XOM Options History — July 2010

In July 2010, XOM traded between $56.57 and $60.91. ATM implied volatility averaged 21.8%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.2% (HV 20d: 19.7%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2010-07-01: Highest Volume — 140,716 contracts
2010-07-15: Largest IV spike — 18.0% change
2010-07-01: Highest IV Rank — 79.2%
2010-07-01: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.97	$56.57	$60.91	$56.61	$59.68
Max Pain	$57.98	$57.50	$60.00	$60.00	$60.00
ATM IV	21.8%	18.0%	29.4%	29.4%	20.6%
Expected Move	6.5%	5.6%	8.4%	8.4%	5.9%
HV 20d	19.7%	16.3%	26.6%	26.6%	17.0%
HV 60d	24.6%	23.9%	25.1%	24.0%	24.9%
IV Rank	40.8%	21.6%	79.2%	79.2%	34.6%
IV Percentile	60.7%	23.0%	96.0%	96.0%	56.7%
Term Structure	0.6%	-0.9%	1.8%	1.6%	0.9%
VWIV	23.3%	20.7%	30.9%	30.9%	21.6%
Skew 25d	4.7%	2.7%	6.8%	4.7%	3.2%
Skew 10d	10.9%	6.4%	14.1%	9.7%	8.1%
Call IV 25d	21.1%	18.3%	29.4%	29.4%	19.7%
Put IV 25d	25.8%	21.6%	34.1%	34.1%	23.0%
Bid-Ask Spread %	3.53	2.83	4.25	3.25	2.99
Gamma HHI	0.14	0.12	0.16	0.16	0.12
Net GEX	9.2M	-8.9M	23.5M	-8.9M	12.1M
Net DEX	680.9M	-26.5M	1.38B	1.38B	406.2M
Net VEX	-13.5M	-14.0M	-12.4M	-13.8M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.29	1.11	0.58	0.78
Total Volume	65,959.429	39,051	140,716	140,716	54,344
Total OI	1,633,532.762	1,330,915	1,882,014	1,792,014	1,466,585

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
2010-07-01	$56.61	$60.00	29.4%	8.4%	26.6%	79.2%	30.9%	4.7%	1.6%	-8.9M	1.38B	-13.8M	0.58	3.25	88,971	51,745	1,054,899	737,115
2010-07-02	$56.57	$60.00	27.0%	7.8%	24.2%	67.2%	28.3%	3.4%	1.8%	-8.5M	1.36B	-14.0M	1.00	3.64	34,012	33,954	1,077,319	746,150
2010-07-06	$57.46	$57.50	25.5%	7.8%	25.1%	59.2%	26.7%	6.8%	0.0%	-6.9M	1.22B	-13.6M	0.54	4.23	63,817	34,230	1,076,080	749,297
2010-07-07	$58.43	$57.50	24.1%	7.4%	22.8%	52.5%	24.8%	6.0%	-0.1%	5.3M	938.9M	-13.9M	0.41	3.47	57,801	23,564	1,088,154	742,273
2010-07-08	$58.81	$57.50	20.9%	6.6%	22.0%	35.9%	24.3%	5.9%	0.7%	12.5M	826.0M	-13.7M	0.66	3.70	48,820	32,013	1,094,166	741,901
2010-07-09	$58.78	$57.50	18.8%	6.3%	18.6%	25.3%	23.6%	5.9%	1.5%	7.2M	856.3M	-13.8M	0.46	3.26	51,303	23,673	1,091,372	745,972
2010-07-12	$58.94	$57.50	21.5%	6.5%	18.7%	39.3%	24.1%	5.5%	0.9%	10.1M	823.9M	-13.6M	1.05	3.56	22,880	23,968	1,106,224	751,615
2010-07-13	$59.42	$57.50	20.0%	6.3%	18.9%	31.7%	22.9%	5.5%	1.2%	19.5M	646.1M	-13.8M	0.37	4.22	39,082	14,385	1,110,369	756,857
2010-07-14	$59.26	$57.50	18.0%	6.2%	17.4%	21.6%	23.2%	5.3%	1.4%	19.5M	728.7M	-13.8M	0.68	3.94	23,229	15,822	1,112,801	756,102
2010-07-15	$59.27	$57.50	21.3%	6.1%	17.4%	38.0%	22.6%	5.3%	1.6%	19.0M	745.1M	-13.7M	0.99	4.22	23,960	23,695	1,111,287	757,196
2010-07-16	$57.96	$57.50	23.2%	6.7%	18.7%	47.8%	23.1%	5.1%	1.1%	-2.0M	1.08B	-13.1M	1.11	4.12	28,433	31,572	1,115,381	766,633
2010-07-19	$58.43	$57.50	21.7%	6.2%	18.7%	40.2%	22.1%	5.1%	-0.2%	-474.8K	738.5M	-12.8M	0.99	2.87	35,803	35,578	725,839	605,076
2010-07-20	$58.95	$57.50	19.7%	5.6%	19.2%	30.0%	20.9%	4.8%	0.2%	6.0M	613.9M	-12.7M	0.63	2.83	27,675	17,423	741,477	604,523
2010-07-21	$58.17	$57.50	22.4%	6.4%	18.6%	43.8%	21.7%	4.6%	-0.3%	1.6M	711.9M	-12.4M	0.46	3.42	39,627	18,260	751,641	609,932
2010-07-22	$59.38	$57.50	20.3%	5.8%	20.0%	33.3%	21.4%	5.0%	0.5%	8.8M	495.8M	-13.2M	0.40	4.25	50,911	20,493	763,340	619,779
2010-07-23	$59.72	$57.50	20.1%	5.8%	19.3%	32.2%	21.1%	4.5%	0.4%	13.3M	386.8M	-13.4M	0.29	2.99	31,629	9,233	776,971	621,568
2010-07-26	$60.39	$57.50	20.0%	5.7%	18.7%	31.6%	20.9%	3.5%	-0.0%	21.5M	163.3M	-13.3M	0.59	3.03	27,081	15,963	787,809	624,722
2010-07-27	$60.81	$57.50	20.2%	5.8%	18.3%	32.7%	20.7%	3.3%	0.1%	23.5M	37.9M	-13.5M	0.49	3.22	30,774	14,953	794,489	630,355
2010-07-28	$60.91	$57.50	21.9%	6.3%	16.3%	41.0%	21.3%	3.1%	-0.9%	23.3M	-26.5M	-13.9M	0.64	2.97	52,818	33,714	801,309	632,573
2010-07-29	$60.34	$60.00	21.6%	6.2%	16.7%	39.4%	22.6%	2.7%	-0.4%	16.0M	170.7M	-13.6M	0.56	4.06	49,881	28,059	808,969	648,068
2010-07-30	$59.68	$60.00	20.6%	5.9%	17.0%	34.6%	21.6%	3.2%	0.9%	12.1M	406.2M	-13.5M	0.78	2.99	30,536	23,808	812,465	654,120