XOM Options History — February 2010

In February 2010, XOM traded between $64.35 and $66.96. ATM implied volatility averaged 19.6%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.4% (HV 20d: 19.3%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.74.

Notable Days

2010-02-05: Highest Volume — 162,267 contracts
2010-02-04: Largest IV spike — 17.8% change
2010-02-05: Highest IV Rank — 18.4%
2010-02-05: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.45	$64.35	$66.96	$66.18	$65.00
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	19.6%	17.4%	21.7%	20.1%	17.4%
Expected Move	5.7%	5.0%	6.6%	5.8%	5.0%
HV 20d	19.3%	16.8%	21.4%	17.1%	19.7%
HV 60d	18.0%	17.3%	18.7%	17.8%	17.3%
IV Rank	12.8%	6.9%	18.4%	14.1%	6.9%
IV Percentile	20.4%	4.8%	35.3%	23.0%	4.8%
Term Structure	0.8%	0.2%	1.8%	1.1%	1.1%
VWIV	20.4%	18.0%	24.1%	20.4%	19.3%
Skew 25d	3.8%	2.5%	4.7%	2.5%	2.9%
Skew 10d	7.6%	3.2%	10.0%	5.5%	4.9%
Call IV 25d	19.3%	17.1%	22.4%	20.3%	17.9%
Put IV 25d	23.1%	20.1%	26.8%	22.8%	20.8%
Bid-Ask Spread %	3.34	2.12	5.68	3.83	4.61
Gamma HHI	0.18	0.17	0.21	0.19	0.17
Net GEX	4.4M	-3.0M	16.8M	6.0M	-116.6K
Net DEX	182.5M	-95.8M	483.3M	275.8M	208.0M
Net VEX	-15.5M	-16.1M	-14.5M	-14.5M	-15.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.36	1.52	0.36	0.96
Total Volume	65,760.737	36,583	162,267	120,488	43,888
Total OI	1,358,841	1,221,331	1,451,029	1,221,331	1,349,534

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
2010-02-01	$66.18	$65.00	20.1%	5.8%	17.1%	14.1%	20.4%	2.5%	1.1%	6.0M	275.8M	-14.5M	0.36	3.83	88,835	31,653	678,549	542,782
2010-02-02	$66.96	$65.00	18.6%	5.3%	16.9%	10.0%	18.5%	3.0%	1.2%	16.8M	7.2M	-15.1M	0.39	2.35	65,170	25,536	717,658	544,764
2010-02-03	$66.60	$65.00	17.9%	5.1%	16.8%	8.0%	18.0%	2.7%	1.8%	15.1M	73.7M	-15.4M	0.75	2.82	31,431	23,616	748,706	549,598
2010-02-04	$64.72	$65.00	21.1%	6.0%	18.8%	16.7%	21.5%	2.7%	1.1%	1.5M	483.3M	-15.0M	0.60	2.99	68,772	41,302	753,781	553,892
2010-02-05	$64.80	$65.00	21.7%	6.6%	18.8%	18.4%	24.1%	4.7%	0.4%	1.3M	423.9M	-15.7M	0.61	5.68	101,038	61,229	785,978	574,799
2010-02-08	$64.35	$65.00	21.6%	6.5%	18.9%	18.3%	23.1%	4.4%	0.2%	-92.7K	471.1M	-15.7M	0.91	3.02	28,644	26,133	794,264	594,416
2010-02-09	$65.20	$65.00	20.3%	6.3%	19.1%	14.8%	22.2%	4.7%	0.3%	4.9M	257.5M	-16.0M	0.90	3.37	33,811	30,370	800,306	600,139
2010-02-10	$64.85	$65.00	19.7%	6.1%	19.1%	13.1%	21.9%	4.6%	0.5%	-1.3M	362.2M	-15.8M	0.69	3.07	24,978	17,126	802,921	596,613
2010-02-11	$65.24	$65.00	20.8%	6.0%	19.4%	16.0%	21.1%	4.5%	0.7%	491.2K	217.1M	-16.1M	0.60	3.73	22,865	13,718	812,439	601,244
2010-02-12	$64.80	$65.00	20.4%	5.8%	19.4%	14.9%	22.1%	4.6%	0.9%	-3.0M	272.7M	-15.7M	0.76	4.02	39,327	30,029	814,361	602,760
2010-02-16	$66.28	$65.00	20.4%	5.9%	21.4%	15.0%	20.2%	4.2%	0.6%	8.6M	-95.8M	-15.9M	0.79	2.28	34,444	27,069	825,681	615,536
2010-02-17	$65.76	$65.00	20.4%	5.8%	21.4%	14.8%	20.6%	4.2%	0.6%	1.9M	67.2M	-15.8M	0.57	2.46	34,073	19,431	824,081	613,278
2010-02-18	$65.96	$65.00	19.5%	5.6%	20.7%	12.3%	19.5%	4.0%	0.7%	5.9M	-60.6M	-15.7M	0.48	2.58	27,716	13,383	829,617	612,863
2010-02-19	$65.87	$65.00	18.7%	5.4%	19.6%	10.2%	19.9%	4.0%	1.1%	10.2M	-93.3M	-15.6M	0.72	2.89	29,309	21,219	836,176	614,853
2010-02-22	$65.40	$65.00	18.8%	5.4%	19.5%	10.5%	18.9%	3.7%	0.8%	6.3M	109.0M	-15.1M	0.73	3.43	25,794	18,733	722,803	554,179
2010-02-23	$64.94	$65.00	19.5%	5.6%	19.6%	12.4%	19.9%	3.6%	0.6%	1.8M	236.9M	-15.2M	0.72	5.68	23,511	16,961	735,155	566,857
2010-02-24	$65.55	$65.00	18.1%	5.2%	19.9%	8.5%	18.4%	4.0%	0.9%	2.8M	79.6M	-15.2M	1.52	2.12	25,004	38,088	741,239	570,003
2010-02-25	$65.14	$65.00	18.2%	5.2%	19.9%	9.0%	18.7%	3.3%	0.6%	3.9M	171.3M	-15.3M	0.99	2.49	22,718	22,530	746,021	590,133
2010-02-26	$65.00	$65.00	17.4%	5.0%	19.7%	6.9%	19.3%	2.9%	1.1%	-116.6K	208.0M	-15.3M	0.96	4.61	22,378	21,510	753,553	595,981