XOM Options History — December 2011

In December 2011, XOM traded between $79.44 and $85.28. ATM implied volatility averaged 21.3%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.9% (HV 20d: 25.1%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2011-12-14: Highest Volume — 90,737 contracts
2011-12-09: Largest IV drop — 24.5% change
2011-12-06: Highest IV Rank — 24.4%
2011-12-08: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.76	$79.44	$85.28	$79.79	$84.76
Max Pain	$76.67	$75.00	$80.00	$80.00	$77.50
ATM IV	21.3%	15.8%	27.0%	22.9%	15.8%
Expected Move	5.9%	4.8%	6.8%	6.3%	5.2%
HV 20d	25.1%	19.5%	27.6%	27.6%	19.5%
HV 60d	27.4%	25.3%	29.0%	29.0%	25.3%
IV Rank	13.9%	4.0%	24.4%	16.9%	4.0%
IV Percentile	47.6%	9.5%	75.8%	59.5%	9.5%
Term Structure	2.2%	0.2%	3.6%	0.2%	3.0%
VWIV	21.4%	17.7%	24.5%	22.8%	21.7%
Skew 25d	5.5%	3.2%	7.6%	5.3%	4.4%
Skew 10d	11.1%	7.0%	14.8%	11.0%	9.6%
Call IV 25d	18.4%	15.6%	21.0%	20.2%	16.9%
Put IV 25d	24.0%	18.8%	28.1%	25.5%	21.4%
Bid-Ask Spread %	4.39	3.02	5.32	3.66	3.99
Gamma HHI	0.16	0.11	0.20	0.12	0.20
Net GEX	62.2M	34.0M	99.3M	35.5M	88.5M
Net DEX	-1.46B	-2.67B	-658.2M	-845.0M	-2.31B
Net VEX	-12.5M	-13.3M	-11.7M	-13.2M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.30	1.05	0.77	1.03
Total Volume	62,239.381	40,459	90,737	40,459	43,322
Total OI	1,401,713.143	1,303,342	1,460,116	1,386,903	1,426,767

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
2011-12-01	$79.79	$80.00	22.9%	6.3%	27.6%	16.9%	22.8%	5.3%	0.2%	35.5M	-845.0M	-13.2M	0.77	3.66	22,882	17,577	640,444	746,459
2011-12-02	$79.79	$80.00	22.5%	6.3%	26.8%	16.2%	22.3%	4.7%	0.3%	39.0M	-908.7M	-13.0M	0.90	5.14	30,732	27,685	648,292	748,742
2011-12-05	$80.45	$75.00	26.3%	6.5%	26.9%	23.0%	22.6%	7.0%	1.8%	42.9M	-1.01B	-12.9M	1.00	4.38	25,426	25,517	645,669	747,300
2011-12-06	$80.82	$75.00	27.0%	6.5%	26.7%	24.4%	22.6%	7.3%	1.5%	48.5M	-1.16B	-13.0M	0.89	3.88	23,412	20,784	653,217	751,013
2011-12-07	$81.08	$75.00	24.6%	6.7%	26.7%	20.0%	23.5%	7.0%	1.2%	49.8M	-1.27B	-12.9M	0.77	3.53	39,001	30,055	656,750	754,275
2011-12-08	$79.87	$75.00	25.4%	6.8%	24.8%	21.6%	24.5%	7.6%	1.6%	34.0M	-820.6M	-13.3M	0.87	5.09	28,523	24,846	662,920	762,099
2011-12-09	$81.34	$75.00	19.2%	5.9%	24.9%	10.2%	22.9%	6.8%	2.5%	56.4M	-1.32B	-13.0M	0.96	4.54	31,327	29,933	670,967	766,634
2011-12-12	$80.05	$75.00	23.6%	6.7%	25.3%	18.2%	24.2%	7.0%	1.9%	45.3M	-904.3M	-12.7M	0.83	4.11	28,863	23,881	674,536	769,255
2011-12-13	$80.53	$75.00	24.1%	6.6%	25.1%	19.0%	23.4%	6.9%	2.1%	49.1M	-1.05B	-12.6M	1.05	3.82	40,821	42,821	669,749	766,553
2011-12-14	$79.44	$75.00	26.4%	6.8%	25.6%	23.3%	23.9%	6.8%	1.8%	36.0M	-658.2M	-12.5M	0.62	4.29	55,869	34,868	677,025	772,975
2011-12-15	$80.03	$75.00	22.2%	6.4%	25.4%	15.6%	22.4%	6.2%	2.5%	59.6M	-952.7M	-12.4M	0.80	4.54	34,999	27,872	686,214	768,407
2011-12-16	$80.16	$77.50	20.7%	5.9%	25.3%	13.0%	20.7%	5.9%	3.6%	65.9M	-1.01B	-12.1M	0.96	4.80	41,361	39,706	687,019	773,097
2011-12-19	$79.53	$77.50	20.8%	6.0%	25.5%	13.1%	21.1%	5.7%	2.5%	39.8M	-788.4M	-11.7M	0.86	4.62	24,161	20,682	623,288	680,054
2011-12-20	$82.00	$77.50	18.6%	5.3%	27.0%	9.0%	18.6%	4.8%	3.0%	67.5M	-1.52B	-11.9M	0.43	4.23	57,228	24,627	632,199	688,489
2011-12-21	$83.12	$77.50	18.1%	5.2%	26.7%	8.1%	18.4%	4.3%	3.0%	83.9M	-1.91B	-12.0M	0.62	5.32	40,205	24,764	654,840	693,971
2011-12-22	$84.29	$77.50	17.6%	5.1%	25.3%	7.2%	18.7%	3.5%	2.6%	92.5M	-2.37B	-12.2M	0.68	4.82	50,284	34,269	665,562	697,748
2011-12-23	$85.22	$77.50	16.9%	4.8%	24.7%	5.8%	17.7%	3.2%	2.8%	98.2M	-2.67B	-12.0M	0.91	5.20	35,257	31,967	675,434	705,735
2011-12-27	$85.28	$77.50	17.6%	5.0%	23.8%	7.1%	18.0%	3.4%	2.6%	99.3M	-2.61B	-12.0M	0.39	4.66	50,510	19,535	674,020	709,151
2011-12-28	$84.18	$77.50	18.3%	5.2%	24.5%	8.4%	19.5%	4.4%	2.7%	82.3M	-2.15B	-12.6M	1.04	3.02	22,176	22,973	686,881	715,432
2011-12-29	$85.27	$77.50	18.0%	5.2%	19.7%	7.9%	19.1%	4.2%	3.0%	92.2M	-2.48B	-12.5M	0.30	4.53	43,226	13,080	687,827	718,967
2011-12-30	$84.76	$77.50	15.8%	5.2%	19.5%	4.0%	21.7%	4.4%	3.0%	88.5M	-2.31B	-12.8M	1.03	3.99	21,297	22,025	702,750	724,017