XOM Options History — May 2010

In May 2010, XOM traded between $59.31 and $67.84. ATM implied volatility averaged 24.7%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.3% (HV 20d: 20.4%). Max pain ranged from $62.50 to $67.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2010-05-10: Highest Volume — 362,965 contracts
2010-05-10: Largest IV drop — 30.4% change
2010-05-20: Highest IV Rank — 100.0%
2010-05-20: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.09	$59.31	$67.84	$67.84	$60.46
Max Pain	$65.63	$62.50	$67.50	$67.50	$62.50
ATM IV	24.7%	17.4%	33.5%	17.4%	24.4%
Expected Move	7.1%	5.0%	9.6%	5.0%	7.0%
HV 20d	20.4%	12.9%	26.4%	12.9%	26.4%
HV 60d	15.3%	12.0%	18.5%	12.0%	18.5%
IV Rank	58.7%	20.4%	100.0%	20.4%	53.9%
IV Percentile	75.8%	15.5%	100.0%	15.5%	85.3%
Term Structure	0.6%	-1.1%	1.5%	1.5%	1.0%
VWIV	25.3%	17.7%	34.2%	17.7%	25.1%
Skew 25d	5.7%	2.1%	9.6%	2.1%	4.4%
Skew 10d	11.8%	5.0%	21.2%	5.0%	8.9%
Call IV 25d	23.1%	17.0%	30.0%	17.0%	22.9%
Put IV 25d	28.8%	19.0%	39.6%	19.0%	27.3%
Bid-Ask Spread %	5.04	2.98	7.62	3.23	4.22
Gamma HHI	0.16	0.14	0.24	0.24	0.15
Net GEX	9.1M	-8.8M	67.7M	67.7M	-4.1M
Net DEX	538.1M	-670.9M	1.21B	-670.9M	873.8M
Net VEX	-17.5M	-19.5M	-14.9M	-19.5M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.08	1.08	0.68	0.81
Total Volume	99,693.9	46,174	362,965	86,389	46,174
Total OI	1,591,069.4	1,481,143	1,691,154	1,508,160	1,567,602

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
2010-05-03	$67.84	$67.50	17.4%	5.0%	12.9%	20.4%	17.7%	2.1%	1.5%	67.7M	-670.9M	-19.5M	0.68	3.23	51,519	34,870	900,648	607,512
2010-05-04	$66.47	$67.50	20.6%	5.9%	14.7%	38.3%	21.8%	3.4%	0.4%	39.6M	-228.9M	-19.5M	0.95	2.98	52,935	50,150	905,561	619,482
2010-05-05	$66.17	$67.50	22.3%	6.4%	14.6%	47.8%	22.0%	3.9%	-0.2%	32.0M	-67.6M	-19.2M	0.59	4.00	58,437	34,320	915,624	632,326
2010-05-06	$63.89	$67.50	26.4%	7.6%	18.6%	70.4%	27.6%	4.0%	-1.1%	11.0M	518.0M	-18.7M	0.70	7.62	91,088	63,488	929,879	640,808
2010-05-07	$63.70	$67.50	30.8%	8.4%	17.6%	94.9%	29.3%	7.1%	0.5%	14.6M	397.9M	-19.5M	0.59	6.06	72,470	42,497	962,654	660,401
2010-05-10	$65.23	$67.50	21.4%	6.4%	20.1%	42.7%	22.8%	5.6%	1.4%	16.6M	145.0M	-18.8M	0.08	5.89	336,412	26,553	954,769	662,215
2010-05-11	$64.46	$67.50	20.4%	6.3%	20.3%	37.2%	22.0%	5.4%	1.3%	9.7M	335.0M	-18.6M	1.00	5.30	24,077	24,138	949,177	667,894
2010-05-12	$64.91	$67.50	18.3%	6.0%	20.6%	25.0%	20.8%	4.4%	1.5%	11.3M	188.0M	-18.4M	0.39	4.06	49,137	19,113	948,340	664,962
2010-05-13	$64.74	$65.00	20.5%	5.9%	20.6%	37.6%	21.0%	5.5%	1.5%	12.4M	203.8M	-18.2M	0.45	3.11	40,829	18,394	964,494	661,318
2010-05-14	$63.60	$65.00	25.5%	7.3%	21.3%	65.5%	25.1%	7.1%	0.7%	3.4M	543.2M	-17.8M	0.67	6.89	57,502	38,754	973,610	665,865
2010-05-17	$63.27	$65.00	25.8%	7.4%	21.1%	67.4%	25.4%	6.3%	0.4%	884.0K	654.6M	-17.3M	0.75	4.30	37,989	28,643	977,800	670,689
2010-05-18	$62.79	$65.00	26.2%	7.5%	20.4%	69.6%	25.7%	6.4%	0.4%	205.9K	765.3M	-17.1M	1.08	5.17	28,895	31,303	975,014	675,046
2010-05-19	$62.45	$65.00	26.6%	7.6%	20.4%	71.8%	26.8%	7.0%	0.9%	-48.8K	811.9M	-17.2M	0.80	6.68	26,965	21,491	981,882	683,576
2010-05-20	$60.33	$65.00	33.5%	9.6%	22.9%	100.0%	34.2%	9.6%	-0.8%	-4.2M	1.21B	-16.3M	0.85	7.18	59,499	50,417	989,325	685,836
2010-05-21	$60.88	$65.00	30.5%	8.7%	22.9%	84.8%	30.4%	8.3%	0.2%	-5.3M	1.21B	-16.4M	0.81	5.58	65,261	52,558	988,320	702,834
2010-05-24	$60.19	$65.00	28.2%	8.1%	22.8%	72.9%	27.8%	6.8%	0.8%	-4.5M	906.4M	-16.0M	0.23	4.86	84,055	19,439	855,041	626,102
2010-05-25	$59.71	$65.00	28.3%	8.1%	22.6%	73.7%	29.4%	6.1%	0.8%	-8.1M	1.05B	-15.5M	0.49	4.85	77,098	37,692	858,189	632,276
2010-05-26	$59.31	$62.50	25.7%	7.4%	21.3%	60.4%	27.3%	5.8%	0.3%	-8.8M	1.14B	-14.9M	0.46	5.06	37,858	17,341	886,956	645,248
2010-05-27	$61.46	$62.50	21.9%	6.3%	26.3%	40.9%	23.2%	4.2%	1.1%	-2.9M	775.1M	-15.5M	0.44	3.78	58,747	25,770	883,583	648,530
2010-05-28	$60.46	$62.50	24.4%	7.0%	26.4%	53.9%	25.1%	4.4%	1.0%	-4.1M	873.8M	-15.6M	0.81	4.22	25,562	20,612	908,943	658,659