XOM Options History — March 2010

In March 2010, XOM traded between $65.40 and $67.39. ATM implied volatility averaged 17.0%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.7% (HV 20d: 12.3%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.56.

Notable Days

2010-03-18: Highest Volume — 91,412 contracts
2010-03-10: Largest IV spike — 12.5% change
2010-03-11: Highest IV Rank — 13.6%
2010-03-10: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.61	$65.40	$67.39	$65.40	$66.98
Max Pain	$66.96	$65.00	$70.00	$65.00	$65.00
ATM IV	17.0%	15.0%	18.7%	17.6%	15.0%
Expected Move	4.9%	4.3%	5.5%	5.0%	4.3%
HV 20d	12.3%	9.5%	19.5%	19.5%	10.2%
HV 60d	15.8%	14.7%	17.3%	17.1%	14.7%
IV Rank	7.2%	0.2%	13.6%	7.2%	0.2%
IV Percentile	6.3%	0.4%	18.3%	6.3%	0.4%
Term Structure	2.2%	0.9%	3.7%	1.0%	3.5%
VWIV	17.2%	15.3%	19.2%	17.7%	15.3%
Skew 25d	1.7%	-0.8%	3.2%	2.8%	-0.8%
Skew 10d	4.9%	3.3%	6.8%	5.1%	4.6%
Call IV 25d	17.0%	15.6%	18.4%	17.8%	15.8%
Put IV 25d	18.7%	15.0%	20.9%	20.6%	15.0%
Bid-Ask Spread %	2.51	1.39	4.64	2.49	2.13
Gamma HHI	0.24	0.18	0.30	0.19	0.28
Net GEX	22.4M	2.9M	42.8M	5.9M	37.5M
Net DEX	-255.1M	-593.9M	100.2M	100.2M	-386.5M
Net VEX	-16.3M	-17.2M	-15.2M	-15.2M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.17	1.05	0.23	0.62
Total Volume	48,765.087	21,606	91,412	45,373	21,606
Total OI	1,435,921	1,337,552	1,531,585	1,337,552	1,506,796

Daily Data (23 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
2010-03-01	$65.40	$65.00	17.6%	5.0%	19.5%	7.2%	17.7%	2.8%	1.0%	5.9M	100.2M	-15.2M	0.23	2.49	36,840	8,533	753,167	584,385
2010-03-02	$65.49	$65.00	17.6%	5.1%	17.0%	7.4%	18.2%	2.8%	0.9%	3.7M	65.9M	-15.2M	0.63	3.22	24,438	15,422	771,163	589,190
2010-03-03	$65.43	$65.00	16.9%	4.8%	16.3%	5.2%	16.9%	1.5%	1.3%	4.7M	92.8M	-15.3M	0.45	3.14	28,549	12,873	776,419	591,547
2010-03-04	$65.40	$65.00	15.8%	4.5%	16.3%	2.3%	15.9%	1.3%	1.9%	2.9M	76.8M	-15.4M	0.57	4.64	18,349	10,371	784,138	596,719
2010-03-05	$66.47	$70.00	16.5%	5.1%	13.7%	4.4%	17.1%	3.2%	2.7%	12.5M	-210.8M	-15.8M	0.38	3.21	48,163	18,514	783,591	602,121
2010-03-08	$66.48	$70.00	17.1%	5.3%	13.7%	6.4%	19.2%	3.0%	2.3%	12.0M	-201.4M	-15.6M	0.43	2.15	23,677	10,075	792,918	600,921
2010-03-09	$66.78	$70.00	16.3%	5.2%	13.4%	4.0%	17.6%	2.9%	2.0%	20.1M	-376.3M	-15.9M	0.61	3.40	32,824	20,147	803,427	601,485
2010-03-10	$67.22	$70.00	18.3%	5.5%	12.9%	11.4%	17.9%	2.7%	1.1%	28.3M	-482.8M	-16.4M	0.43	2.79	44,442	19,217	812,652	606,362
2010-03-11	$67.22	$70.00	18.7%	5.4%	12.6%	13.6%	18.1%	2.6%	2.0%	31.5M	-486.7M	-16.4M	0.81	2.42	25,071	20,314	825,643	608,926
2010-03-12	$66.80	$70.00	18.1%	5.2%	12.8%	12.3%	18.1%	2.4%	2.1%	18.0M	-336.3M	-16.3M	0.69	2.07	27,049	18,571	829,720	619,549
2010-03-15	$66.30	$70.00	17.8%	5.1%	12.9%	11.1%	17.8%	2.9%	2.1%	12.1M	-216.5M	-15.8M	0.70	2.35	18,616	13,120	835,083	618,092
2010-03-16	$66.57	$70.00	18.1%	5.2%	10.2%	12.0%	18.0%	2.2%	2.0%	20.4M	-349.5M	-16.3M	0.70	3.06	28,500	19,927	840,251	619,919
2010-03-17	$67.36	$65.00	18.4%	5.3%	10.5%	13.3%	18.0%	1.5%	1.6%	34.0M	-593.9M	-16.5M	0.50	2.12	40,924	20,321	849,538	622,066
2010-03-18	$67.39	$65.00	17.9%	5.1%	10.5%	11.2%	17.0%	1.2%	1.7%	35.6M	-568.1M	-16.0M	1.05	2.33	44,500	46,912	857,505	621,893
2010-03-19	$67.04	$70.00	17.5%	5.0%	10.7%	9.8%	17.4%	0.8%	2.0%	23.3M	-419.6M	-16.9M	0.58	2.19	31,055	17,971	876,022	655,563
2010-03-22	$66.97	$65.00	17.0%	4.9%	10.3%	7.8%	17.6%	1.5%	2.1%	28.0M	-257.5M	-16.7M	0.68	2.43	40,356	27,542	797,600	602,052
2010-03-23	$66.95	$65.00	16.7%	4.8%	9.9%	6.8%	16.8%	1.2%	2.4%	28.6M	-179.1M	-16.5M	0.30	1.39	38,904	11,520	814,888	605,811
2010-03-24	$66.50	$65.00	16.5%	4.7%	9.8%	6.0%	16.9%	1.2%	2.5%	24.7M	-117.8M	-16.9M	0.54	1.74	27,562	14,784	830,761	611,477
2010-03-25	$66.30	$65.00	16.0%	4.6%	9.6%	3.9%	16.6%	1.7%	3.1%	21.1M	-54.3M	-17.1M	0.17	1.84	62,419	10,898	846,852	615,813
2010-03-26	$66.54	$65.00	15.8%	4.5%	9.5%	3.4%	16.3%	0.0%	3.6%	30.0M	-199.4M	-17.1M	0.67	2.45	24,013	16,035	858,682	616,967
2010-03-29	$67.30	$65.00	15.8%	4.5%	10.1%	3.3%	15.7%	0.2%	3.5%	42.8M	-393.3M	-17.2M	0.45	1.78	38,458	17,214	859,335	625,110
2010-03-30	$67.05	$65.00	15.3%	4.4%	10.2%	1.5%	15.4%	-0.5%	3.7%	38.2M	-373.5M	-17.1M	0.67	2.47	15,005	9,996	877,131	626,933
2010-03-31	$66.98	$65.00	15.0%	4.3%	10.2%	0.2%	15.3%	-0.8%	3.5%	37.5M	-386.5M	-17.0M	0.62	2.13	13,369	8,237	878,289	628,507