XOM Options History — July 2011

In July 2011, XOM traded between $79.79 and $85.22. ATM implied volatility averaged 18.0%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.2% (HV 20d: 17.9%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2011-07-28: Highest Volume — 103,812 contracts
2011-07-14: Largest IV spike — 31.3% change
2011-07-29: Highest IV Rank — 95.7%
2011-07-29: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.74	$79.79	$85.22	$82.01	$79.79
Max Pain	$82.38	$80.00	$82.50	$80.00	$82.50
ATM IV	18.0%	13.7%	25.9%	13.8%	25.9%
Expected Move	5.4%	4.0%	6.6%	4.0%	6.6%
HV 20d	17.9%	13.3%	21.1%	21.1%	16.7%
HV 60d	18.2%	17.5%	19.0%	19.0%	18.6%
IV Rank	33.8%	0.0%	95.7%	0.5%	95.7%
IV Percentile	48.0%	0.0%	99.2%	0.4%	99.2%
Term Structure	0.3%	-1.4%	2.7%	2.7%	-1.4%
VWIV	19.3%	15.8%	23.6%	15.8%	23.6%
Skew 25d	4.7%	3.1%	5.4%	3.1%	5.4%
Skew 10d	9.1%	8.0%	10.1%	8.0%	9.8%
Call IV 25d	17.2%	13.7%	21.2%	13.7%	21.2%
Put IV 25d	21.9%	16.8%	26.7%	16.8%	26.7%
Bid-Ask Spread %	4.45	3.13	11.59	3.46	4.49
Gamma HHI	0.22	0.10	0.41	0.25	0.10
Net GEX	48.4M	-8.7M	103.0M	54.2M	-8.7M
Net DEX	-788.6M	-1.32B	44.0M	-709.9M	44.0M
Net VEX	-13.4M	-13.8M	-12.8M	-13.3M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.42	1.52	0.93	1.52
Total Volume	52,872.05	23,900	103,812	43,745	79,453
Total OI	1,136,426.25	964,219	1,282,940	1,213,490	1,114,142

Daily Data (20 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
2011-07-01	$82.01	$80.00	13.8%	4.0%	21.1%	0.5%	15.8%	3.1%	2.7%	54.2M	-709.9M	-13.3M	0.93	3.46	22,697	21,048	602,282	611,208
2011-07-05	$81.60	$82.50	17.3%	5.0%	20.8%	28.1%	19.3%	5.1%	1.0%	50.1M	-564.8M	-12.9M	0.97	4.08	15,607	15,211	596,804	609,674
2011-07-06	$81.57	$82.50	14.7%	5.0%	20.8%	7.6%	17.7%	4.8%	0.9%	50.0M	-549.0M	-12.8M	0.82	3.94	19,260	15,814	602,075	615,143
2011-07-07	$82.36	$82.50	14.5%	5.1%	20.8%	5.4%	17.5%	4.5%	0.6%	67.8M	-808.7M	-13.0M	0.58	3.68	28,224	16,399	608,999	616,986
2011-07-08	$82.42	$82.50	13.7%	5.1%	20.7%	0.0%	18.1%	4.5%	0.7%	79.5M	-837.0M	-12.9M	0.77	3.56	13,516	10,384	619,771	619,866
2011-07-11	$81.90	$82.50	17.0%	5.5%	19.8%	25.8%	19.9%	5.0%	0.4%	69.9M	-663.2M	-12.9M	0.59	4.11	27,251	16,076	619,967	617,807
2011-07-12	$81.89	$82.50	16.8%	5.6%	19.5%	24.8%	19.4%	5.0%	0.3%	67.2M	-673.6M	-13.1M	0.54	4.48	32,431	17,432	619,713	623,960
2011-07-13	$82.48	$82.50	15.2%	5.5%	19.1%	11.9%	19.8%	5.0%	0.8%	88.8M	-863.6M	-13.3M	0.75	4.31	28,259	21,304	625,966	627,888
2011-07-14	$82.24	$82.50	20.0%	5.7%	17.2%	49.0%	20.6%	4.7%	0.4%	95.8M	-739.2M	-13.4M	1.16	3.65	33,205	38,528	630,879	638,563
2011-07-15	$83.00	$82.50	19.0%	5.5%	17.3%	41.7%	18.6%	5.2%	0.9%	103.0M	-1.05B	-13.4M	1.05	4.25	43,609	45,621	636,525	646,415
2011-07-18	$82.65	$82.50	19.6%	5.6%	17.3%	46.5%	19.7%	5.1%	0.1%	20.0M	-692.5M	-13.4M	0.71	4.92	20,293	14,460	455,325	508,894
2011-07-19	$83.63	$82.50	19.1%	5.5%	17.5%	42.5%	19.5%	5.0%	0.0%	28.5M	-904.2M	-13.5M	1.00	4.53	19,729	19,805	465,070	514,949
2011-07-20	$83.30	$82.50	18.8%	5.4%	17.4%	40.1%	19.6%	4.7%	0.2%	25.9M	-848.9M	-13.7M	1.22	4.08	16,093	19,643	474,509	527,184
2011-07-21	$85.02	$82.50	17.8%	5.1%	18.1%	32.1%	17.7%	4.2%	0.3%	41.7M	-1.26B	-13.5M	0.42	3.13	44,013	18,395	480,297	533,388
2011-07-22	$85.22	$82.50	17.8%	5.1%	16.4%	32.2%	18.2%	4.2%	0.1%	40.4M	-1.32B	-13.7M	0.97	4.63	24,905	24,054	494,821	538,572
2011-07-25	$84.57	$82.50	18.6%	5.3%	14.1%	38.8%	19.0%	4.2%	-0.2%	33.8M	-1.12B	-13.7M	0.89	4.29	21,078	18,753	493,236	543,839
2011-07-26	$84.37	$82.50	18.9%	5.4%	13.8%	41.3%	19.5%	4.3%	-0.4%	29.4M	-1.06B	-13.7M	0.59	3.37	24,964	14,770	496,607	551,607
2011-07-27	$83.31	$82.50	21.4%	6.1%	13.3%	60.7%	21.0%	4.7%	-1.2%	24.8M	-817.2M	-13.8M	1.07	11.59	44,204	47,141	504,334	556,702
2011-07-28	$81.46	$82.50	20.3%	5.8%	15.8%	52.0%	21.6%	4.9%	-0.6%	6.1M	-329.8M	-13.7M	0.67	4.42	62,141	41,671	513,989	570,569
2011-07-29	$79.79	$82.50	25.9%	6.6%	16.7%	95.7%	23.6%	5.4%	-1.4%	-8.7M	44.0M	-13.6M	1.52	4.49	31,506	47,947	533,125	581,017