XOM Options History — September 2011

In September 2011, XOM traded between $69.24 and $74.55. ATM implied volatility averaged 32.0%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.5% (HV 20d: 34.5%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2011-09-23: Highest Volume — 118,490 contracts
2011-09-06: Largest IV spike — 53.1% change
2011-09-06: Highest IV Rank — 51.3%
2011-09-30: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.40	$69.24	$74.55	$73.49	$72.63
Max Pain	$76.55	$75.00	$77.50	$75.00	$75.00
ATM IV	32.0%	25.4%	41.7%	30.5%	39.2%
Expected Move	9.0%	7.3%	10.7%	8.4%	10.7%
HV 20d	34.5%	26.6%	47.6%	47.4%	32.8%
HV 60d	34.1%	32.8%	35.7%	32.8%	35.7%
IV Rank	33.6%	21.4%	51.3%	30.8%	46.8%
IV Percentile	92.8%	85.7%	98.8%	93.7%	98.4%
Term Structure	-0.1%	-3.0%	2.1%	-0.6%	-0.0%
VWIV	32.1%	25.7%	39.0%	28.9%	39.0%
Skew 25d	9.5%	7.8%	11.4%	7.8%	11.4%
Skew 10d	20.6%	17.1%	24.2%	17.5%	23.4%
Call IV 25d	27.7%	22.3%	33.3%	24.9%	31.8%
Put IV 25d	37.2%	30.8%	44.6%	32.8%	43.2%
Bid-Ask Spread %	3.77	2.67	5.39	4.13	3.92
Gamma HHI	0.08	0.08	0.09	0.09	0.08
Net GEX	3.8M	-14.4M	16.4M	11.3M	5.4M
Net DEX	454.2M	46.8M	976.1M	315.4M	261.8M
Net VEX	-13.4M	-14.2M	-12.8M	-13.4M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.52	1.40	1.12	0.87
Total Volume	74,943.095	44,712	118,490	64,300	90,182
Total OI	1,300,436.619	1,223,251	1,366,881	1,240,943	1,361,991

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
2011-09-01	$73.49	$75.00	30.5%	8.4%	47.4%	30.8%	28.9%	7.8%	-0.6%	11.3M	315.4M	-13.4M	1.12	4.13	30,360	33,940	616,517	624,426
2011-09-02	$72.14	$75.00	27.2%	8.2%	47.6%	24.8%	29.8%	8.2%	-0.1%	-404.0K	630.0M	-13.1M	0.99	3.64	38,446	37,997	619,633	630,127
2011-09-06	$71.15	$77.50	41.7%	9.4%	41.9%	51.3%	36.2%	10.1%	-2.2%	-4.5M	773.1M	-12.8M	1.00	3.80	39,922	40,089	618,282	629,717
2011-09-07	$73.65	$77.50	30.1%	8.5%	43.1%	30.2%	27.8%	8.6%	-1.2%	11.9M	236.3M	-13.6M	0.62	3.19	40,576	25,257	630,681	651,273
2011-09-08	$72.82	$77.50	30.0%	8.5%	38.6%	29.9%	29.9%	8.7%	-0.9%	5.1M	428.9M	-13.4M	1.15	3.34	28,654	33,070	638,976	660,243
2011-09-09	$71.01	$77.50	37.0%	10.1%	35.5%	42.7%	34.7%	10.1%	-3.0%	-7.0M	796.8M	-13.2M	1.21	3.12	37,896	46,022	641,940	673,719
2011-09-12	$71.84	$77.50	34.1%	9.4%	35.7%	37.4%	33.2%	9.8%	-1.4%	998.6K	615.5M	-13.3M	0.65	3.84	45,317	29,251	650,341	674,335
2011-09-13	$71.65	$77.50	31.1%	9.2%	33.7%	32.0%	32.3%	9.8%	-1.0%	1.2M	663.5M	-13.1M	0.96	3.38	22,823	21,889	659,686	680,235
2011-09-14	$72.64	$77.50	28.6%	8.9%	34.0%	27.4%	31.5%	9.3%	-0.6%	7.6M	450.1M	-13.3M	1.08	3.68	34,732	37,415	663,046	683,279
2011-09-15	$74.01	$77.50	26.7%	7.7%	34.5%	23.9%	27.8%	8.7%	1.6%	16.4M	156.5M	-13.6M	1.11	3.45	41,330	46,003	665,071	689,241
2011-09-16	$74.55	$77.50	25.4%	7.3%	30.3%	21.4%	25.7%	8.6%	2.1%	15.0M	96.8M	-13.5M	1.40	3.14	32,506	45,525	669,650	697,231
2011-09-19	$73.70	$77.50	28.8%	8.2%	30.0%	27.7%	28.3%	8.9%	0.9%	7.3M	257.2M	-13.3M	0.72	3.06	40,630	29,424	587,534	635,717
2011-09-20	$74.01	$77.50	25.8%	7.4%	30.0%	22.3%	26.6%	9.1%	1.4%	11.3M	153.9M	-13.5M	0.89	2.67	24,893	22,276	603,382	643,385
2011-09-21	$71.97	$77.50	30.1%	8.6%	26.6%	30.1%	31.4%	9.0%	1.1%	-6.5M	566.0M	-13.1M	1.00	4.23	36,773	36,622	613,895	649,563
2011-09-22	$69.24	$77.50	36.2%	10.4%	29.8%	41.2%	36.8%	10.2%	-0.3%	-14.4M	976.1M	-12.8M	0.74	5.39	67,239	49,996	619,640	654,114
2011-09-23	$69.31	$75.00	37.1%	10.6%	28.7%	42.9%	37.2%	11.3%	-0.1%	-11.1M	966.4M	-13.0M	0.63	4.17	72,916	45,574	625,093	667,545
2011-09-26	$71.72	$75.00	33.5%	9.6%	31.1%	36.3%	35.3%	9.9%	0.7%	1.2M	477.2M	-13.6M	0.52	4.05	38,543	19,925	633,028	668,268
2011-09-27	$72.91	$75.00	32.7%	9.4%	30.8%	34.9%	31.8%	9.5%	0.9%	10.5M	232.0M	-13.6M	0.81	4.45	45,960	37,108	635,552	668,997
2011-09-28	$72.07	$75.00	34.9%	10.0%	31.0%	38.8%	34.9%	10.6%	-0.0%	2.3M	438.5M	-13.8M	1.10	4.42	25,108	27,523	647,542	684,476
2011-09-29	$73.88	$75.00	31.9%	9.2%	32.3%	33.5%	34.3%	10.4%	1.3%	15.4M	46.8M	-14.2M	1.03	4.16	36,498	37,595	651,617	690,181
2011-09-30	$72.63	$75.00	39.2%	10.7%	32.8%	46.8%	39.0%	11.4%	-0.0%	5.4M	261.8M	-14.1M	0.87	3.92	48,291	41,891	662,798	699,193