XOM Options History — February 2009

In February 2009, XOM traded between $67.90 and $80.34. ATM implied volatility averaged 35.9%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.7% (HV 20d: 32.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2009-02-05: Highest Volume — 231,185 contracts
2009-02-17: Largest IV spike — 23.7% change
2009-02-17: Highest IV Rank — 22.6%
2009-02-17: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.29	$67.90	$80.34	$76.69	$67.90
Max Pain	$78.42	$75.00	$80.00	$80.00	$75.00
ATM IV	35.9%	28.6%	43.0%	36.0%	37.5%
Expected Move	10.5%	8.2%	12.3%	10.3%	10.8%
HV 20d	32.2%	29.4%	36.0%	30.5%	36.0%
HV 60d	45.2%	35.9%	53.3%	53.3%	35.9%
IV Rank	15.6%	8.5%	22.6%	15.7%	17.2%
IV Percentile	62.9%	43.7%	74.2%	67.5%	65.9%
Term Structure	0.7%	-1.1%	4.0%	2.6%	0.4%
VWIV	37.1%	31.1%	42.6%	34.8%	38.7%
Skew 25d	7.7%	6.9%	8.7%	8.5%	6.9%
Skew 10d	15.0%	11.8%	17.3%	16.6%	11.8%
Call IV 25d	33.2%	26.3%	39.3%	31.1%	36.4%
Put IV 25d	40.9%	33.9%	47.7%	39.6%	43.3%
Bid-Ask Spread %	3.34	2.08	4.37	2.43	3.31
Gamma HHI	0.16	0.14	0.20	0.15	0.18
Net GEX	-7.3K	-24.4M	40.7M	6.2M	-17.7M
Net DEX	388.2M	-701.2M	1.09B	141.1M	952.3M
Net VEX	-12.3M	-14.0M	-10.4M	-13.0M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.24	1.47	0.97	0.77
Total Volume	94,982.263	53,187	231,185	70,838	93,514
Total OI	1,186,089.474	1,062,663	1,301,059	1,141,900	1,127,035

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
2009-02-02	$76.69	$80.00	36.0%	10.3%	30.5%	15.7%	34.8%	8.5%	2.6%	6.2M	141.1M	-13.0M	0.97	2.43	35,874	34,964	587,013	554,887
2009-02-03	$78.12	$80.00	29.3%	8.4%	31.4%	9.2%	33.1%	8.1%	3.7%	19.2M	-169.8M	-13.1M	1.13	3.77	30,550	34,579	594,217	552,115
2009-02-04	$77.66	$80.00	29.0%	8.3%	31.0%	8.9%	32.1%	6.9%	4.0%	13.6M	-101.2M	-13.3M	1.22	3.77	33,740	41,121	601,200	564,660
2009-02-05	$79.78	$80.00	28.6%	8.2%	31.2%	8.5%	38.5%	7.6%	3.8%	31.1M	-527.0M	-13.6M	0.24	2.25	187,105	44,080	604,529	571,056
2009-02-06	$80.34	$80.00	29.2%	9.3%	31.1%	9.1%	31.1%	8.7%	1.2%	40.7M	-701.2M	-14.0M	0.66	3.38	35,501	23,256	611,338	579,442
2009-02-09	$79.48	$80.00	29.5%	9.5%	30.5%	9.4%	32.4%	7.6%	1.0%	33.3M	-491.5M	-13.9M	0.85	2.57	38,989	33,090	624,263	588,911
2009-02-10	$76.14	$80.00	35.8%	10.9%	34.0%	15.5%	35.9%	7.1%	0.3%	3.7M	239.9M	-13.2M	1.03	3.62	56,759	58,241	626,227	592,325
2009-02-11	$74.58	$80.00	34.9%	10.9%	34.0%	14.6%	39.9%	7.1%	-0.0%	-4.5M	510.0M	-12.7M	1.01	3.54	63,966	64,415	626,510	587,689
2009-02-12	$75.22	$80.00	37.5%	10.7%	31.6%	17.2%	38.1%	7.7%	0.4%	-1.8M	414.2M	-12.9M	0.85	3.66	50,356	42,783	635,422	601,050
2009-02-13	$74.59	$80.00	34.8%	10.0%	30.8%	14.5%	35.9%	7.3%	0.9%	-6.1M	548.2M	-12.4M	0.72	3.87	30,875	22,312	639,741	603,442
2009-02-17	$71.28	$80.00	43.0%	12.3%	33.5%	22.6%	42.2%	8.2%	-1.0%	-19.4M	1.09B	-11.3M	1.21	2.08	51,947	62,626	646,550	603,683
2009-02-18	$71.94	$80.00	41.5%	11.9%	33.1%	21.1%	40.6%	7.8%	-0.6%	-20.4M	985.7M	-11.5M	0.81	3.30	56,177	45,265	651,099	616,783
2009-02-19	$72.16	$80.00	39.3%	11.3%	29.5%	18.9%	37.7%	7.6%	-0.3%	-17.0M	969.1M	-11.6M	0.94	4.22	48,609	45,748	670,049	615,815
2009-02-20	$71.23	$75.00	39.2%	11.2%	29.4%	18.9%	38.4%	8.1%	-0.1%	-24.4M	1.05B	-11.5M	1.47	4.37	37,668	55,282	682,280	618,779
2009-02-23	$69.30	$75.00	41.9%	12.0%	30.5%	21.5%	42.6%	8.4%	-1.1%	-15.3M	833.2M	-10.9M	1.04	3.45	56,207	58,244	555,432	507,231
2009-02-24	$72.09	$75.00	38.6%	11.1%	34.3%	18.3%	38.2%	7.8%	-0.1%	-7.6M	518.1M	-11.6M	0.64	2.77	55,548	35,805	568,383	513,168
2009-02-25	$72.05	$75.00	38.5%	11.0%	34.2%	18.2%	36.8%	7.3%	-1.0%	-4.9M	473.5M	-11.7M	0.57	3.95	53,077	30,497	584,234	515,733
2009-02-26	$70.95	$75.00	37.8%	10.8%	34.2%	17.5%	37.4%	6.9%	-0.3%	-8.9M	637.4M	-11.3M	0.73	3.15	32,263	23,630	594,969	518,440
2009-02-27	$67.90	$75.00	37.5%	10.8%	36.0%	17.2%	38.7%	6.9%	0.4%	-17.7M	952.3M	-10.4M	0.77	3.31	52,917	40,597	604,647	522,388