XOM Options History — March 2009

In March 2009, XOM traded between $62.22 and $71.23. ATM implied volatility averaged 40.6%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 3.9% (HV 20d: 44.5%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2009-03-23: Highest Volume — 158,718 contracts
2009-03-05: Largest IV spike — 21.1% change
2009-03-05: Highest IV Rank — 30.9%
2009-03-05: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.32	$62.22	$71.23	$64.91	$68.10
Max Pain	$73.18	$70.00	$75.00	$75.00	$70.00
ATM IV	40.6%	34.1%	51.5%	47.9%	37.9%
Expected Move	11.5%	9.8%	14.8%	13.7%	10.9%
HV 20d	44.5%	38.3%	50.7%	38.5%	44.2%
HV 60d	37.1%	35.3%	38.5%	35.7%	38.2%
IV Rank	20.3%	13.9%	30.9%	27.4%	17.6%
IV Percentile	66.9%	52.8%	84.1%	80.2%	61.1%
Term Structure	-0.2%	-3.9%	2.5%	-3.0%	2.1%
VWIV	40.7%	35.8%	48.9%	48.3%	39.7%
Skew 25d	7.9%	6.3%	9.4%	7.7%	9.1%
Skew 10d	16.4%	13.2%	20.5%	15.4%	18.2%
Call IV 25d	37.1%	31.7%	45.6%	45.1%	36.7%
Put IV 25d	45.0%	39.1%	55.0%	52.8%	45.8%
Bid-Ask Spread %	2.97	1.86	4.49	1.86	3.31
Gamma HHI	0.15	0.11	0.18	0.18	0.13
Net GEX	-7.7M	-22.8M	15.8M	-20.3M	4.0M
Net DEX	742.8M	-12.1M	1.43B	1.28B	418.0M
Net VEX	-10.7M	-12.0M	-9.5M	-9.7M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.38	1.66	1.03	0.86
Total Volume	86,772.045	52,751	158,718	142,681	62,039
Total OI	1,230,772.818	1,084,065	1,329,816	1,137,754	1,197,844

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
2009-03-02	$64.91	$75.00	47.9%	13.7%	38.5%	27.4%	48.3%	7.7%	-3.0%	-20.3M	1.28B	-9.7M	1.03	1.86	70,180	72,501	609,614	528,140
2009-03-03	$64.36	$75.00	45.9%	13.2%	38.3%	25.4%	46.5%	7.2%	-2.5%	-22.8M	1.37B	-9.5M	0.71	3.08	69,858	49,450	623,482	538,404
2009-03-04	$65.68	$75.00	42.6%	12.2%	38.5%	22.2%	42.1%	6.9%	-1.4%	-21.6M	1.19B	-10.2M	0.69	2.62	71,266	49,424	645,470	544,968
2009-03-05	$62.22	$75.00	51.5%	14.8%	41.7%	30.9%	48.9%	9.4%	-3.9%	-20.0M	1.43B	-9.5M	1.66	2.15	57,845	95,765	673,875	551,515
2009-03-06	$64.03	$75.00	45.5%	12.6%	41.9%	25.0%	45.0%	8.5%	-1.5%	-21.2M	1.26B	-10.4M	0.98	4.49	39,278	38,522	683,621	588,515
2009-03-09	$64.57	$75.00	48.0%	12.9%	42.0%	27.5%	45.7%	9.4%	-2.2%	-17.4M	1.17B	-10.4M	0.72	3.02	41,590	29,862	688,563	575,771
2009-03-10	$67.39	$75.00	44.5%	11.9%	46.1%	24.0%	40.4%	7.4%	-1.1%	-13.1M	821.1M	-11.0M	0.74	3.04	46,368	34,350	702,805	579,659
2009-03-11	$65.77	$75.00	42.7%	11.6%	44.7%	22.3%	41.9%	8.3%	-0.5%	-19.5M	1.08B	-10.3M	0.91	2.14	42,219	38,213	696,633	579,119
2009-03-12	$67.15	$75.00	37.9%	10.9%	45.5%	17.6%	36.6%	7.4%	0.3%	-17.2M	923.1M	-10.4M	0.69	2.57	36,609	25,220	704,609	582,974
2009-03-13	$67.20	$75.00	37.7%	10.8%	45.2%	17.4%	36.7%	7.2%	0.1%	-18.6M	952.2M	-10.4M	0.54	2.60	39,318	21,270	712,453	588,895
2009-03-16	$66.97	$75.00	39.1%	11.2%	45.2%	18.8%	38.3%	7.8%	-0.9%	-13.6M	898.3M	-10.4M	0.87	2.62	41,914	36,540	720,529	584,382
2009-03-17	$69.09	$75.00	34.1%	9.8%	44.4%	13.9%	35.8%	6.9%	0.7%	-6.4M	555.6M	-10.8M	0.71	3.66	33,939	24,192	728,321	582,221
2009-03-18	$69.17	$75.00	34.8%	10.0%	44.2%	14.6%	36.6%	6.7%	0.4%	-3.8M	523.4M	-10.6M	0.38	3.73	50,733	19,475	731,053	580,417
2009-03-19	$68.33	$75.00	36.6%	10.5%	44.3%	16.4%	37.5%	7.0%	-0.3%	-7.8M	672.5M	-10.8M	0.62	2.33	55,597	34,423	737,917	584,793
2009-03-20	$66.09	$70.00	41.0%	11.8%	45.5%	20.6%	40.1%	6.3%	-1.1%	-15.1M	970.3M	-10.4M	0.95	2.77	40,437	38,333	743,797	586,019
2009-03-23	$70.53	$70.00	38.1%	10.9%	50.7%	17.8%	40.2%	8.6%	2.1%	8.4M	94.8M	-11.4M	0.60	2.58	99,305	59,413	615,979	468,086
2009-03-24	$69.45	$70.00	39.1%	11.2%	48.9%	18.7%	41.6%	9.0%	0.4%	9.9M	183.2M	-11.7M	0.80	2.34	40,519	32,529	657,695	484,036
2009-03-25	$70.16	$70.00	36.3%	10.4%	49.0%	16.1%	37.5%	8.6%	1.6%	12.9M	92.2M	-11.6M	0.87	4.37	56,986	49,825	656,646	493,858
2009-03-26	$71.23	$70.00	35.9%	10.3%	49.1%	15.7%	36.7%	8.4%	1.8%	15.8M	-12.1M	-12.0M	0.73	3.07	32,309	23,449	669,034	499,450
2009-03-27	$69.98	$70.00	36.0%	10.3%	46.8%	15.7%	36.5%	7.2%	2.5%	10.3M	157.4M	-11.5M	0.97	3.38	26,723	26,028	668,564	502,871
2009-03-30	$68.63	$70.00	40.6%	11.6%	44.2%	20.2%	43.2%	8.9%	1.1%	7.7M	310.7M	-11.3M	0.78	3.63	30,962	24,207	675,880	508,525
2009-03-31	$68.10	$70.00	37.9%	10.9%	44.2%	17.6%	39.7%	9.1%	2.1%	4.0M	418.0M	-11.1M	0.86	3.31	33,358	28,681	682,495	515,349