XOM Options History — April 2010

In April 2010, XOM traded between $67.34 and $69.29. ATM implied volatility averaged 16.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.9% (HV 20d: 10.8%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2010-04-28: Highest Volume — 127,458 contracts
2010-04-27: Largest IV spike — 19.0% change
2010-04-27: Highest IV Rank — 31.5%
2010-04-27: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.43	$67.34	$69.29	$67.61	$67.77
Max Pain	$65.71	$65.00	$67.50	$65.00	$67.50
ATM IV	16.6%	13.8%	20.3%	14.5%	19.1%
Expected Move	5.0%	4.2%	5.8%	4.2%	5.5%
HV 20d	10.8%	9.5%	13.3%	10.6%	13.3%
HV 60d	14.3%	13.2%	15.0%	14.8%	13.5%
IV Rank	13.1%	0.0%	31.5%	0.0%	29.5%
IV Percentile	12.7%	0.0%	45.6%	0.0%	32.9%
Term Structure	0.3%	-0.6%	1.8%	1.8%	1.2%
VWIV	17.6%	14.8%	20.3%	14.8%	19.5%
Skew 25d	1.7%	0.4%	2.3%	1.2%	1.9%
Skew 10d	4.2%	1.0%	6.8%	3.1%	4.9%
Call IV 25d	16.6%	14.5%	20.0%	14.5%	18.5%
Put IV 25d	18.3%	15.6%	20.6%	15.6%	20.4%
Bid-Ask Spread %	3.93	1.92	9.24	1.92	4.91
Gamma HHI	0.33	0.24	0.45	0.34	0.24
Net GEX	74.3M	40.2M	102.5M	53.1M	64.7M
Net DEX	-872.5M	-1.32B	-353.9M	-500.0M	-706.0M
Net VEX	-18.2M	-20.1M	-16.8M	-17.0M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.18	0.93	0.57	0.72
Total Volume	64,609.619	30,653	127,458	33,949	65,577
Total OI	1,491,677.714	1,274,331	1,648,351	1,512,883	1,509,510

Daily Data (21 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
2010-04-01	$67.61	$65.00	14.5%	4.2%	10.6%	0.0%	14.8%	1.2%	1.8%	53.1M	-500.0M	-17.0M	0.57	1.92	21,682	12,267	882,735	630,148
2010-04-05	$68.19	$65.00	14.3%	4.7%	9.5%	0.0%	17.1%	2.1%	0.7%	69.4M	-697.6M	-17.1M	0.64	2.43	26,524	17,000	884,385	635,308
2010-04-06	$67.90	$65.00	15.2%	4.7%	9.7%	3.7%	17.2%	2.3%	0.4%	62.4M	-579.5M	-17.1M	0.58	3.07	19,450	11,203	887,832	637,802
2010-04-07	$67.34	$65.00	17.5%	5.3%	10.2%	14.4%	17.7%	2.3%	-0.6%	40.2M	-353.9M	-16.8M	0.93	3.45	24,010	22,292	897,688	643,714
2010-04-08	$67.86	$65.00	14.3%	4.9%	10.3%	0.0%	17.8%	1.6%	0.4%	57.9M	-622.4M	-17.1M	0.41	4.59	60,478	25,001	897,688	643,714
2010-04-09	$68.76	$65.00	13.8%	4.8%	11.2%	0.0%	17.5%	2.3%	0.4%	99.1M	-985.4M	-17.7M	0.38	9.24	49,465	18,821	925,044	661,761
2010-04-12	$68.71	$65.00	15.4%	5.0%	10.9%	7.1%	17.2%	2.0%	0.2%	91.8M	-954.4M	-17.4M	0.43	3.74	30,123	13,050	926,200	665,311
2010-04-13	$68.66	$65.00	15.8%	5.1%	10.4%	9.1%	17.7%	1.9%	0.1%	84.6M	-946.0M	-17.3M	0.70	3.99	29,718	20,719	930,030	670,472
2010-04-14	$68.61	$65.00	16.9%	5.3%	10.4%	13.7%	18.3%	1.9%	-0.4%	80.7M	-924.4M	-17.5M	0.48	2.59	38,138	18,146	937,292	678,316
2010-04-15	$68.26	$65.00	18.0%	5.2%	9.9%	18.6%	18.2%	1.5%	-0.0%	63.7M	-873.4M	-17.5M	0.67	2.83	25,258	16,899	948,943	682,014
2010-04-16	$67.93	$65.00	18.4%	5.3%	10.1%	20.3%	18.5%	1.8%	0.5%	56.8M	-795.7M	-18.0M	0.62	5.16	39,697	24,535	962,233	686,118
2010-04-19	$68.23	$65.00	16.6%	4.8%	10.0%	13.7%	16.4%	1.9%	0.2%	59.6M	-723.6M	-17.8M	0.64	4.48	41,320	26,411	744,359	529,972
2010-04-20	$68.97	$65.00	15.5%	4.4%	10.5%	8.3%	15.9%	1.8%	0.2%	71.0M	-998.0M	-18.2M	0.70	2.68	35,694	25,157	759,939	541,424
2010-04-21	$68.92	$65.00	15.8%	4.5%	10.5%	9.7%	16.3%	1.4%	0.2%	79.3M	-992.8M	-18.1M	0.28	3.73	59,072	16,337	778,964	555,440
2010-04-22	$68.56	$65.00	16.5%	4.7%	10.4%	13.2%	16.2%	1.8%	0.2%	72.4M	-908.1M	-18.6M	0.54	5.92	29,577	15,838	801,983	561,985
2010-04-23	$69.24	$67.50	16.8%	4.8%	10.7%	14.5%	17.3%	1.4%	-0.1%	88.1M	-1.16B	-18.8M	0.18	2.68	86,320	15,567	812,743	568,176
2010-04-26	$69.29	$67.50	17.1%	4.9%	10.6%	15.8%	17.2%	1.2%	0.0%	102.5M	-1.32B	-19.5M	0.37	2.58	34,324	12,783	864,097	573,167
2010-04-27	$68.27	$67.50	20.3%	5.8%	11.6%	31.5%	20.3%	0.4%	-0.4%	76.3M	-984.6M	-19.8M	0.41	7.45	71,480	29,653	870,250	575,759
2010-04-28	$69.19	$67.50	19.6%	5.6%	12.3%	28.2%	19.8%	1.3%	0.1%	93.1M	-1.22B	-20.0M	0.40	2.59	91,165	36,293	884,062	584,145
2010-04-29	$68.66	$67.50	18.1%	5.2%	12.7%	24.4%	17.9%	1.4%	0.7%	92.8M	-1.07B	-20.0M	0.51	2.55	66,184	33,574	900,754	593,755
2010-04-30	$67.77	$67.50	19.1%	5.5%	13.3%	29.5%	19.5%	1.9%	1.2%	64.7M	-706.0M	-20.1M	0.72	4.91	38,084	27,493	900,608	608,902