XOM Options History — December 2008

In December 2008, XOM traded between $74.31 and $83.14. ATM implied volatility averaged 48.0%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 16.3% (HV 20d: 64.3%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2008-12-18: Highest Volume — 167,000 contracts
2008-12-16: Largest IV drop — 15.9% change
2008-12-01: Highest IV Rank — 38.9%
2008-12-05: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.08	$74.31	$83.14	$74.31	$79.83
Max Pain	$79.09	$75.00	$80.00	$75.00	$80.00
ATM IV	48.0%	38.4%	59.7%	59.7%	38.5%
Expected Move	13.9%	11.0%	17.2%	17.1%	11.0%
HV 20d	64.3%	36.8%	81.7%	80.2%	36.8%
HV 60d	91.9%	90.3%	93.1%	92.7%	90.4%
IV Rank	27.5%	18.1%	38.9%	38.9%	18.2%
IV Percentile	81.2%	74.2%	90.1%	90.1%	74.2%
Term Structure	0.4%	-5.3%	3.3%	-1.0%	1.8%
VWIV	49.4%	40.1%	59.3%	59.3%	40.1%
Skew 25d	13.1%	8.9%	17.7%	17.0%	10.5%
Skew 10d	27.7%	18.3%	37.2%	37.2%	23.0%
Call IV 25d	42.8%	35.2%	52.8%	52.8%	35.2%
Put IV 25d	55.9%	45.7%	69.8%	69.8%	45.7%
Bid-Ask Spread %	4.49	1.49	7.25	4.30	1.49
Gamma HHI	0.15	0.12	0.22	0.12	0.16
Net GEX	19.0M	-8.7M	76.5M	10.2M	5.4M
Net DEX	-225.4M	-1.94B	723.4M	132.2M	-87.5M
Net VEX	-12.9M	-14.6M	-11.3M	-12.4M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.46	1.81	1.11	0.88
Total Volume	86,552.773	27,127	167,000	89,115	66,502
Total OI	1,444,117.455	1,271,734	1,637,836	1,271,734	1,406,235

Daily Data (22 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
2008-12-01	$74.31	$75.00	59.7%	17.1%	80.2%	38.9%	59.3%	17.0%	-1.0%	10.2M	132.2M	-12.4M	1.11	4.30	42,329	46,786	669,178	602,556
2008-12-02	$77.61	$75.00	51.7%	14.8%	81.7%	31.1%	55.5%	17.3%	-0.0%	20.3M	-312.8M	-13.3M	0.46	7.25	40,879	18,652	685,983	614,709
2008-12-03	$78.93	$75.00	50.5%	14.5%	80.5%	29.9%	53.1%	14.0%	1.5%	28.4M	-622.7M	-13.4M	1.81	5.61	32,473	58,899	700,387	618,325
2008-12-04	$76.27	$75.00	56.3%	16.2%	79.4%	35.6%	55.4%	12.8%	1.9%	13.4M	-175.6K	-13.1M	0.94	5.75	67,960	64,208	701,016	648,148
2008-12-05	$76.60	$80.00	57.8%	17.2%	76.8%	37.1%	54.8%	17.7%	-5.3%	22.4M	-310.1M	-13.6M	0.97	6.82	81,938	79,667	738,216	668,167
2008-12-08	$79.60	$80.00	50.5%	14.9%	75.5%	29.9%	53.9%	15.8%	-1.9%	32.5M	-689.6M	-14.0M	1.34	4.87	40,400	54,105	770,574	700,418
2008-12-09	$78.20	$80.00	49.5%	15.0%	75.9%	29.0%	58.5%	14.7%	-0.9%	26.3M	-445.2M	-13.7M	1.51	5.41	27,220	41,101	767,627	711,808
2008-12-10	$80.07	$80.00	46.9%	14.3%	75.8%	26.4%	55.9%	14.5%	-0.3%	37.4M	-828.8M	-13.9M	1.67	4.88	38,648	64,390	776,539	717,218
2008-12-11	$80.02	$80.00	50.0%	14.3%	72.8%	29.4%	51.2%	14.2%	-0.8%	38.3M	-808.9M	-14.1M	1.21	5.41	40,405	48,873	788,735	737,797
2008-12-12	$80.45	$80.00	49.8%	14.3%	66.0%	29.3%	50.4%	13.8%	-0.8%	40.5M	-838.6M	-14.1M	1.23	5.43	35,664	43,891	792,857	749,273
2008-12-15	$79.95	$80.00	50.7%	14.5%	65.3%	30.1%	51.3%	13.4%	-1.3%	38.7M	-782.5M	-13.7M	1.21	5.56	29,518	35,653	803,475	757,773
2008-12-16	$83.14	$80.00	42.7%	12.2%	66.4%	22.3%	45.9%	13.3%	1.3%	76.5M	-1.94B	-14.6M	0.92	5.43	55,694	51,235	873,959	763,877
2008-12-17	$81.06	$80.00	45.4%	13.0%	66.1%	24.9%	43.4%	12.0%	0.4%	49.5M	-1.04B	-13.7M	0.92	3.88	55,147	50,499	816,105	773,836
2008-12-18	$77.00	$80.00	50.0%	14.3%	67.3%	29.4%	47.3%	10.5%	0.2%	12.2M	199.5M	-12.8M	1.02	4.90	82,752	84,248	824,749	785,497
2008-12-19	$75.02	$80.00	47.9%	13.7%	62.8%	27.3%	47.0%	8.9%	-0.1%	-5.2M	622.6M	-12.0M	0.93	3.74	58,696	54,705	816,556	790,177
2008-12-22	$74.91	$80.00	47.0%	13.5%	51.3%	26.5%	47.6%	11.1%	1.3%	-6.7M	695.2M	-11.6M	0.85	4.49	56,191	47,917	677,100	659,365
2008-12-23	$75.10	$80.00	43.9%	12.6%	49.2%	23.4%	44.5%	10.9%	2.5%	-8.0M	723.4M	-11.4M	1.16	3.05	29,691	34,380	683,627	665,605
2008-12-24	$75.78	$80.00	43.8%	12.5%	49.3%	23.3%	42.7%	10.6%	2.9%	-8.7M	646.2M	-11.5M	0.53	2.19	17,683	9,444	687,304	674,255
2008-12-26	$77.19	$80.00	44.6%	12.8%	48.0%	24.2%	43.6%	10.9%	2.6%	-7.3M	451.6M	-11.4M	0.94	3.80	19,007	17,837	692,563	679,392
2008-12-29	$78.02	$80.00	41.6%	11.9%	48.2%	21.3%	44.1%	11.5%	2.1%	-1.6M	231.3M	-11.6M	0.70	1.91	23,582	16,492	699,963	684,987
2008-12-30	$78.59	$80.00	38.4%	11.0%	39.4%	18.1%	41.3%	12.4%	3.3%	3.4M	54.0M	-11.6M	0.94	2.57	20,000	18,800	704,592	690,061
2008-12-31	$79.83	$80.00	38.5%	11.0%	36.8%	18.2%	40.1%	10.5%	1.8%	5.4M	-87.5M	-11.3M	0.88	1.49	35,341	31,161	711,716	694,519