XOM Options History — December 2009

In December 2009, XOM traded between $68.19 and $76.04. ATM implied volatility averaged 19.3%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.4% (HV 20d: 18.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2009-12-14: Highest Volume — 226,015 contracts
2009-12-10: Largest IV spike — 13.1% change
2009-12-10: Highest IV Rank — 14.2%
2009-12-10: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.84	$68.19	$76.04	$76.04	$68.19
Max Pain	$71.82	$70.00	$75.00	$75.00	$70.00
ATM IV	19.3%	17.3%	22.3%	19.7%	17.9%
Expected Move	5.6%	5.0%	6.4%	5.6%	5.1%
HV 20d	18.9%	17.1%	23.5%	17.7%	17.1%
HV 60d	19.1%	17.8%	20.3%	18.3%	19.0%
IV Rank	5.3%	0.0%	14.2%	5.3%	1.8%
IV Percentile	9.2%	0.0%	27.8%	7.9%	2.8%
Term Structure	1.6%	0.9%	2.4%	1.0%	1.6%
VWIV	20.3%	17.4%	23.4%	20.0%	18.3%
Skew 25d	2.2%	0.5%	4.2%	4.2%	2.0%
Skew 10d	4.7%	-2.0%	9.4%	8.5%	-2.0%
Call IV 25d	19.9%	17.9%	22.1%	18.7%	17.9%
Put IV 25d	22.1%	19.8%	24.7%	22.9%	19.9%
Bid-Ask Spread %	1.95	0.98	3.86	2.43	0.98
Gamma HHI	0.25	0.20	0.32	0.31	0.21
Net GEX	24.9M	-376.5K	68.9M	68.9M	4.8M
Net DEX	201.8M	-964.0M	842.6M	-964.0M	708.7M
Net VEX	-11.6M	-12.5M	-10.7M	-12.5M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.30	0.95	0.52	0.55
Total Volume	62,621.318	18,479	226,015	35,217	44,022
Total OI	1,271,051.409	1,171,902	1,391,601	1,171,902	1,372,443

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
2009-12-01	$76.04	$75.00	19.7%	5.6%	17.7%	5.3%	20.0%	4.2%	1.0%	68.9M	-964.0M	-12.5M	0.52	2.43	23,185	12,032	629,726	542,176
2009-12-02	$75.79	$75.00	19.0%	5.4%	17.6%	3.7%	19.3%	3.6%	1.2%	66.7M	-872.4M	-12.3M	0.73	3.86	10,683	7,796	636,083	544,801
2009-12-03	$74.99	$75.00	18.3%	5.3%	17.9%	2.1%	18.6%	2.8%	1.3%	61.4M	-651.6M	-12.2M	0.86	3.13	25,228	21,795	634,441	547,530
2009-12-04	$74.25	$70.00	18.6%	5.7%	17.6%	2.9%	21.3%	3.6%	2.4%	52.7M	-461.5M	-12.3M	0.53	2.23	23,301	12,298	641,714	556,774
2009-12-07	$73.77	$75.00	19.5%	5.8%	17.8%	4.9%	22.0%	3.5%	2.1%	49.5M	-363.0M	-11.9M	0.78	1.95	19,693	15,427	639,919	553,076
2009-12-08	$72.95	$75.00	20.2%	6.0%	18.3%	8.1%	23.4%	3.8%	1.7%	39.3M	-171.6M	-11.8M	0.65	2.09	32,560	21,166	642,059	557,719
2009-12-09	$72.79	$75.00	19.7%	6.0%	18.3%	6.6%	21.7%	3.6%	1.8%	37.3M	-124.0M	-12.0M	0.75	2.21	27,797	20,946	646,725	561,136
2009-12-10	$72.40	$75.00	22.3%	6.4%	18.3%	14.2%	20.9%	3.8%	1.6%	29.8M	11.1M	-11.7M	0.31	2.27	21,803	6,849	647,206	567,491
2009-12-11	$72.83	$75.00	19.8%	5.7%	17.7%	6.7%	22.2%	3.3%	2.0%	40.9M	-129.5M	-11.7M	0.82	2.40	11,356	9,353	656,216	566,503
2009-12-14	$69.69	$70.00	21.1%	6.0%	23.5%	10.6%	21.9%	1.6%	1.8%	2.1M	529.2M	-10.7M	0.77	2.16	127,966	98,049	650,544	568,052
2009-12-15	$69.17	$70.00	21.3%	6.1%	21.0%	11.3%	22.2%	1.5%	1.2%	3.7M	588.8M	-11.3M	0.50	1.47	81,690	40,912	678,682	593,284
2009-12-16	$68.43	$70.00	20.9%	6.0%	20.7%	10.1%	22.1%	1.7%	1.3%	-376.5K	761.4M	-11.3M	0.68	1.76	82,762	56,487	710,419	602,787
2009-12-17	$68.22	$70.00	21.3%	6.1%	20.5%	11.2%	22.3%	1.0%	0.9%	5.0M	831.2M	-11.5M	0.85	1.70	36,066	30,733	750,304	618,170
2009-12-18	$68.21	$70.00	20.4%	5.9%	20.5%	8.7%	21.4%	1.2%	1.2%	3.5M	842.6M	-11.5M	0.80	2.18	49,435	39,723	762,078	629,523
2009-12-21	$68.51	$70.00	18.6%	5.3%	20.8%	3.4%	19.7%	1.4%	1.8%	4.5M	623.2M	-11.4M	0.54	1.83	44,622	23,975	689,224	588,719
2009-12-22	$68.57	$70.00	18.6%	5.3%	19.2%	3.3%	19.3%	1.3%	1.5%	8.5M	586.8M	-11.6M	0.38	1.33	41,623	15,935	705,206	594,091
2009-12-23	$68.26	$70.00	17.5%	5.0%	19.0%	0.1%	18.3%	1.7%	2.2%	8.6M	611.6M	-11.4M	0.67	1.16	37,205	25,082	718,356	601,794
2009-12-24	$68.66	$70.00	17.9%	5.1%	18.9%	1.2%	18.1%	0.9%	1.9%	13.2M	550.8M	-11.6M	0.30	1.37	21,109	6,308	724,355	607,169
2009-12-28	$69.08	$70.00	18.0%	5.2%	18.4%	1.6%	18.6%	0.5%	1.9%	20.1M	444.8M	-11.4M	0.44	1.23	33,585	14,744	724,833	609,751
2009-12-29	$68.84	$70.00	17.5%	5.0%	18.2%	0.1%	17.8%	0.9%	1.9%	13.3M	535.8M	-11.3M	0.70	1.91	25,189	17,523	727,969	610,308
2009-12-30	$68.77	$70.00	17.3%	5.0%	17.1%	0.0%	17.4%	1.1%	2.0%	15.4M	552.1M	-11.3M	0.95	1.16	30,670	28,986	734,443	619,332
2009-12-31	$68.19	$70.00	17.9%	5.1%	17.1%	1.8%	18.3%	2.0%	1.6%	4.8M	708.7M	-11.4M	0.55	0.98	28,408	15,614	742,054	630,389