XOM Options History — May 2009

In May 2009, XOM traded between $67.65 and $70.82. ATM implied volatility averaged 25.2%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.7% (HV 20d: 25.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2009-05-08: Highest Volume — 578,598 contracts
2009-05-11: Largest IV spike — 18.8% change
2009-05-11: Highest IV Rank — 10.2%
2009-05-04: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.27	$67.65	$70.82	$68.01	$69.35
Max Pain	$68.00	$65.00	$70.00	$65.00	$70.00
ATM IV	25.2%	23.2%	30.3%	26.1%	23.2%
Expected Move	7.4%	6.7%	8.1%	7.5%	6.7%
HV 20d	25.9%	24.1%	27.5%	25.3%	24.1%
HV 60d	35.0%	31.9%	37.1%	37.1%	31.9%
IV Rank	4.2%	0.8%	10.2%	6.0%	0.8%
IV Percentile	11.8%	2.0%	33.3%	17.1%	2.0%
Term Structure	1.5%	0.5%	2.4%	1.8%	1.2%
VWIV	26.3%	23.4%	29.2%	28.1%	23.9%
Skew 25d	3.8%	1.9%	5.0%	3.6%	1.9%
Skew 10d	7.7%	5.8%	9.2%	7.4%	5.8%
Call IV 25d	24.9%	22.2%	27.4%	25.8%	23.6%
Put IV 25d	28.8%	25.5%	32.2%	29.4%	25.5%
Bid-Ask Spread %	3.44	2.22	4.89	3.60	2.22
Gamma HHI	0.22	0.17	0.35	0.18	0.24
Net GEX	31.3M	19.3M	62.3M	19.3M	34.6M
Net DEX	82.2M	-205.9M	296.3M	232.5M	-27.7M
Net VEX	-10.1M	-10.6M	-9.3M	-9.4M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.07	0.91	0.52	0.91
Total Volume	72,213.45	23,049	578,598	52,688	23,049
Total OI	960,989.9	896,853	1,021,564	928,244	983,173

Daily Data (20 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
2009-05-01	$68.01	$65.00	26.1%	7.5%	25.3%	6.0%	28.1%	3.6%	1.8%	19.3M	232.5M	-9.4M	0.52	3.60	34,578	18,110	540,235	388,009
2009-05-04	$68.20	$65.00	26.8%	8.1%	25.3%	6.7%	28.7%	5.0%	0.8%	23.9M	152.7M	-9.5M	0.50	3.41	25,290	12,747	548,572	390,850
2009-05-05	$67.65	$65.00	25.3%	8.0%	25.4%	5.3%	29.2%	4.5%	0.6%	19.3M	270.2M	-9.3M	0.64	4.13	14,864	9,497	550,759	394,894
2009-05-06	$68.58	$65.00	24.6%	7.9%	25.0%	4.6%	27.9%	4.5%	0.9%	25.2M	135.4M	-9.4M	0.53	3.99	30,156	16,123	552,378	396,849
2009-05-07	$68.93	$65.00	25.6%	8.0%	25.1%	5.6%	29.2%	4.6%	0.7%	27.9M	111.4M	-9.5M	0.80	4.89	19,580	15,674	561,041	399,688
2009-05-08	$70.80	$65.00	25.5%	7.7%	26.5%	5.5%	26.2%	4.4%	1.0%	39.4M	-205.3M	-10.0M	0.07	4.64	538,765	39,833	566,070	401,003
2009-05-11	$69.27	$65.00	30.3%	8.0%	25.9%	10.2%	28.1%	3.8%	0.5%	30.9M	143.9M	-10.0M	0.54	3.68	34,586	18,563	563,534	413,463
2009-05-12	$70.82	$65.00	24.9%	7.6%	26.9%	4.9%	26.3%	4.5%	1.1%	49.5M	-205.9M	-10.5M	0.57	3.32	37,014	21,055	576,506	409,776
2009-05-13	$69.77	$70.00	25.9%	8.0%	27.5%	5.9%	28.3%	4.3%	1.1%	46.1M	362.3K	-10.3M	0.90	3.43	30,300	27,412	579,796	412,096
2009-05-14	$69.76	$70.00	25.9%	7.4%	27.1%	5.8%	26.3%	4.0%	1.8%	62.3M	24.2M	-10.2M	0.69	3.28	40,099	27,745	585,273	416,767
2009-05-15	$69.11	$70.00	24.6%	7.0%	27.1%	3.8%	25.0%	4.0%	2.1%	22.4M	223.3M	-10.3M	0.71	2.33	32,268	22,958	597,978	423,586
2009-05-18	$70.50	$70.00	24.5%	7.0%	26.3%	3.8%	24.0%	3.8%	1.7%	30.8M	-83.4M	-10.5M	0.51	2.89	48,966	24,952	532,546	364,307
2009-05-19	$70.52	$70.00	23.5%	6.7%	26.0%	2.1%	23.4%	3.8%	2.4%	34.1M	-74.0M	-10.6M	0.71	3.95	30,463	21,586	550,107	370,916
2009-05-20	$69.61	$70.00	24.4%	7.0%	25.0%	2.0%	24.5%	3.1%	2.0%	30.9M	55.5M	-10.5M	0.43	3.27	40,080	17,165	562,304	373,771
2009-05-21	$68.39	$70.00	25.3%	7.3%	25.7%	2.9%	26.6%	3.2%	1.5%	25.4M	203.0M	-10.3M	0.77	2.59	24,946	19,297	573,986	379,828
2009-05-22	$68.83	$70.00	24.0%	6.9%	25.4%	1.6%	24.9%	3.4%	2.0%	24.8M	190.6M	-10.3M	0.81	2.76	17,689	14,282	567,710	384,832
2009-05-26	$69.81	$70.00	24.3%	7.0%	25.6%	1.9%	24.8%	3.5%	2.4%	30.3M	70.4M	-10.6M	0.78	2.66	19,839	15,445	571,519	390,714
2009-05-27	$68.30	$70.00	24.6%	7.1%	26.6%	2.3%	25.6%	3.3%	1.9%	20.9M	296.3M	-10.0M	0.59	3.81	18,387	10,872	575,880	393,815
2009-05-28	$69.23	$70.00	24.4%	7.0%	26.1%	2.0%	25.1%	3.1%	2.1%	27.9M	129.7M	-10.4M	0.46	3.89	20,577	9,457	580,071	395,196
2009-05-29	$69.35	$70.00	23.2%	6.7%	24.1%	0.8%	23.9%	1.9%	1.2%	34.6M	-27.7M	-10.5M	0.91	2.22	12,093	10,956	585,403	397,770