%	111.7%	51.5%	77.8%	24.5%	-11.0%	-4.1M	945.0M	-11.5M	1.11	9.45	56,177	62,353	700,229	554,542
2008-10-17	$68.04	$75.00	67.8%	19.4%	111.3%	46.8%	69.4%	21.8%	-7.6%	-6.3M	1.04B	-11.1M	1.03	8.11	64,635	66,312	709,612	562,442
2008-10-20	$74.99	$70.00	50.8%	14.6%	117.4%	30.2%	53.1%	21.7%	-1.7%	3.7M	336.5M	-12.1M	0.52	5.89	60,383	31,405	526,176	487,266
2008-10-21	$71.50	$70.00	58.4%	16.7%	118.4%	37.7%	58.9%	17.3%	-4.7%	1.0M	617.2M	-11.3M	1.07	4.60	36,962	39,559	540,293	494,659
2008-10-22	$64.57	$70.00	72.0%	20.6%	123.3%	50.9%	70.4%	17.8%	-6.4%	-3.9M	1.08B	-10.1M	0.69	9.42	47,464	32,735	555,555	513,805
2008-10-23	$70.39	$70.00	68.8%	19.7%	127.1%	47.8%	71.2%	24.0%	-5.5%	926.0K	653.1M	-11.6M	0.83	6.87	48,108	39,945	561,534	522,179
2008-10-24	$69.04	$70.00	72.6%	20.8%	127.2%	51.5%	81.0%	25.4%	-6.0%	1.4M	640.3M	-11.7M	1.53	7.88	33,524	51,355	573,254	530,163
2008-10-27	$66.09	$70.00	82.2%	23.6%	124.6%	60.9%	78.9%	23.5%	-7.2%	-1.7M	918.5M	-11.0M	0.88	7.62	36,388	32,018	584,240	551,818
2008-10-28	$74.86	$70.00	63.3%	18.1%	131.8%	42.4%	69.0%	27.6%	-4.4%	8.9M	119.5M	-12.9M	0.78	5.09	53,557	41,936	594,130	561,061
2008-10-29	$74.65	$70.00	66.8%	19.2%	131.7%	45.9%	67.3%	20.5%	-4.7%	8.8M	69.0M	-13.4M	0.97	9.80	75,289	73,256	613,128	578,796
2008-10-30	$75.05	$70.00	64.0%	18.4%	131.7%	43.1%	65.8%	21.6%	-2.7%	11.2M	-20.8M	-13.9M	0.85	5.96	47,900	40,601	637,418	603,972
2008-10-31	$74.12	$70.00	62.5%	17.9%	131.7%	41.6%	64.3%	19.7%	-0.7%	12.3M	-54.2M	-14.0M	0.89	6.49	42,212	37,410	653,544	612,734