XOM Options History — April 2012

In April 2012, XOM traded between $82.17 and $87.07. ATM implied volatility averaged 16.8%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.3% (HV 20d: 15.4%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2012-04-10: Highest Volume — 112,055 contracts
2012-04-10: Largest IV spike — 32.5% change
2012-04-10: Highest IV Rank — 18.0%
2012-04-10: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.06	$82.17	$87.07	$87.07	$86.34
Max Pain	$85.13	$85.00	$87.50	$85.00	$85.00
ATM IV	16.8%	13.4%	22.7%	13.7%	15.3%
Expected Move	4.7%	3.6%	5.6%	3.6%	3.9%
HV 20d	15.4%	14.3%	16.8%	14.4%	15.4%
HV 60d	14.2%	13.1%	14.8%	13.1%	14.2%
IV Rank	7.5%	1.3%	18.0%	2.0%	4.7%
IV Percentile	23.4%	2.8%	59.9%	4.4%	13.1%
Term Structure	0.2%	-0.7%	2.5%	2.3%	0.2%
VWIV	16.4%	13.0%	19.3%	13.0%	14.6%
Skew 25d	3.2%	1.2%	4.6%	1.2%	2.5%
Skew 10d	6.5%	2.9%	9.9%	3.7%	4.2%
Call IV 25d	15.1%	12.5%	17.9%	12.8%	13.2%
Put IV 25d	18.3%	14.0%	22.4%	14.0%	15.8%
Bid-Ask Spread %	4.32	3.13	5.47	5.47	4.25
Gamma HHI	0.15	0.10	0.22	0.22	0.18
Net GEX	46.4M	5.6M	98.6M	98.6M	52.2M
Net DEX	-489.3M	-1.19B	250.3M	-1.19B	-712.7M
Net VEX	-12.3M	-13.2M	-11.5M	-12.9M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.43	1.51	0.74	0.56
Total Volume	51,430.15	29,040	112,055	45,575	39,317
Total OI	1,037,811.65	818,784	1,135,406	1,078,110	884,260

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
2012-04-02	$87.07	$85.00	13.7%	3.6%	14.4%	2.0%	13.0%	1.2%	2.3%	98.6M	-1.19B	-12.9M	0.74	5.47	26,167	19,408	559,248	518,862
2012-04-03	$85.83	$85.00	16.9%	4.1%	14.5%	7.7%	14.0%	1.5%	2.5%	74.6M	-799.7M	-13.2M	0.45	4.84	64,913	29,277	563,990	520,938
2012-04-04	$84.98	$85.00	17.8%	4.2%	14.9%	9.3%	14.7%	1.9%	1.9%	41.1M	-398.8M	-12.9M	0.44	5.41	38,183	16,926	571,454	529,949
2012-04-05	$84.82	$85.00	13.4%	4.1%	14.4%	1.3%	14.4%	1.9%	2.1%	51.8M	-371.2M	-12.9M	0.53	4.50	21,834	11,598	576,110	530,859
2012-04-09	$83.88	$87.50	17.1%	5.0%	14.7%	8.0%	17.9%	3.5%	-0.3%	29.9M	-132.5M	-12.3M	0.45	4.08	30,438	13,581	570,457	528,846
2012-04-10	$82.17	$85.00	22.7%	5.6%	15.3%	18.0%	19.3%	4.5%	-0.5%	5.6M	250.3M	-12.3M	0.95	4.03	57,327	54,728	572,597	531,433
2012-04-11	$82.70	$85.00	18.2%	5.5%	14.3%	10.0%	18.9%	4.5%	-0.1%	9.7M	124.3M	-12.3M	0.74	3.13	23,349	17,292	577,718	532,026
2012-04-12	$83.60	$85.00	18.8%	5.4%	14.8%	11.1%	18.2%	3.4%	-0.3%	29.9M	-103.3M	-12.5M	1.51	3.94	17,390	26,340	581,631	535,378
2012-04-13	$82.95	$85.00	19.1%	5.5%	14.9%	11.7%	19.1%	4.6%	-0.4%	15.9M	-12.8M	-11.9M	0.97	4.29	15,511	14,982	583,728	535,300
2012-04-16	$84.01	$85.00	18.0%	5.2%	15.6%	9.7%	18.3%	4.4%	-0.3%	38.3M	-277.3M	-12.5M	1.08	4.09	19,762	21,438	580,171	532,203
2012-04-17	$85.45	$85.00	17.4%	5.0%	16.8%	8.6%	17.4%	3.9%	-0.3%	66.3M	-671.3M	-12.5M	0.59	3.87	27,487	16,233	582,495	536,509
2012-04-18	$85.75	$85.00	17.9%	5.1%	16.8%	9.4%	17.9%	3.7%	-0.7%	71.9M	-778.4M	-12.1M	0.96	3.33	18,566	17,885	583,116	537,719
2012-04-19	$85.28	$85.00	17.1%	4.9%	16.7%	8.1%	17.1%	3.6%	-0.1%	63.7M	-648.6M	-12.6M	1.08	4.91	22,392	24,174	586,584	543,679
2012-04-20	$85.30	$85.00	16.2%	4.6%	16.5%	6.3%	16.2%	3.6%	0.2%	50.3M	-556.1M	-12.4M	0.83	4.80	26,111	21,710	586,747	548,659
2012-04-23	$85.69	$85.00	16.7%	4.8%	16.5%	7.3%	16.8%	3.4%	-0.6%	34.7M	-550.8M	-12.1M	0.66	4.13	32,044	21,030	421,067	397,717
2012-04-24	$86.31	$85.00	15.2%	4.4%	15.5%	4.6%	16.3%	3.6%	-0.2%	43.8M	-699.8M	-12.6M	0.76	3.46	25,672	19,382	438,853	406,465
2012-04-25	$86.85	$85.00	15.2%	4.4%	15.6%	4.7%	15.9%	2.8%	-0.4%	54.4M	-837.5M	-12.3M	0.49	5.14	58,197	28,693	451,175	415,141
2012-04-26	$86.07	$85.00	14.8%	4.2%	15.6%	3.8%	14.7%	2.8%	0.0%	44.9M	-709.5M	-11.6M	0.66	4.83	36,285	23,941	475,431	425,129
2012-04-27	$86.08	$85.00	14.2%	4.1%	15.6%	2.8%	13.7%	2.5%	-0.4%	50.4M	-715.7M	-11.5M	0.43	3.97	20,360	8,680	480,322	422,267
2012-04-30	$86.34	$85.00	15.3%	3.9%	15.4%	4.7%	14.6%	2.5%	0.2%	52.2M	-712.7M	-11.8M	0.56	4.25	25,215	14,102	469,083	415,177