XOM Options History — September 2010

In September 2010, XOM traded between $60.55 and $62.06. ATM implied volatility averaged 17.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.6% (HV 20d: 17.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2010-09-21: Highest Volume — 108,359 contracts
2010-09-07: Largest IV spike — 30.9% change
2010-09-07: Highest IV Rank — 35.0%
2010-09-08: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.25	$60.55	$62.06	$60.91	$61.79
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	17.9%	14.7%	20.7%	20.1%	15.8%
Expected Move	5.2%	4.2%	6.1%	5.7%	4.5%
HV 20d	17.4%	9.0%	21.1%	21.1%	9.0%
HV 60d	19.3%	17.6%	21.4%	21.4%	17.6%
IV Rank	21.0%	4.7%	35.0%	31.8%	10.1%
IV Percentile	29.1%	1.6%	61.5%	50.4%	6.7%
Term Structure	2.0%	1.0%	3.1%	1.0%	2.3%
VWIV	19.1%	16.3%	22.8%	20.6%	17.1%
Skew 25d	4.4%	3.2%	6.2%	4.9%	3.2%
Skew 10d	10.8%	8.0%	15.7%	12.1%	8.7%
Call IV 25d	16.8%	14.9%	18.6%	17.9%	16.0%
Put IV 25d	21.2%	18.3%	24.7%	22.9%	19.2%
Bid-Ask Spread %	3.89	2.34	7.22	2.77	7.22
Gamma HHI	0.17	0.14	0.20	0.14	0.19
Net GEX	27.1M	17.6M	35.8M	30.9M	27.2M
Net DEX	191.8M	36.2M	303.0M	120.3M	201.4M
Net VEX	-13.1M	-13.9M	-12.3M	-13.7M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.32	1.94	0.67	0.90
Total Volume	53,322.238	23,939	108,359	63,513	57,487
Total OI	1,567,824.81	1,481,799	1,625,504	1,523,459	1,625,476

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
2010-09-01	$60.91	$60.00	20.1%	5.7%	21.1%	31.8%	20.6%	4.9%	1.0%	30.9M	120.3M	-13.7M	0.67	2.77	37,943	25,570	838,831	684,628
2010-09-02	$61.06	$60.00	19.9%	5.7%	21.1%	30.8%	20.7%	5.3%	1.0%	33.8M	83.4M	-13.7M	0.83	3.42	13,299	10,976	844,513	686,356
2010-09-03	$61.32	$60.00	15.8%	5.1%	20.8%	10.2%	20.5%	6.2%	3.1%	35.8M	46.5M	-13.6M	0.74	5.03	18,723	13,932	850,648	690,149
2010-09-07	$60.55	$60.00	20.7%	6.0%	21.0%	35.0%	21.9%	5.5%	2.0%	29.1M	240.0M	-13.1M	0.59	4.51	29,125	17,141	852,916	693,983
2010-09-08	$60.75	$60.00	20.2%	6.1%	20.9%	32.5%	21.3%	6.1%	1.7%	29.5M	217.4M	-13.2M	0.97	3.48	12,156	11,783	857,142	702,331
2010-09-09	$61.05	$60.00	20.3%	5.8%	18.9%	32.8%	20.9%	4.8%	2.1%	29.8M	191.9M	-13.0M	0.67	3.32	16,757	11,156	856,000	701,143
2010-09-10	$61.20	$60.00	20.1%	5.7%	18.9%	31.8%	20.1%	4.9%	2.0%	34.4M	104.3M	-13.0M	0.98	4.12	18,241	17,958	858,034	702,527
2010-09-13	$61.00	$60.00	20.0%	5.7%	18.8%	31.6%	20.7%	4.6%	1.6%	25.1M	209.8M	-12.5M	0.88	4.65	23,917	21,092	860,607	710,634
2010-09-14	$61.01	$60.00	19.8%	5.7%	18.8%	30.5%	22.8%	4.7%	1.6%	23.8M	295.8M	-12.3M	1.94	3.30	21,107	40,900	857,398	715,296
2010-09-15	$61.00	$60.00	19.8%	5.7%	18.0%	30.4%	19.8%	4.6%	1.4%	29.4M	217.1M	-12.6M	1.21	3.68	25,624	31,047	863,599	731,822
2010-09-16	$60.97	$60.00	18.7%	5.4%	17.5%	24.8%	18.8%	4.3%	1.9%	23.4M	262.1M	-12.5M	0.32	3.54	57,057	18,465	869,476	745,860
2010-09-17	$60.78	$60.00	18.1%	5.2%	16.7%	21.6%	17.9%	4.1%	2.3%	26.9M	286.2M	-12.4M	0.59	2.77	37,034	21,766	881,264	744,240
2010-09-20	$61.55	$60.00	16.1%	4.6%	16.8%	11.9%	17.1%	3.3%	2.0%	18.1M	229.3M	-12.3M	0.75	3.03	38,028	28,506	806,903	674,896
2010-09-21	$61.54	$60.00	15.8%	4.5%	16.6%	10.3%	17.7%	4.2%	2.3%	22.2M	218.9M	-12.5M	0.58	2.92	68,508	39,851	822,840	679,858
2010-09-22	$61.45	$60.00	16.5%	4.7%	16.1%	13.9%	18.2%	3.5%	2.3%	19.5M	219.5M	-13.2M	0.42	3.35	67,890	28,844	846,276	694,904
2010-09-23	$61.15	$60.00	18.9%	5.4%	16.3%	25.7%	18.0%	4.4%	2.0%	17.6M	283.6M	-13.6M	0.46	3.71	43,328	19,789	866,857	699,990
2010-09-24	$61.75	$60.00	14.8%	4.3%	16.1%	5.4%	16.3%	3.9%	2.7%	27.5M	145.0M	-13.7M	0.57	2.34	40,046	22,646	879,465	707,652
2010-09-27	$61.71	$60.00	15.2%	4.4%	14.4%	7.3%	17.4%	3.3%	2.4%	29.8M	117.2M	-13.6M	1.31	3.55	10,749	14,067	884,427	714,756
2010-09-28	$62.06	$60.00	14.7%	4.2%	13.3%	4.7%	16.3%	3.4%	2.4%	30.8M	36.2M	-13.7M	1.13	6.19	19,651	22,112	884,113	720,799
2010-09-29	$61.59	$60.00	15.4%	4.4%	13.8%	8.5%	16.6%	3.3%	2.0%	24.2M	303.0M	-13.6M	1.43	4.81	18,728	26,768	889,656	726,056
2010-09-30	$61.79	$60.00	15.8%	4.5%	9.0%	10.1%	17.1%	3.2%	2.3%	27.2M	201.4M	-13.9M	0.90	7.22	30,292	27,195	892,394	733,082