XOM Options History — June 2011

In June 2011, XOM traded between $76.78 and $82.03. ATM implied volatility averaged 20.7%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 17.5%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2011-06-16: Highest Volume — 119,752 contracts
2011-06-30: Largest IV drop — 33.3% change
2011-06-27: Highest IV Rank — 61.1%
2011-06-15: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.89	$76.78	$82.03	$82.03	$81.38
Max Pain	$83.30	$80.00	$85.00	$85.00	$80.00
ATM IV	20.7%	14.1%	24.3%	22.3%	14.1%
Expected Move	5.6%	4.0%	6.3%	5.2%	4.0%
HV 20d	17.5%	14.1%	21.0%	18.6%	21.0%
HV 60d	18.0%	17.0%	19.5%	19.4%	18.9%
IV Rank	40.2%	2.3%	61.1%	49.3%	2.3%
IV Percentile	72.1%	0.8%	96.4%	84.1%	0.8%
Term Structure	1.1%	-0.2%	3.1%	0.1%	3.1%
VWIV	19.8%	14.9%	22.8%	18.8%	14.9%
Skew 25d	4.3%	3.4%	5.7%	3.9%	4.2%
Skew 10d	9.3%	7.4%	12.8%	8.4%	8.8%
Call IV 25d	18.1%	13.8%	20.0%	17.3%	13.8%
Put IV 25d	22.3%	18.0%	25.4%	21.1%	18.0%
Bid-Ask Spread %	3.66	2.93	5.24	3.11	3.91
Gamma HHI	0.12	0.09	0.18	0.18	0.15
Net GEX	7.4M	-18.0M	32.3M	28.6M	32.3M
Net DEX	-38.4M	-528.4M	590.1M	-528.4M	-491.5M
Net VEX	-13.1M	-13.8M	-12.6M	-13.8M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.43	3.18	0.87	0.47
Total Volume	56,852.409	27,462	119,752	44,236	70,331
Total OI	1,128,760.364	1,077,279	1,188,891	1,088,270	1,188,891

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
2011-06-01	$82.03	$85.00	22.3%	5.2%	18.6%	49.3%	18.8%	3.9%	0.1%	28.6M	-528.4M	-13.8M	0.87	3.11	23,678	20,558	540,599	547,671
2011-06-02	$81.33	$85.00	19.3%	5.2%	18.6%	31.8%	19.0%	3.4%	0.1%	20.9M	-307.6M	-13.4M	0.63	4.09	32,439	20,484	541,926	551,858
2011-06-03	$81.18	$85.00	20.7%	5.7%	16.3%	40.3%	19.5%	4.3%	1.2%	22.0M	-326.3M	-13.6M	0.91	4.01	22,590	20,502	548,449	555,890
2011-06-06	$80.29	$85.00	23.1%	5.7%	16.7%	54.1%	20.5%	4.3%	1.0%	11.3M	-152.4M	-13.3M	0.82	4.22	16,434	13,541	545,198	555,389
2011-06-07	$80.00	$85.00	22.9%	5.6%	16.4%	52.7%	20.3%	4.2%	1.2%	8.4M	-76.6M	-13.2M	0.84	5.24	14,917	12,545	548,611	557,243
2011-06-08	$80.76	$85.00	21.1%	5.9%	16.9%	42.5%	19.7%	4.5%	0.6%	16.5M	-269.5M	-13.1M	0.73	2.99	37,535	27,401	550,186	561,529
2011-06-09	$81.18	$85.00	19.2%	5.5%	14.1%	31.7%	18.5%	4.0%	1.3%	23.7M	-380.9M	-13.1M	0.74	2.97	18,041	13,298	557,955	564,827
2011-06-10	$79.78	$85.00	19.9%	5.7%	15.4%	35.6%	20.4%	4.9%	1.0%	-4.2M	33.6M	-13.0M	0.85	3.45	25,291	21,463	559,163	566,014
2011-06-13	$79.23	$82.50	20.3%	5.8%	15.5%	38.0%	20.5%	4.4%	0.8%	66.0K	115.1M	-12.6M	0.60	3.52	24,273	14,483	559,237	564,538
2011-06-14	$80.38	$82.50	19.3%	5.5%	16.2%	31.9%	17.7%	4.3%	0.9%	18.0M	-189.8M	-12.7M	1.02	3.73	27,710	28,209	565,612	564,276
2011-06-15	$78.66	$82.50	22.1%	6.3%	17.9%	48.5%	21.3%	5.0%	-0.2%	-6.7M	234.1M	-12.7M	1.73	3.63	31,222	54,074	567,792	567,889
2011-06-16	$79.22	$82.50	21.3%	6.1%	17.0%	43.9%	22.3%	5.7%	1.0%	28.8K	94.2M	-13.2M	3.18	3.43	28,681	91,071	569,460	575,087
2011-06-17	$79.02	$82.50	20.4%	5.8%	16.7%	38.2%	22.8%	5.7%	1.5%	-6.8M	302.4M	-13.2M	1.21	4.14	26,160	31,622	575,506	603,393
2011-06-20	$79.71	$82.50	19.7%	5.6%	16.9%	34.1%	19.6%	4.8%	1.5%	1.6M	38.2M	-13.3M	0.43	3.17	31,033	13,281	516,726	560,553
2011-06-21	$80.57	$82.50	19.0%	5.4%	17.0%	30.3%	19.2%	4.3%	1.2%	11.5M	-145.8M	-13.0M	1.34	2.93	29,735	39,701	524,791	564,704
2011-06-22	$79.82	$82.50	18.3%	5.3%	17.0%	26.4%	18.8%	3.6%	1.3%	2.3M	35.0M	-13.0M	0.59	3.36	30,717	18,043	537,251	590,491
2011-06-23	$78.44	$82.50	21.1%	6.0%	17.6%	42.3%	20.8%	3.8%	1.0%	-7.8M	304.2M	-13.1M	0.76	5.02	55,876	42,497	546,211	594,887
2011-06-24	$76.78	$82.50	22.2%	6.0%	18.6%	49.0%	21.4%	3.9%	1.0%	-18.0M	590.1M	-12.8M	0.84	4.29	31,137	26,138	554,592	607,005
2011-06-27	$77.92	$82.50	24.3%	6.0%	19.6%	61.1%	21.0%	3.4%	0.9%	-10.3M	394.6M	-12.9M	0.87	3.09	29,216	25,278	551,171	604,599
2011-06-28	$79.63	$82.50	23.0%	5.5%	21.0%	53.4%	20.3%	3.6%	1.3%	5.5M	15.2M	-13.1M	1.25	2.97	21,219	26,559	553,302	607,999
2011-06-29	$80.25	$82.50	21.2%	5.1%	20.5%	46.9%	18.2%	4.0%	1.8%	13.3M	-133.7M	-12.9M	0.43	3.21	43,074	18,696	557,388	606,869
2011-06-30	$81.38	$80.00	14.1%	4.0%	21.0%	2.3%	14.9%	4.2%	3.1%	32.3M	-491.5M	-13.1M	0.47	3.91	47,775	22,556	583,242	605,649