XOM Options History — December 2010

In December 2010, XOM traded between $71.19 and $73.42. ATM implied volatility averaged 15.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.6% (HV 20d: 14.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.01.

Notable Days

2010-12-08: Highest Volume — 77,568 contracts
2010-12-13: Largest IV spike — 17.4% change
2010-12-13: Highest IV Rank — 20.9%
2010-12-01: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.31	$71.19	$73.42	$71.33	$73.12
Max Pain	$66.82	$65.00	$70.00	$70.00	$67.50
ATM IV	15.7%	14.1%	17.9%	17.9%	16.0%
Expected Move	4.5%	4.0%	5.1%	5.1%	4.6%
HV 20d	14.1%	5.2%	19.4%	19.4%	5.5%
HV 60d	14.3%	13.6%	14.6%	14.6%	13.6%
IV Rank	10.0%	1.4%	20.9%	20.8%	11.3%
IV Percentile	15.3%	0.4%	43.7%	39.7%	21.8%
Term Structure	2.0%	0.1%	3.0%	0.2%	1.7%
VWIV	16.8%	15.2%	20.9%	19.3%	16.0%
Skew 25d	2.9%	1.8%	4.9%	3.0%	2.4%
Skew 10d	5.8%	-2.6%	11.2%	6.9%	3.0%
Call IV 25d	15.0%	13.6%	18.0%	18.0%	15.1%
Put IV 25d	17.9%	15.4%	21.0%	21.0%	17.5%
Bid-Ask Spread %	4.33	1.69	6.17	2.68	1.69
Gamma HHI	0.25	0.18	0.31	0.18	0.30
Net GEX	85.4M	54.8M	118.5M	54.8M	93.3M
Net DEX	-2.22B	-2.60B	-1.76B	-1.76B	-2.46B
Net VEX	-13.4M	-14.9M	-12.7M	-14.9M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.36	2.45	0.58	1.46
Total Volume	47,651.227	18,588	77,568	73,848	38,610
Total OI	1,525,047.273	1,481,384	1,588,300	1,491,496	1,539,186

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
2010-12-01	$71.33	$70.00	17.9%	5.1%	19.4%	20.8%	19.3%	3.0%	0.2%	54.8M	-1.76B	-14.9M	0.58	2.68	46,593	27,255	756,973	734,523
2010-12-02	$71.48	$70.00	16.8%	4.8%	19.4%	15.1%	18.4%	2.7%	0.3%	69.6M	-2.02B	-14.1M	0.73	2.45	25,946	19,044	763,646	735,124
2010-12-03	$71.19	$70.00	17.4%	5.0%	18.3%	18.1%	17.8%	3.2%	0.1%	60.5M	-1.76B	-14.2M	1.34	2.49	19,986	26,874	763,941	739,207
2010-12-06	$71.31	$65.00	15.8%	4.5%	18.1%	10.3%	20.9%	4.1%	2.9%	64.3M	-1.83B	-14.0M	2.45	2.98	13,656	33,467	767,575	744,591
2010-12-07	$71.46	$65.00	16.3%	4.5%	18.0%	12.6%	18.2%	3.7%	2.9%	72.1M	-2.05B	-13.4M	1.30	3.35	23,143	30,048	768,865	744,862
2010-12-08	$71.85	$65.00	16.1%	4.6%	18.0%	11.9%	18.3%	4.9%	2.5%	67.0M	-1.96B	-14.0M	1.13	3.94	36,413	41,155	771,222	743,774
2010-12-09	$72.00	$65.00	15.9%	4.5%	17.9%	10.7%	16.9%	4.4%	2.7%	73.9M	-2.07B	-14.1M	1.19	5.57	15,904	18,880	784,816	746,600
2010-12-10	$72.18	$65.00	15.3%	4.6%	17.6%	7.5%	17.6%	3.7%	2.4%	76.8M	-2.17B	-13.7M	0.51	5.76	43,252	22,064	788,628	747,512
2010-12-13	$72.36	$65.00	17.9%	4.6%	17.0%	20.9%	16.9%	3.7%	2.3%	86.9M	-2.33B	-13.5M	0.77	6.17	23,051	17,706	805,641	743,163
2010-12-14	$72.18	$65.00	16.7%	4.5%	16.8%	15.0%	17.4%	3.1%	2.4%	87.7M	-2.28B	-12.9M	0.62	4.35	29,070	18,105	803,724	746,394
2010-12-15	$71.85	$65.00	15.4%	4.4%	14.6%	8.3%	15.8%	3.0%	2.5%	89.5M	-2.28B	-12.8M	0.36	4.84	40,711	14,711	810,341	751,309
2010-12-16	$72.22	$65.00	14.8%	4.2%	14.6%	5.2%	15.4%	2.9%	2.9%	118.5M	-2.48B	-12.9M	1.50	4.71	20,777	31,095	832,512	752,942
2010-12-17	$72.17	$67.50	14.7%	4.2%	13.3%	4.5%	15.6%	2.7%	3.0%	88.1M	-2.30B	-13.1M	1.13	4.18	23,306	26,339	822,154	766,146
2010-12-20	$72.22	$67.50	14.3%	4.1%	13.3%	2.6%	15.2%	2.6%	2.1%	85.0M	-2.03B	-13.4M	0.64	5.26	34,142	21,686	779,120	702,264
2010-12-21	$72.72	$67.50	14.1%	4.1%	13.2%	1.8%	15.3%	1.9%	2.0%	98.0M	-2.33B	-13.0M	0.91	5.49	27,412	24,850	789,600	711,158
2010-12-22	$72.80	$67.50	14.1%	4.0%	11.1%	1.4%	15.8%	1.8%	2.0%	99.2M	-2.33B	-13.3M	0.53	4.58	42,908	22,901	794,105	724,727
2010-12-23	$73.20	$67.50	14.6%	4.2%	10.5%	4.1%	15.3%	2.1%	2.0%	98.5M	-2.47B	-13.2M	1.17	5.09	15,869	18,640	788,119	717,354
2010-12-27	$73.01	$67.50	15.8%	4.5%	9.8%	10.0%	16.3%	1.8%	1.5%	99.4M	-2.38B	-12.8M	0.79	5.94	10,372	8,216	778,319	720,109
2010-12-28	$73.42	$67.50	15.8%	4.5%	9.8%	10.2%	16.0%	2.0%	1.8%	98.2M	-2.56B	-13.0M	0.98	5.49	19,127	18,729	791,653	721,089
2010-12-29	$73.37	$67.50	15.3%	4.4%	9.9%	7.8%	15.4%	1.9%	1.8%	97.4M	-2.60B	-12.7M	1.15	3.32	17,349	20,018	793,815	729,146
2010-12-30	$73.36	$67.50	15.5%	4.4%	5.2%	8.5%	16.1%	2.2%	2.1%	99.1M	-2.51B	-12.8M	0.99	4.91	9,542	9,405	795,045	740,046
2010-12-31	$73.12	$67.50	16.0%	4.6%	5.5%	11.3%	16.0%	2.4%	1.7%	93.3M	-2.46B	-12.9M	1.46	1.69	15,683	22,927	795,711	743,475