XOM Options History — June 2010

In June 2010, XOM traded between $57.07 and $63.13. ATM implied volatility averaged 25.3%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 5.1% (HV 20d: 30.4%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2010-06-29: Highest Volume — 154,492 contracts
2010-06-04: Largest IV spike — 25.3% change
2010-06-29: Highest IV Rank — 87.5%
2010-06-09: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.71	$57.07	$63.13	$59.25	$57.07
Max Pain	$62.84	$62.50	$65.00	$62.50	$62.50
ATM IV	25.3%	18.4%	31.0%	28.5%	29.6%
Expected Move	7.3%	5.3%	9.1%	8.2%	8.5%
HV 20d	30.4%	26.8%	33.1%	26.8%	27.3%
HV 60d	22.4%	18.6%	24.0%	18.6%	24.0%
IV Rank	58.4%	23.7%	87.5%	74.5%	80.0%
IV Percentile	80.0%	27.4%	99.2%	97.2%	96.4%
Term Structure	0.4%	-2.7%	2.8%	-0.1%	1.2%
VWIV	26.0%	19.3%	31.4%	29.2%	31.0%
Skew 25d	5.0%	4.0%	6.6%	6.1%	4.3%
Skew 10d	10.4%	8.2%	13.3%	12.0%	8.8%
Call IV 25d	24.1%	17.1%	30.0%	27.6%	29.3%
Put IV 25d	29.2%	21.1%	35.7%	33.7%	33.6%
Bid-Ask Spread %	3.82	2.71	5.99	5.46	3.08
Gamma HHI	0.15	0.12	0.22	0.15	0.15
Net GEX	7.4M	-11.1M	39.1M	-8.1M	-11.1M
Net DEX	682.6M	50.1M	1.32B	1.09B	1.32B
Net VEX	-15.0M	-16.3M	-13.4M	-14.9M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.32	1.20	0.32	0.86
Total Volume	69,455.273	28,682	154,492	53,083	99,969
Total OI	1,627,336.864	1,509,394	1,744,350	1,575,831	1,744,350

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
2010-06-01	$59.25	$62.50	28.5%	8.2%	26.8%	74.5%	29.2%	6.1%	-0.1%	-8.1M	1.09B	-14.9M	0.32	5.46	40,198	12,885	908,384	667,447
2010-06-02	$60.77	$62.50	25.3%	7.2%	28.6%	58.1%	24.9%	4.6%	1.0%	-1.6M	833.1M	-15.7M	0.41	4.06	34,970	14,245	923,778	670,581
2010-06-03	$61.56	$62.50	23.2%	6.6%	29.2%	47.5%	24.4%	5.1%	1.0%	5.0M	632.2M	-16.0M	0.34	3.04	36,038	12,287	928,672	675,029
2010-06-04	$59.52	$65.00	29.0%	8.4%	29.0%	77.2%	29.6%	6.0%	-1.8%	-1.2M	936.5M	-15.5M	0.57	5.35	46,161	26,127	939,286	675,754
2010-06-07	$59.30	$65.00	30.7%	8.7%	29.0%	85.5%	30.6%	5.7%	-2.1%	-2.5M	1.05B	-15.0M	0.62	5.99	22,219	13,687	946,741	681,698
2010-06-08	$61.24	$65.00	28.5%	8.6%	30.2%	74.6%	30.1%	5.7%	-1.7%	10.9M	566.2M	-16.3M	0.58	3.88	57,932	33,848	952,851	682,594
2010-06-09	$60.03	$62.50	29.8%	9.1%	30.7%	81.3%	31.4%	6.6%	-2.7%	4.5M	815.9M	-15.9M	0.59	3.02	37,005	21,713	966,808	694,575
2010-06-10	$61.89	$62.50	25.5%	7.3%	32.8%	59.3%	26.1%	5.9%	-0.1%	18.1M	404.5M	-16.3M	0.57	3.36	34,090	19,265	972,919	691,545
2010-06-11	$61.86	$62.50	24.4%	7.0%	32.8%	54.0%	26.1%	5.8%	0.4%	15.0M	481.1M	-16.0M	0.52	3.77	18,902	9,780	974,212	691,324
2010-06-14	$61.37	$62.50	23.9%	6.9%	32.4%	51.3%	25.5%	5.1%	0.5%	13.9M	579.3M	-15.4M	0.65	3.04	19,810	12,912	980,112	690,626
2010-06-15	$62.51	$62.50	21.9%	6.3%	33.1%	41.2%	24.0%	5.2%	1.3%	26.3M	336.4M	-15.3M	1.20	4.74	33,593	40,385	982,546	691,787
2010-06-16	$62.51	$62.50	21.1%	6.1%	33.0%	37.2%	21.9%	4.3%	1.4%	29.0M	242.7M	-15.2M	0.77	3.47	24,997	19,227	991,836	693,890
2010-06-17	$62.60	$62.50	20.5%	5.9%	33.0%	34.3%	21.1%	4.6%	1.4%	39.1M	243.2M	-15.0M	1.16	5.20	31,360	36,468	994,824	678,377
2010-06-18	$63.10	$62.50	18.4%	5.3%	30.4%	23.7%	19.3%	4.0%	2.8%	21.9M	50.1M	-14.9M	0.84	4.05	29,455	24,653	987,835	681,002
2010-06-21	$63.13	$62.50	20.0%	5.7%	30.3%	31.5%	19.9%	4.3%	1.5%	20.0M	125.3M	-14.7M	0.68	3.99	44,545	30,249	886,099	623,295
2010-06-22	$61.94	$62.50	22.2%	6.4%	30.8%	42.8%	23.3%	5.2%	0.8%	5.3M	465.6M	-14.6M	0.83	3.05	30,341	25,037	899,653	632,703
2010-06-23	$61.10	$62.50	24.1%	6.9%	31.1%	52.3%	23.8%	4.3%	1.2%	546.9K	654.8M	-14.3M	0.58	3.02	30,332	17,603	905,707	638,735
2010-06-24	$60.07	$62.50	25.4%	7.3%	31.7%	59.0%	25.1%	4.3%	0.9%	-2.3M	814.0M	-14.0M	0.70	3.56	48,133	33,513	914,315	640,865
2010-06-25	$59.10	$62.50	25.7%	7.4%	29.4%	60.5%	26.3%	4.6%	1.5%	-4.4M	952.4M	-13.9M	0.65	3.29	73,044	47,533	925,938	650,471
2010-06-28	$58.47	$62.50	27.9%	8.0%	29.0%	71.5%	27.2%	4.2%	1.0%	-7.6M	1.14B	-13.4M	0.65	2.71	78,180	50,833	963,097	671,526
2010-06-29	$57.29	$62.50	31.0%	8.9%	29.1%	87.5%	31.3%	5.1%	0.2%	-8.9M	1.28B	-13.5M	0.73	2.86	89,310	65,182	990,506	697,118
2010-06-30	$57.07	$62.50	29.6%	8.5%	27.3%	80.0%	31.0%	4.3%	1.2%	-11.1M	1.32B	-13.8M	0.86	3.08	53,823	46,146	1,022,493	721,857