XOM Options History — October 2010

In October 2010, XOM traded between $62.19 and $66.53. ATM implied volatility averaged 16.1%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.1% (HV 20d: 12.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2010-10-15: Highest Volume — 98,794 contracts
2010-10-14: Largest IV spike — 21.2% change
2010-10-19: Highest IV Rank — 20.6%
2010-10-04: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.05	$62.19	$66.53	$62.54	$66.49
Max Pain	$63.45	$60.00	$65.00	$60.00	$65.00
ATM IV	16.1%	14.2%	17.8%	15.1%	16.0%
Expected Move	4.9%	4.3%	5.3%	4.3%	4.6%
HV 20d	12.0%	9.9%	14.3%	9.9%	13.9%
HV 60d	17.2%	15.5%	18.2%	17.8%	15.7%
IV Rank	11.8%	2.1%	20.6%	6.5%	11.4%
IV Percentile	14.3%	0.4%	31.3%	3.2%	14.3%
Term Structure	0.7%	-0.9%	3.0%	3.0%	0.3%
VWIV	17.8%	15.9%	20.1%	15.9%	17.3%
Skew 25d	3.4%	1.9%	8.0%	3.1%	2.3%
Skew 10d	7.4%	5.1%	13.0%	8.5%	5.6%
Call IV 25d	15.8%	12.5%	17.0%	15.1%	15.6%
Put IV 25d	19.2%	17.9%	22.1%	18.2%	17.9%
Bid-Ask Spread %	4.77	2.12	22.50	3.59	2.49
Gamma HHI	0.21	0.13	0.41	0.19	0.17
Net GEX	61.8M	39.3M	118.9M	39.3M	56.3M
Net DEX	-857.2M	-1.29B	49.7M	-52.6M	-1.05B
Net VEX	-14.7M	-15.2M	-14.0M	-14.1M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.42	1.69	0.56	0.60
Total Volume	58,665.381	25,512	98,794	69,313	25,512
Total OI	1,576,063.524	1,396,409	1,734,197	1,631,093	1,514,064

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
2010-10-01	$62.54	$60.00	15.1%	4.3%	9.9%	6.5%	15.9%	3.1%	3.0%	39.3M	-52.6M	-14.1M	0.56	3.59	44,334	24,979	891,012	740,081
2010-10-04	$62.19	$62.50	15.9%	5.3%	10.1%	10.7%	20.1%	5.2%	1.3%	39.4M	49.7M	-14.0M	1.69	2.87	13,797	23,305	905,628	743,549
2010-10-05	$63.26	$62.50	15.7%	5.3%	10.4%	9.6%	18.3%	4.3%	0.9%	57.4M	-435.5M	-14.3M	0.49	4.10	37,609	18,315	906,634	740,651
2010-10-06	$63.94	$62.50	14.7%	4.8%	10.8%	4.7%	17.7%	8.0%	1.8%	66.2M	-732.2M	-14.3M	0.69	22.50	31,272	21,534	914,243	742,564
2010-10-07	$63.85	$62.50	14.9%	4.9%	10.9%	5.5%	18.1%	4.4%	1.7%	67.7M	-763.5M	-14.4M	0.52	3.29	34,188	17,701	920,857	742,418
2010-10-08	$64.38	$62.50	14.3%	4.8%	11.1%	2.9%	17.2%	3.3%	1.3%	73.9M	-951.8M	-14.4M	0.69	3.54	42,250	29,358	919,140	748,070
2010-10-11	$64.55	$62.50	14.6%	4.9%	10.9%	4.2%	17.4%	3.4%	1.2%	71.3M	-1.02B	-14.2M	0.42	4.54	61,733	25,645	925,050	755,775
2010-10-12	$64.70	$62.50	14.9%	4.8%	10.8%	5.5%	18.9%	3.7%	1.2%	84.4M	-1.03B	-14.7M	0.83	3.91	36,785	30,712	940,569	764,785
2010-10-13	$65.04	$62.50	14.2%	4.7%	10.8%	2.1%	16.9%	3.1%	1.4%	94.8M	-1.18B	-14.5M	0.61	4.12	51,347	31,209	940,061	769,589
2010-10-14	$65.30	$62.50	17.2%	4.9%	10.7%	17.3%	17.4%	3.6%	0.9%	92.8M	-1.29B	-14.8M	0.72	5.33	52,240	37,572	944,636	777,042
2010-10-15	$65.19	$62.50	16.7%	4.8%	10.6%	14.8%	17.4%	3.7%	1.1%	118.9M	-1.28B	-14.7M	0.68	4.62	58,925	39,869	949,864	784,333
2010-10-18	$66.28	$62.50	16.2%	4.6%	11.1%	12.1%	17.4%	3.5%	0.5%	51.7M	-1.01B	-14.8M	0.76	4.04	41,118	31,069	778,323	618,086
2010-10-19	$65.12	$65.00	17.8%	5.1%	13.4%	20.6%	18.4%	2.8%	-0.3%	39.6M	-643.4M	-15.0M	1.16	5.31	28,160	32,564	786,229	631,926
2010-10-20	$66.01	$65.00	17.2%	4.9%	13.8%	17.5%	18.0%	3.3%	0.0%	47.7M	-894.6M	-15.0M	0.96	3.86	22,035	21,101	792,900	641,533
2010-10-21	$66.32	$65.00	16.8%	4.8%	13.5%	15.0%	17.9%	2.6%	-0.1%	50.3M	-1.01B	-15.2M	0.99	3.85	24,512	24,319	795,671	650,346
2010-10-22	$66.34	$65.00	16.1%	4.6%	13.4%	11.9%	17.1%	2.1%	-0.2%	50.5M	-984.8M	-15.2M	1.55	4.53	17,455	26,994	802,246	658,267
2010-10-25	$66.20	$65.00	17.6%	5.1%	13.4%	19.5%	17.8%	2.3%	-0.9%	48.8M	-964.6M	-15.0M	0.61	2.85	24,836	15,068	804,583	669,080
2010-10-26	$66.53	$65.00	16.8%	4.8%	13.4%	15.4%	18.1%	2.2%	-0.6%	53.1M	-1.05B	-14.9M	1.27	5.32	13,507	17,120	809,927	672,102
2010-10-27	$65.67	$65.00	17.8%	5.1%	14.1%	20.1%	18.3%	2.3%	-0.2%	41.3M	-749.2M	-14.9M	0.87	3.34	33,103	28,862	812,286	682,704
2010-10-28	$66.22	$65.00	17.7%	5.1%	14.3%	19.7%	17.7%	1.9%	-0.6%	52.2M	-956.8M	-15.1M	0.48	2.12	26,961	12,998	825,825	684,685
2010-10-29	$66.49	$65.00	16.0%	4.6%	13.9%	11.4%	17.3%	2.3%	0.3%	56.3M	-1.05B	-15.1M	0.60	2.49	15,987	9,525	827,486	686,578