XOM Options History — November 2008

In November 2008, XOM traded between $68.51 and $80.89. ATM implied volatility averaged 58.3%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 41.4% (HV 20d: 99.8%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.04.

Notable Days

2008-11-20: Highest Volume — 157,161 contracts
2008-11-12: Largest IV spike — 25.8% change
2008-11-20: Highest IV Rank — 57.4%
2008-11-20: Largest Expected Move — 22.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.71	$68.51	$80.89	$74.29	$80.15
Max Pain	$73.95	$70.00	$75.00	$70.00	$75.00
ATM IV	58.3%	47.3%	78.6%	59.4%	47.3%
Expected Move	16.7%	13.6%	22.5%	17.0%	13.6%
HV 20d	99.8%	74.3%	133.6%	131.7%	75.3%
HV 60d	86.9%	81.9%	91.5%	81.9%	91.4%
IV Rank	37.6%	26.8%	57.4%	38.6%	26.8%
IV Percentile	91.3%	84.1%	98.0%	92.9%	84.1%
Term Structure	-0.4%	-3.1%	2.2%	-1.9%	2.1%
VWIV	60.3%	50.5%	80.2%	64.1%	50.5%
Skew 25d	17.9%	13.0%	24.3%	16.9%	13.7%
Skew 10d	38.6%	24.3%	51.5%	36.0%	29.8%
Call IV 25d	50.4%	40.6%	67.2%	52.9%	42.0%
Put IV 25d	68.3%	55.7%	90.3%	69.8%	55.7%
Bid-Ask Spread %	6.32	4.10	9.85	5.03	5.76
Gamma HHI	0.12	0.10	0.15	0.12	0.15
Net GEX	12.2M	-2.9M	24.6M	11.7M	24.1M
Net DEX	10.4M	-823.3M	802.0M	87.2M	-661.6M
Net VEX	-13.1M	-14.1M	-11.7M	-13.5M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.71	1.60	1.00	1.28
Total Volume	76,157.632	19,802	157,161	47,316	19,802
Total OI	1,334,401.158	1,198,442	1,462,762	1,285,559	1,267,708

Daily Data (19 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
2008-11-03	$74.29	$70.00	59.4%	17.0%	131.7%	38.6%	64.1%	16.9%	-1.9%	11.7M	87.2M	-13.5M	1.00	5.03	23,697	23,619	663,071	622,488
2008-11-04	$77.49	$70.00	54.8%	15.7%	132.5%	34.1%	57.2%	14.6%	-2.2%	21.4M	-336.1M	-13.8M	1.60	6.09	26,812	42,878	670,187	620,137
2008-11-05	$73.69	$70.00	55.3%	15.8%	133.6%	34.6%	55.9%	13.0%	-1.5%	8.0M	334.2M	-12.9M	1.23	6.88	23,743	29,230	677,563	633,210
2008-11-06	$69.96	$70.00	62.7%	18.0%	127.2%	41.9%	63.3%	15.0%	-1.3%	1.9M	738.4M	-12.1M	0.71	5.73	48,997	34,915	679,199	636,789
2008-11-07	$73.95	$75.00	51.9%	15.1%	124.1%	31.2%	52.8%	19.0%	1.0%	10.6M	177.6M	-13.2M	0.85	8.48	31,158	26,461	678,679	642,810
2008-11-10	$74.02	$75.00	54.0%	15.3%	110.7%	33.3%	56.4%	18.3%	0.3%	11.9M	136.7M	-12.9M	1.13	6.00	24,132	27,338	682,044	648,796
2008-11-11	$72.65	$75.00	55.2%	15.9%	110.8%	34.5%	58.9%	18.5%	-0.7%	8.3M	346.4M	-12.5M	1.33	5.46	21,384	28,508	685,503	651,659
2008-11-12	$68.93	$75.00	69.5%	18.8%	97.9%	48.5%	65.6%	18.5%	-1.7%	-508.0K	802.0M	-11.7M	0.95	4.10	36,578	34,722	690,342	656,077
2008-11-13	$75.41	$75.00	57.1%	16.4%	95.6%	36.3%	56.9%	18.6%	-0.2%	16.3M	-236.2M	-13.2M	0.82	5.91	49,476	40,792	695,935	662,704
2008-11-14	$73.68	$75.00	58.6%	16.8%	95.7%	37.8%	61.3%	18.4%	-1.3%	8.5M	157.8M	-12.9M	1.14	6.27	46,057	52,608	701,667	671,302
2008-11-17	$73.38	$75.00	61.2%	17.5%	89.1%	40.4%	66.0%	19.7%	-1.1%	5.9M	251.8M	-12.6M	0.79	4.57	32,884	26,061	709,518	679,527
2008-11-18	$76.33	$75.00	61.6%	17.7%	88.5%	40.8%	60.7%	21.4%	-1.0%	23.8M	-456.0M	-13.2M	0.94	5.72	26,564	25,031	717,924	686,082
2008-11-19	$73.42	$75.00	66.0%	18.9%	81.0%	45.1%	69.7%	20.1%	-1.6%	8.3M	152.4M	-12.8M	0.90	6.33	42,727	38,565	725,731	692,731
2008-11-20	$68.51	$75.00	78.6%	22.5%	79.5%	57.4%	80.2%	23.2%	-3.1%	-2.9M	714.2M	-12.2M	1.18	9.67	72,005	85,156	746,451	698,810
2008-11-21	$75.81	$75.00	63.3%	18.1%	87.0%	42.4%	65.8%	24.3%	1.4%	19.2M	-387.9M	-13.6M	0.95	5.83	69,645	66,360	756,054	706,708
2008-11-24	$78.80	$75.00	53.1%	15.2%	85.9%	32.5%	55.2%	15.5%	0.4%	13.2M	-379.9M	-13.5M	0.75	7.17	88,149	66,154	616,647	581,795
2008-11-25	$78.11	$75.00	51.2%	14.7%	74.3%	30.6%	54.6%	16.0%	2.2%	17.2M	-420.8M	-13.7M	0.94	9.85	28,064	26,397	650,461	590,324
2008-11-26	$80.89	$75.00	47.8%	13.7%	75.2%	27.3%	51.0%	15.3%	1.9%	24.6M	-823.3M	-14.1M	1.25	5.22	26,768	33,558	660,215	596,774
2008-11-28	$80.15	$75.00	47.3%	13.6%	75.3%	26.8%	50.5%	13.7%	2.1%	24.1M	-661.6M	-13.6M	1.28	5.76	8,699	11,103	663,389	604,319