XOM Options History — August 2011

In August 2011, XOM traded between $68.03 and $79.60. ATM implied volatility averaged 35.3%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.6% (HV 20d: 39.9%). Max pain ranged from $75.00 to $82.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2011-08-09: Highest Volume — 185,302 contracts
2011-08-08: Largest IV spike — 84.5% change
2011-08-01: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.21	$68.03	$79.60	$79.60	$74.02
Max Pain	$77.07	$75.00	$82.50	$82.50	$75.00
ATM IV	35.3%	25.6%	68.3%	28.1%	29.7%
Expected Move	8.9%	6.6%	11.8%	6.6%	7.4%
HV 20d	39.9%	16.4%	51.2%	16.4%	50.7%
HV 60d	27.7%	17.8%	32.9%	17.8%	32.8%
IV Rank	53.1%	21.8%	100.0%	100.0%	29.4%
IV Percentile	97.4%	93.3%	100.0%	100.0%	93.3%
Term Structure	-1.9%	-5.3%	0.4%	-1.3%	0.4%
VWIV	32.1%	24.2%	40.5%	24.2%	28.3%
Skew 25d	8.7%	3.4%	12.0%	5.1%	7.7%
Skew 10d	17.1%	5.5%	25.4%	8.8%	16.7%
Call IV 25d	28.1%	21.4%	36.6%	21.4%	24.5%
Put IV 25d	36.8%	25.6%	47.5%	26.5%	32.2%
Bid-Ask Spread %	4.25	2.92	6.51	4.86	5.05
Gamma HHI	0.09	0.07	0.19	0.10	0.09
Net GEX	-4.9M	-24.2M	13.6M	-4.2M	13.6M
Net DEX	703.2M	69.9M	1.56B	69.9M	218.1M
Net VEX	-12.9M	-13.5M	-11.7M	-13.2M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.62	1.50	0.97	0.95
Total Volume	100,182.174	50,338	185,302	72,403	55,571
Total OI	1,184,990.391	1,109,967	1,275,258	1,116,445	1,221,201

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
2011-08-01	$79.60	$82.50	28.1%	6.6%	16.4%	100.0%	24.2%	5.1%	-1.3%	-4.2M	69.9M	-13.2M	0.97	4.86	36,679	35,724	527,404	589,041
2011-08-02	$77.84	$82.50	31.3%	7.1%	17.9%	100.0%	24.5%	4.5%	-1.5%	-18.0M	404.2M	-13.0M	1.43	3.38	42,612	60,961	533,812	596,116
2011-08-03	$77.72	$82.50	28.2%	6.8%	17.9%	82.5%	24.8%	3.4%	-0.8%	-18.0M	363.4M	-13.1M	1.31	3.80	57,265	74,813	542,923	596,867
2011-08-04	$73.84	$82.50	37.5%	9.3%	24.4%	100.0%	33.2%	5.0%	-3.7%	-19.5M	937.7M	-12.7M	1.03	3.77	59,415	61,000	550,395	586,499
2011-08-05	$74.82	$80.00	37.0%	8.3%	25.2%	97.9%	29.4%	7.8%	-1.1%	-14.7M	831.1M	-13.2M	0.84	3.51	91,824	77,288	554,746	596,783
2011-08-08	$70.19	$80.00	68.3%	11.7%	32.8%	100.0%	40.5%	10.8%	-4.1%	-15.6M	1.31B	-12.6M	1.50	5.05	68,088	101,908	568,268	595,009
2011-08-09	$71.64	$77.50	47.6%	9.9%	34.2%	62.2%	35.6%	10.0%	-3.2%	-14.1M	1.18B	-12.4M	0.82	6.51	101,775	83,527	583,231	598,997
2011-08-10	$68.03	$77.50	51.7%	11.8%	37.3%	69.8%	40.1%	11.9%	-5.3%	-17.1M	1.56B	-11.7M	0.95	5.51	69,329	66,045	589,849	610,716
2011-08-11	$71.58	$77.50	34.8%	10.0%	43.0%	38.8%	36.2%	9.4%	-3.8%	-9.3M	1.06B	-12.8M	0.69	3.99	56,956	39,538	604,192	614,257
2011-08-12	$72.00	$75.00	32.0%	9.2%	42.8%	33.7%	32.2%	9.5%	-2.4%	-10.4M	1.01B	-12.6M	0.62	3.73	57,822	35,712	611,310	616,727
2011-08-15	$74.29	$75.00	27.7%	7.9%	45.0%	25.7%	30.0%	8.5%	-1.0%	-727.4K	623.5M	-13.1M	1.03	3.01	32,350	33,464	616,022	617,198
2011-08-16	$73.50	$75.00	30.1%	8.6%	44.5%	30.2%	29.7%	8.1%	-1.6%	-796.4K	747.3M	-12.8M	1.06	4.76	27,371	29,000	622,275	614,751
2011-08-17	$74.16	$75.00	25.6%	7.3%	44.9%	21.8%	26.9%	6.9%	-0.3%	712.3K	636.5M	-12.7M	0.95	4.17	25,900	24,716	622,362	618,530
2011-08-18	$70.94	$75.00	36.1%	10.3%	45.7%	41.0%	37.6%	11.5%	-3.3%	-11.4M	1.17B	-12.1M	0.85	4.13	76,433	64,807	625,191	617,227
2011-08-19	$69.80	$75.00	36.8%	10.6%	45.6%	42.4%	36.2%	11.4%	-3.1%	-24.2M	1.33B	-12.2M	0.86	3.55	54,751	47,239	643,559	631,699
2011-08-22	$70.18	$75.00	36.3%	10.4%	45.9%	41.5%	35.6%	12.0%	-2.8%	-5.9M	832.8M	-12.2M	0.78	4.12	43,050	33,480	548,094	561,873
2011-08-23	$73.66	$75.00	31.8%	9.1%	50.3%	33.3%	32.5%	9.7%	-1.3%	7.5M	272.8M	-13.3M	0.85	5.05	65,129	55,662	559,014	568,318
2011-08-24	$73.54	$75.00	31.3%	9.0%	50.2%	32.3%	32.0%	9.4%	-1.1%	10.7M	263.4M	-13.5M	1.11	2.92	23,814	26,524	580,127	578,511
2011-08-25	$71.77	$75.00	34.5%	9.9%	50.3%	38.2%	36.4%	11.3%	-2.4%	2.4M	548.0M	-13.2M	1.33	4.23	38,166	50,784	583,926	580,961
2011-08-26	$72.64	$75.00	33.8%	9.1%	50.4%	36.8%	33.0%	10.0%	-0.9%	12.7M	424.7M	-13.3M	0.89	4.32	37,469	33,284	592,078	601,932
2011-08-29	$74.12	$75.00	29.7%	7.7%	51.2%	29.3%	29.7%	8.6%	0.2%	12.1M	179.9M	-13.3M	0.73	3.67	40,231	29,484	585,979	595,008
2011-08-30	$73.91	$75.00	32.0%	7.6%	50.7%	33.6%	29.2%	8.0%	0.3%	12.6M	211.3M	-13.5M	1.07	4.76	37,363	39,867	598,145	603,656
2011-08-31	$74.02	$75.00	29.7%	7.4%	50.7%	29.4%	28.3%	7.7%	0.4%	13.6M	218.1M	-13.5M	0.95	5.05	28,456	27,115	606,586	614,615