XOM Options History — May 2011

In May 2011, XOM traded between $80.24 and $86.97. ATM implied volatility averaged 20.5%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.5% (HV 20d: 19.0%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2011-05-10: Highest Volume — 772,900 contracts
2011-05-31: Largest IV spike — 26.4% change
2011-05-05: Highest IV Rank — 62.9%
2011-05-05: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.43	$80.24	$86.97	$86.97	$83.47
Max Pain	$84.40	$82.50	$85.00	$85.00	$85.00
ATM IV	20.5%	16.1%	26.2%	19.0%	20.3%
Expected Move	5.5%	4.7%	6.5%	4.9%	4.9%
HV 20d	19.0%	16.5%	20.3%	16.5%	18.5%
HV 60d	19.3%	18.9%	19.9%	18.9%	19.1%
IV Rank	35.1%	13.5%	62.9%	26.3%	38.1%
IV Percentile	65.9%	25.0%	92.5%	58.3%	70.6%
Term Structure	0.2%	-1.2%	1.0%	-0.1%	0.2%
VWIV	19.4%	16.7%	23.1%	17.9%	16.7%
Skew 25d	3.8%	1.9%	4.7%	1.9%	3.5%
Skew 10d	8.1%	4.7%	10.3%	4.7%	7.5%
Call IV 25d	17.9%	15.1%	21.8%	16.9%	15.1%
Put IV 25d	21.7%	18.5%	25.8%	18.7%	18.7%
Bid-Ask Spread %	4.07	2.53	6.62	4.14	3.64
Gamma HHI	0.16	0.12	0.25	0.23	0.21
Net GEX	23.7M	119.4K	66.3M	56.6M	40.5M
Net DEX	-506.7M	-1.65B	97.5M	-1.65B	-906.6M
Net VEX	-14.0M	-14.4M	-13.2M	-14.1M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.03	1.52	0.81	0.65
Total Volume	99,295.333	33,340	772,900	40,207	33,340
Total OI	1,108,218.762	1,038,288	1,191,583	1,056,006	1,087,089

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
2011-05-02	$86.97	$85.00	19.0%	4.9%	16.5%	26.3%	17.9%	1.9%	-0.1%	56.6M	-1.65B	-14.1M	0.81	4.14	22,186	18,021	540,414	515,592
2011-05-03	$85.62	$85.00	22.1%	5.2%	17.6%	41.9%	18.1%	2.8%	0.5%	38.4M	-1.25B	-14.0M	1.01	4.13	36,744	37,143	544,291	521,950
2011-05-04	$84.81	$85.00	20.9%	5.4%	17.8%	36.2%	19.5%	3.3%	0.4%	30.0M	-1.02B	-14.4M	0.61	2.88	46,373	28,395	551,656	529,709
2011-05-05	$82.62	$85.00	26.2%	6.5%	20.0%	62.9%	23.1%	4.0%	-1.2%	17.2M	-537.4M	-14.3M	1.01	4.40	62,263	63,127	554,178	533,456
2011-05-06	$82.69	$85.00	23.4%	5.9%	19.8%	48.9%	20.7%	4.6%	0.1%	12.8M	-505.5M	-14.3M	0.76	2.53	48,630	37,132	569,761	548,087
2011-05-09	$83.18	$85.00	24.4%	5.6%	19.9%	54.0%	19.4%	4.0%	0.1%	22.4M	-678.8M	-13.2M	0.41	6.62	45,321	18,456	564,925	545,836
2011-05-10	$83.34	$85.00	22.6%	5.4%	19.8%	44.8%	19.9%	3.6%	0.3%	27.8M	-694.9M	-13.5M	0.03	5.95	750,595	22,305	572,888	547,341
2011-05-11	$81.12	$85.00	23.3%	6.1%	20.3%	48.2%	20.3%	3.9%	0.1%	4.9M	-79.4M	-14.0M	0.88	5.58	58,973	52,172	558,401	554,659
2011-05-12	$81.05	$82.50	21.1%	6.0%	20.3%	37.1%	21.1%	3.4%	-0.3%	7.7M	-124.8M	-14.1M	1.52	3.21	43,978	67,024	572,966	564,131
2011-05-13	$80.87	$82.50	21.4%	6.1%	20.2%	38.4%	21.3%	4.0%	-0.4%	7.2M	-14.7M	-14.3M	0.88	3.23	27,664	24,266	577,954	581,776
2011-05-16	$80.24	$82.50	21.1%	6.1%	19.9%	37.3%	21.0%	3.8%	-0.3%	119.4K	97.5M	-13.9M	0.71	4.33	26,610	18,866	573,500	570,496
2011-05-17	$80.41	$82.50	20.9%	6.0%	19.4%	36.2%	20.5%	4.4%	-0.2%	3.4M	61.0M	-13.8M	1.11	3.88	28,310	31,425	577,749	570,517
2011-05-18	$81.74	$82.50	18.4%	5.3%	20.2%	23.3%	18.1%	4.5%	0.3%	16.7M	-215.4M	-13.9M	0.71	3.79	55,629	39,315	581,800	579,052
2011-05-19	$82.33	$85.00	18.1%	5.2%	18.5%	21.9%	17.8%	4.5%	0.6%	24.4M	-382.4M	-14.2M	0.68	3.96	36,821	25,069	599,970	583,141
2011-05-20	$81.57	$85.00	18.0%	5.2%	18.3%	24.4%	18.5%	4.6%	0.5%	19.3M	-196.8M	-14.0M	1.24	4.46	22,901	28,414	605,223	586,360
2011-05-23	$80.67	$85.00	20.1%	5.7%	18.5%	36.4%	20.1%	4.7%	-0.1%	12.8M	-222.1M	-14.0M	1.32	3.93	23,539	31,003	511,666	526,622
2011-05-24	$81.29	$85.00	18.0%	5.2%	17.9%	24.4%	19.9%	3.9%	0.2%	19.6M	-366.1M	-14.0M	0.74	3.75	33,763	24,862	518,239	530,661
2011-05-25	$81.96	$85.00	17.7%	5.1%	18.2%	22.5%	18.2%	3.5%	0.7%	32.1M	-558.6M	-14.1M	0.97	2.83	20,097	19,547	527,693	535,195
2011-05-26	$82.39	$85.00	17.1%	4.9%	18.4%	19.5%	18.5%	3.2%	0.9%	37.7M	-652.8M	-14.2M	0.73	4.07	22,848	16,609	532,112	543,124
2011-05-27	$82.63	$85.00	16.1%	4.7%	18.2%	13.5%	16.7%	3.0%	1.0%	66.3M	-741.6M	-13.7M	0.58	4.14	22,443	13,023	535,269	547,145
2011-05-31	$83.47	$85.00	20.3%	4.9%	18.5%	38.1%	16.7%	3.5%	0.2%	40.5M	-906.6M	-13.9M	0.65	3.64	20,175	13,165	539,972	547,117