XOM Options History — October 2011

In October 2011, XOM traded between $71.15 and $81.88. ATM implied volatility averaged 28.8%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.8% (HV 20d: 29.6%). Max pain ranged from $70.00 to $77.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2011-10-21: Highest Volume — 231,640 contracts
2011-10-31: Largest IV spike — 54.7% change
2011-10-03: Highest IV Rank — 71.9%
2011-10-03: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.40	$71.15	$81.88	$71.15	$78.09
Max Pain	$74.40	$70.00	$77.50	$75.00	$77.50
ATM IV	28.8%	18.7%	52.9%	52.9%	28.9%
Expected Move	8.0%	5.4%	12.3%	12.3%	7.4%
HV 20d	29.6%	23.1%	33.6%	33.0%	27.3%
HV 60d	36.9%	35.6%	37.5%	35.9%	36.6%
IV Rank	27.8%	9.2%	71.9%	71.9%	28.0%
IV Percentile	80.7%	48.4%	99.6%	99.6%	83.7%
Term Structure	-0.1%	-1.5%	1.5%	-1.2%	-0.8%
VWIV	28.9%	21.4%	40.4%	40.4%	25.2%
Skew 25d	9.1%	5.7%	11.9%	11.9%	7.5%
Skew 10d	19.1%	11.7%	25.1%	24.0%	15.8%
Call IV 25d	24.3%	17.8%	36.1%	36.1%	22.2%
Put IV 25d	33.4%	23.5%	48.0%	48.0%	29.8%
Bid-Ask Spread %	4.37	3.13	8.72	4.34	6.38
Gamma HHI	0.17	0.08	0.58	0.08	0.12
Net GEX	48.8M	-112.0K	157.5M	-112.0K	27.9M
Net DEX	-767.6M	-1.81B	571.1M	571.1M	-530.6M
Net VEX	-13.8M	-14.4M	-13.5M	-13.7M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.43	2.05	1.43	0.86
Total Volume	82,253.619	42,505	231,640	60,279	76,439
Total OI	1,400,761.333	1,212,573	1,534,876	1,367,225	1,339,337

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
2011-10-03	$71.15	$75.00	52.9%	12.3%	33.0%	71.9%	40.4%	11.9%	-1.2%	-112.0K	571.1M	-13.7M	1.43	4.34	24,836	35,443	669,504	697,721
2011-10-04	$72.83	$75.00	44.3%	10.6%	33.6%	56.1%	39.1%	9.2%	0.3%	11.2M	241.0M	-14.1M	1.11	3.53	41,980	46,555	674,511	702,606
2011-10-05	$73.95	$75.00	37.3%	9.3%	31.8%	43.2%	34.9%	8.1%	0.7%	19.9M	-9.6M	-14.2M	0.76	4.18	26,464	20,199	679,843	714,764
2011-10-06	$73.89	$75.00	30.8%	8.7%	31.5%	31.3%	32.8%	8.1%	1.5%	21.6M	33.3M	-13.8M	1.15	4.44	20,644	23,780	683,247	716,279
2011-10-07	$73.56	$70.00	32.3%	9.6%	30.0%	34.1%	32.9%	11.7%	-0.9%	14.1M	141.2M	-13.6M	0.86	3.86	30,214	26,006	686,412	723,248
2011-10-10	$76.28	$72.50	27.8%	7.9%	32.3%	25.8%	29.1%	11.2%	0.6%	41.7M	-519.5M	-13.6M	0.87	4.16	33,147	28,810	684,538	722,064
2011-10-11	$76.27	$72.50	25.9%	7.9%	32.3%	22.5%	27.7%	10.5%	0.6%	44.6M	-515.2M	-13.7M	0.74	4.00	33,262	24,510	694,048	725,774
2011-10-12	$77.16	$72.50	23.4%	7.6%	32.2%	17.9%	26.2%	9.4%	0.2%	58.2M	-791.4M	-13.6M	0.85	3.36	46,542	39,429	705,795	730,874
2011-10-13	$76.37	$72.50	26.0%	7.5%	31.9%	22.7%	27.7%	9.7%	0.5%	46.4M	-499.1M	-13.5M	2.05	3.29	13,915	28,590	710,459	744,072
2011-10-14	$78.11	$72.50	25.8%	7.4%	32.7%	22.1%	26.3%	8.6%	0.1%	71.4M	-1.09B	-13.6M	0.70	4.10	34,549	24,242	710,172	752,209
2011-10-17	$77.47	$72.50	28.0%	8.0%	32.6%	26.2%	29.3%	10.3%	-0.6%	65.4M	-840.8M	-13.6M	1.25	3.70	30,308	37,740	711,554	752,379
2011-10-18	$78.89	$72.50	25.4%	7.3%	33.1%	21.5%	28.1%	9.8%	0.3%	74.6M	-1.30B	-13.6M	0.72	4.41	33,062	23,805	717,586	763,223
2011-10-19	$78.43	$75.00	29.0%	8.3%	31.2%	28.1%	29.3%	10.2%	-0.7%	68.9M	-1.06B	-13.5M	1.29	3.44	31,808	41,115	718,325	768,306
2011-10-20	$78.71	$75.00	30.3%	8.7%	26.7%	30.5%	30.0%	10.8%	-1.5%	64.8M	-1.13B	-13.8M	0.86	3.13	57,292	49,402	718,476	788,214
2011-10-21	$80.13	$75.00	25.6%	7.3%	27.0%	21.8%	27.8%	8.5%	-0.1%	157.5M	-1.75B	-13.8M	0.43	3.34	161,775	69,865	726,018	808,858
2011-10-24	$80.17	$75.00	24.5%	7.0%	25.1%	19.8%	25.1%	7.9%	-0.4%	38.0M	-1.19B	-13.9M	1.03	4.47	43,082	44,347	576,382	636,191
2011-10-25	$79.44	$75.00	24.4%	7.0%	25.3%	19.7%	28.0%	8.2%	-1.1%	38.3M	-1.06B	-13.6M	0.69	5.21	89,057	61,740	596,829	652,861
2011-10-26	$81.07	$77.50	24.4%	7.0%	25.1%	19.6%	24.5%	7.1%	-0.9%	44.9M	-1.43B	-14.4M	0.78	8.72	72,330	56,245	624,803	685,502
2011-10-27	$81.88	$77.50	20.0%	5.7%	24.2%	11.6%	21.6%	6.3%	0.3%	62.0M	-1.81B	-13.8M	0.55	4.70	65,917	36,022	647,576	702,154
2011-10-28	$81.48	$77.50	18.7%	5.4%	23.1%	9.2%	21.4%	5.7%	1.0%	54.2M	-1.58B	-14.0M	0.65	5.12	26,030	16,828	650,409	702,865
2011-10-31	$78.09	$77.50	28.9%	7.4%	27.3%	28.0%	25.2%	7.5%	-0.8%	27.9M	-530.6M	-13.8M	0.86	6.38	41,134	35,305	644,058	695,279