XOM Options History — March 2011

In March 2011, XOM traded between $79.31 and $85.82. ATM implied volatility averaged 21.2%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.1% (HV 20d: 21.1%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.94.

Notable Days

2011-03-10: Highest Volume — 132,520 contracts
2011-03-10: Largest IV spike — 26.2% change
2011-03-16: Highest IV Rank — 64.3%
2011-03-16: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.16	$79.31	$85.82	$84.80	$84.13
Max Pain	$80.65	$80.00	$85.00	$85.00	$80.00
ATM IV	21.2%	16.7%	26.5%	23.9%	18.1%
Expected Move	5.8%	4.8%	7.6%	5.8%	4.8%
HV 20d	21.1%	17.6%	23.9%	22.5%	22.5%
HV 60d	18.3%	15.7%	20.1%	15.8%	20.0%
IV Rank	37.7%	15.0%	64.3%	51.4%	21.6%
IV Percentile	71.6%	35.7%	93.7%	88.1%	50.8%
Term Structure	0.5%	-2.3%	2.7%	0.1%	2.7%
VWIV	21.7%	18.4%	27.2%	22.0%	19.1%
Skew 25d	4.0%	2.5%	6.0%	3.6%	3.5%
Skew 10d	9.2%	6.1%	13.1%	9.0%	8.1%
Call IV 25d	19.6%	16.8%	25.3%	20.7%	17.4%
Put IV 25d	23.6%	20.6%	30.4%	24.3%	20.8%
Bid-Ask Spread %	3.58	1.97	5.51	3.35	1.97
Gamma HHI	0.20	0.17	0.24	0.21	0.21
Net GEX	12.2M	-15.3M	34.0M	22.5M	22.8M
Net DEX	-1.22B	-1.83B	-327.6M	-1.56B	-1.46B
Net VEX	-13.9M	-14.5M	-13.4M	-14.2M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.29	1.76	1.17	0.93
Total Volume	51,951.043	21,883	132,520	52,792	28,371
Total OI	1,111,947.478	1,056,846	1,163,742	1,070,198	1,147,266

Daily Data (23 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
2011-03-01	$84.80	$85.00	23.9%	5.8%	22.5%	51.4%	22.0%	3.6%	0.1%	22.5M	-1.56B	-14.2M	1.17	3.35	24,365	28,427	501,313	568,885
2011-03-02	$85.08	$85.00	23.6%	5.8%	17.9%	49.7%	21.1%	3.6%	0.2%	22.5M	-1.61B	-14.4M	0.60	2.63	27,992	16,774	504,741	572,325
2011-03-03	$85.82	$85.00	19.7%	5.5%	17.9%	30.0%	20.3%	3.2%	0.3%	34.0M	-1.83B	-13.5M	0.63	2.83	27,948	17,486	510,934	574,087
2011-03-04	$85.08	$80.00	20.1%	5.8%	18.2%	31.8%	21.3%	3.0%	0.3%	6.6M	-1.67B	-13.8M	1.36	3.31	29,690	40,349	515,064	576,737
2011-03-07	$84.72	$80.00	23.3%	5.9%	18.3%	48.0%	22.0%	3.0%	0.2%	30.2M	-1.60B	-14.3M	0.72	3.43	19,857	14,285	519,896	587,030
2011-03-08	$84.60	$80.00	22.7%	5.7%	18.1%	45.4%	21.1%	3.0%	0.4%	22.9M	-1.51B	-14.1M	0.63	4.35	27,735	17,540	518,895	591,114
2011-03-09	$84.38	$80.00	18.9%	5.6%	17.6%	25.7%	21.8%	3.0%	0.4%	23.9M	-1.49B	-13.8M	0.38	2.60	35,190	13,422	521,207	593,195
2011-03-10	$81.38	$80.00	23.8%	6.8%	22.0%	50.7%	24.6%	4.8%	-1.4%	357.8K	-813.0M	-14.1M	1.22	3.80	59,717	72,803	524,501	595,201
2011-03-11	$82.12	$80.00	23.0%	6.6%	22.0%	46.5%	22.8%	4.7%	-0.7%	7.3M	-966.0M	-14.0M	0.70	3.04	28,204	19,882	525,965	599,954
2011-03-14	$82.38	$80.00	23.4%	6.7%	22.0%	48.9%	23.3%	4.7%	-0.9%	10.7M	-1.05B	-13.9M	1.30	4.02	15,382	19,990	527,332	597,795
2011-03-15	$81.39	$80.00	23.4%	6.7%	20.2%	49.0%	22.3%	4.4%	-0.8%	2.7M	-900.8M	-13.8M	1.76	4.42	27,700	48,779	528,322	606,511
2011-03-16	$79.31	$80.00	26.5%	7.6%	20.6%	64.3%	27.2%	5.1%	-2.3%	-15.3M	-327.6M	-14.5M	0.79	5.21	55,617	43,828	532,663	616,309
2011-03-17	$81.16	$80.00	24.1%	6.9%	22.2%	52.0%	23.4%	6.0%	-1.1%	-4.2M	-751.7M	-14.4M	1.35	5.51	36,165	48,776	537,790	617,036
2011-03-18	$80.85	$80.00	23.0%	6.6%	22.2%	46.8%	24.0%	5.7%	-0.3%	-10.1M	-734.4M	-14.2M	1.29	4.58	19,821	25,553	538,143	625,599
2011-03-21	$82.84	$80.00	18.7%	5.4%	23.9%	24.9%	20.5%	4.2%	0.9%	10.0M	-1.19B	-13.9M	0.68	5.07	20,661	13,988	487,405	569,441
2011-03-22	$82.56	$80.00	18.0%	5.2%	23.5%	21.5%	20.8%	4.9%	0.8%	5.1M	-1.03B	-13.6M	1.34	3.69	16,540	22,089	493,470	572,459
2011-03-23	$82.60	$80.00	17.1%	4.9%	22.2%	16.8%	22.3%	4.5%	1.0%	6.7M	-1.06B	-13.9M	1.27	2.75	9,629	12,254	500,939	585,740
2011-03-24	$82.73	$80.00	16.7%	4.8%	21.9%	15.0%	18.7%	4.6%	1.5%	7.8M	-1.12B	-13.7M	0.94	2.87	15,367	14,450	500,672	590,183
2011-03-25	$83.62	$80.00	18.0%	5.0%	22.2%	21.2%	18.4%	2.5%	2.4%	13.9M	-1.33B	-13.8M	0.29	2.85	48,855	14,129	506,720	597,033
2011-03-28	$83.47	$80.00	21.7%	5.0%	22.2%	40.1%	18.9%	3.1%	2.6%	15.8M	-1.33B	-13.4M	0.43	2.66	27,914	11,881	522,458	593,249
2011-03-29	$83.25	$80.00	20.1%	5.0%	22.1%	31.8%	24.3%	3.2%	2.4%	16.3M	-1.23B	-13.5M	1.04	3.66	16,391	17,109	532,943	599,333
2011-03-30	$84.49	$80.00	20.4%	4.8%	22.7%	33.4%	18.8%	3.0%	2.5%	27.6M	-1.57B	-13.4M	0.89	3.82	22,184	19,785	538,602	608,335
2011-03-31	$84.13	$80.00	18.1%	4.8%	22.5%	21.6%	19.1%	3.5%	2.7%	22.8M	-1.46B	-13.5M	0.93	1.97	14,695	13,676	537,964	609,302