XOM Options History — November 2010

In November 2010, XOM traded between $66.95 and $71.83. ATM implied volatility averaged 16.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.3% (HV 20d: 15.5%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2010-11-08: Highest Volume — 1,339,469 contracts
2010-11-12: Largest IV spike — 10.6% change
2010-11-30: Highest IV Rank — 27.1%
2010-11-30: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.70	$66.95	$71.83	$66.95	$69.56
Max Pain	$68.45	$65.00	$70.00	$65.00	$70.00
ATM IV	16.8%	15.1%	19.1%	16.7%	19.1%
Expected Move	4.9%	4.5%	5.5%	4.8%	5.5%
HV 20d	15.5%	12.9%	18.1%	13.6%	17.9%
HV 60d	14.8%	14.1%	15.6%	15.5%	14.1%
IV Rank	15.1%	6.8%	27.1%	14.7%	27.1%
IV Percentile	23.8%	6.0%	54.8%	19.4%	54.8%
Term Structure	0.4%	-0.7%	1.2%	-0.0%	-0.1%
VWIV	18.1%	16.2%	21.7%	17.9%	19.7%
Skew 25d	2.5%	0.4%	4.4%	1.3%	3.3%
Skew 10d	6.6%	2.0%	9.8%	3.7%	8.0%
Call IV 25d	16.6%	15.1%	18.6%	16.5%	18.6%
Put IV 25d	19.0%	17.4%	22.1%	17.9%	21.9%
Bid-Ask Spread %	3.96	2.80	6.28	3.86	2.80
Gamma HHI	0.20	0.15	0.26	0.18	0.18
Net GEX	64.0M	37.5M	97.9M	64.3M	45.2M
Net DEX	-1.62B	-2.46B	-967.3M	-1.21B	-1.16B
Net VEX	-14.6M	-15.4M	-13.6M	-14.9M	-14.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.02	1.42	0.67	1.30
Total Volume	125,294.524	15,624	1,339,469	53,871	43,326
Total OI	1,508,610.714	1,426,085	1,579,310	1,518,469	1,481,436

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
2010-11-01	$66.95	$65.00	16.7%	4.8%	13.6%	14.7%	17.9%	1.3%	-0.0%	64.3M	-1.21B	-14.9M	0.67	3.86	32,167	21,704	829,485	688,984
2010-11-02	$67.84	$65.00	17.6%	5.1%	13.1%	19.5%	18.4%	1.5%	-0.7%	71.4M	-1.53B	-14.8M	0.42	3.12	53,597	22,656	839,841	696,627
2010-11-03	$67.97	$65.00	17.5%	5.0%	12.9%	18.7%	18.5%	0.4%	-0.4%	77.2M	-1.61B	-14.9M	0.64	5.22	45,686	29,310	850,085	698,281
2010-11-04	$69.38	$65.00	16.5%	4.7%	14.1%	13.9%	17.6%	1.0%	-0.5%	83.7M	-1.95B	-15.4M	0.83	3.32	56,464	46,954	862,300	706,574
2010-11-05	$70.00	$67.50	15.1%	4.5%	14.2%	6.8%	17.0%	1.9%	0.3%	97.5M	-2.43B	-14.2M	0.41	5.32	56,597	23,321	862,194	714,393
2010-11-08	$70.32	$67.50	15.3%	4.5%	14.2%	7.8%	21.7%	2.5%	0.3%	97.9M	-2.46B	-14.3M	0.02	3.48	1,311,251	28,218	858,711	720,599
2010-11-09	$70.63	$67.50	15.5%	4.8%	14.1%	8.7%	17.2%	2.2%	0.4%	79.7M	-1.92B	-14.0M	0.71	2.84	88,582	63,093	750,413	730,252
2010-11-10	$71.13	$67.50	16.0%	4.9%	14.2%	11.2%	17.4%	2.3%	0.4%	73.6M	-2.06B	-14.3M	0.76	4.39	41,767	31,566	756,076	744,613
2010-11-11	$71.83	$67.50	16.0%	4.6%	14.3%	11.3%	17.0%	2.5%	0.8%	78.1M	-2.31B	-13.8M	1.17	3.06	35,399	41,252	748,912	740,514
2010-11-12	$70.99	$70.00	17.7%	5.1%	15.3%	19.9%	18.2%	2.8%	0.7%	66.1M	-1.95B	-14.7M	1.04	4.31	34,745	36,083	758,880	752,701
2010-11-15	$70.48	$70.00	17.3%	5.0%	15.1%	18.1%	17.9%	3.2%	0.6%	63.0M	-1.78B	-14.5M	0.71	3.78	29,951	21,147	759,346	753,302
2010-11-16	$68.94	$70.00	18.2%	5.2%	16.0%	22.3%	19.6%	4.4%	0.4%	42.9M	-1.16B	-15.0M	1.42	4.43	32,291	45,772	758,239	753,600
2010-11-17	$69.01	$70.00	17.2%	4.9%	15.4%	17.4%	20.6%	4.3%	0.5%	47.8M	-1.18B	-14.8M	1.02	3.79	24,869	25,316	757,743	766,441
2010-11-18	$70.31	$70.00	16.6%	4.7%	16.5%	14.1%	17.5%	3.3%	0.9%	73.5M	-1.69B	-14.5M	0.68	5.53	23,602	16,131	762,207	776,014
2010-11-19	$70.54	$70.00	15.9%	4.6%	16.5%	10.9%	16.2%	2.8%	1.2%	51.5M	-1.62B	-14.9M	0.81	6.28	25,292	20,561	761,889	778,510
2010-11-22	$70.19	$70.00	16.1%	4.6%	16.6%	11.7%	16.7%	2.4%	0.8%	59.9M	-1.58B	-13.6M	0.99	3.16	28,669	28,452	732,240	693,845
2010-11-23	$68.98	$70.00	16.8%	4.8%	18.1%	15.4%	18.2%	3.1%	0.6%	37.5M	-967.3M	-15.0M	1.01	3.88	39,206	39,538	737,874	704,703
2010-11-24	$69.88	$70.00	16.0%	4.6%	17.6%	11.4%	16.3%	2.2%	1.1%	46.9M	-1.26B	-14.9M	0.76	3.05	15,925	12,153	745,447	715,933
2010-11-26	$69.23	$70.00	16.7%	4.8%	18.0%	14.7%	17.2%	2.5%	0.6%	42.3M	-1.08B	-14.9M	0.86	4.35	8,387	7,237	746,692	716,876
2010-11-29	$69.45	$70.00	18.1%	5.2%	18.0%	22.1%	19.1%	2.6%	-0.1%	43.9M	-1.15B	-14.5M	0.94	3.11	22,151	20,797	748,625	719,428
2010-11-30	$69.56	$70.00	19.1%	5.5%	17.9%	27.1%	19.7%	3.3%	-0.1%	45.2M	-1.16B	-14.8M	1.30	2.80	18,841	24,485	752,822	728,614