XOM Options History — August 2010

In August 2010, XOM traded between $58.48 and $62.72. ATM implied volatility averaged 20.1%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.0% (HV 20d: 21.2%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.71.

Notable Days

2010-08-10: Highest Volume — 1,311,299 contracts
2010-08-11: Largest IV spike — 23.7% change
2010-08-26: Highest IV Rank — 50.3%
2010-08-26: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.44	$58.48	$62.72	$61.94	$59.11
Max Pain	$59.66	$57.50	$60.00	$60.00	$60.00
ATM IV	20.1%	17.2%	23.7%	18.2%	21.4%
Expected Move	5.8%	4.9%	6.8%	5.2%	6.1%
HV 20d	21.2%	17.5%	23.3%	20.9%	17.5%
HV 60d	24.0%	21.6%	25.3%	25.2%	21.6%
IV Rank	32.1%	17.1%	50.3%	22.3%	38.8%
IV Percentile	50.1%	14.3%	83.3%	25.0%	69.4%
Term Structure	1.3%	0.4%	2.1%	0.8%	1.1%
VWIV	22.3%	18.8%	37.5%	19.4%	22.8%
Skew 25d	4.8%	3.4%	6.2%	3.6%	5.9%
Skew 10d	11.1%	7.4%	14.8%	8.2%	14.8%
Call IV 25d	19.2%	15.9%	21.1%	17.5%	21.1%
Put IV 25d	24.0%	19.9%	27.0%	21.0%	27.0%
Bid-Ask Spread %	3.76	2.61	7.02	3.65	3.60
Gamma HHI	0.15	0.12	0.23	0.16	0.13
Net GEX	16.2M	-5.8M	55.4M	34.1M	1.5M
Net DEX	307.3M	-497.5M	880.3M	-238.6M	708.9M
Net VEX	-13.8M	-14.4M	-13.1M	-13.8M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.02	1.23	0.38	0.52
Total Volume	113,185.273	29,604	1,311,299	92,600	69,822
Total OI	1,504,124.545	1,419,668	1,588,257	1,471,317	1,500,470

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
2010-08-02	$61.94	$60.00	18.2%	5.2%	20.9%	22.3%	19.4%	3.6%	0.8%	34.1M	-238.6M	-13.8M	0.38	3.65	67,225	25,375	815,212	656,105
2010-08-03	$62.72	$60.00	18.7%	5.4%	20.7%	25.1%	20.6%	3.4%	0.4%	46.4M	-479.9M	-14.2M	0.43	2.96	46,198	19,978	829,674	662,670
2010-08-04	$62.72	$60.00	18.2%	5.2%	20.2%	22.3%	19.9%	3.4%	1.2%	55.4M	-497.5M	-14.4M	0.57	2.87	31,483	17,822	838,521	666,522
2010-08-05	$62.71	$60.00	17.2%	4.9%	20.2%	17.1%	18.8%	4.0%	1.8%	45.3M	-462.3M	-14.2M	0.90	4.54	24,357	21,865	831,982	670,035
2010-08-06	$61.97	$57.50	17.2%	5.3%	20.9%	17.4%	20.6%	4.8%	1.2%	40.0M	-212.6M	-14.2M	0.66	5.15	24,710	16,218	836,554	672,202
2010-08-09	$62.45	$57.50	17.2%	5.3%	20.9%	17.5%	19.9%	4.4%	1.2%	45.7M	-283.8M	-13.9M	0.90	7.02	33,118	29,857	831,268	677,621
2010-08-10	$61.93	$57.50	18.4%	5.4%	21.2%	23.2%	37.5%	4.9%	1.2%	38.5M	-143.6M	-14.3M	0.02	2.99	1,289,496	21,803	844,557	694,291
2010-08-11	$60.39	$60.00	22.7%	6.4%	23.3%	45.1%	23.4%	5.1%	0.7%	11.0M	438.8M	-14.2M	1.23	3.34	44,462	54,789	798,348	698,581
2010-08-12	$60.23	$60.00	22.2%	6.4%	23.3%	42.7%	22.7%	5.4%	0.9%	4.1M	480.0M	-14.3M	0.75	3.22	26,967	20,211	810,480	705,116
2010-08-13	$59.91	$60.00	21.8%	6.3%	21.8%	40.7%	22.0%	5.0%	1.3%	739.2K	545.3M	-14.2M	0.70	3.74	24,630	17,264	816,071	705,422
2010-08-16	$59.88	$60.00	21.3%	6.1%	21.7%	38.0%	21.6%	4.8%	1.2%	2.7M	558.1M	-13.7M	0.50	3.84	27,032	13,622	821,091	707,770
2010-08-17	$60.82	$60.00	20.8%	6.0%	22.1%	35.4%	20.8%	4.8%	1.2%	18.1M	280.9M	-14.0M	0.84	4.26	53,927	45,346	825,005	709,100
2010-08-18	$60.15	$60.00	20.7%	5.9%	21.9%	35.0%	21.2%	4.2%	1.3%	3.5M	472.6M	-14.0M	0.58	4.05	25,284	14,760	843,337	727,240
2010-08-19	$59.29	$60.00	21.7%	6.2%	21.4%	40.2%	22.7%	5.2%	1.3%	-5.8M	741.9M	-13.7M	0.81	3.29	32,148	25,940	846,154	728,473
2010-08-20	$58.89	$60.00	20.3%	5.8%	21.5%	33.1%	21.7%	4.2%	1.8%	690.9K	880.3M	-13.3M	1.14	2.61	23,721	26,939	853,514	734,743
2010-08-23	$59.50	$60.00	19.7%	5.6%	21.4%	29.8%	20.9%	4.9%	2.1%	6.0M	560.2M	-13.5M	0.75	2.92	30,981	23,275	779,546	640,122
2010-08-24	$58.94	$60.00	20.9%	6.0%	21.4%	35.9%	24.2%	6.2%	1.6%	1.1M	721.5M	-13.3M	0.98	4.17	29,821	29,340	786,874	645,471
2010-08-25	$58.91	$60.00	21.0%	6.0%	21.4%	36.4%	22.9%	5.5%	1.5%	2.3M	676.3M	-13.5M	0.87	2.86	21,752	18,873	796,366	657,596
2010-08-26	$58.48	$60.00	23.7%	6.8%	21.3%	50.3%	22.7%	5.5%	0.8%	-2.2M	765.7M	-13.2M	0.74	3.90	18,444	13,567	800,104	664,807
2010-08-27	$59.80	$60.00	19.0%	5.4%	22.6%	26.3%	20.8%	4.2%	2.1%	8.4M	524.5M	-13.5M	0.69	3.11	34,288	23,762	804,300	668,353
2010-08-30	$59.00	$60.00	20.6%	5.9%	18.3%	34.7%	22.7%	5.7%	1.3%	-607.2K	723.6M	-13.1M	0.61	4.62	18,380	11,224	813,694	675,378
2010-08-31	$59.11	$60.00	21.4%	6.1%	17.5%	38.8%	22.8%	5.9%	1.1%	1.5M	708.9M	-13.2M	0.52	3.60	45,973	23,849	820,965	679,505