XOM Options History — June 2012

In June 2012, XOM traded between $77.60 and $85.57. ATM implied volatility averaged 18.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.8% (HV 20d: 19.7%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2012-06-21: Highest Volume — 139,317 contracts
2012-06-06: Largest IV drop — 26.5% change
2012-06-04: Highest IV Rank — 26.4%
2012-06-01: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.66	$77.60	$85.57	$77.92	$85.57
Max Pain	$83.69	$82.50	$85.00	$82.50	$85.00
ATM IV	18.9%	14.5%	27.3%	26.6%	14.6%
Expected Move	5.4%	4.1%	7.1%	7.1%	4.5%
HV 20d	19.7%	12.4%	24.9%	12.7%	23.6%
HV 60d	16.1%	14.2%	18.5%	14.4%	18.5%
IV Rank	11.3%	3.3%	26.4%	25.1%	3.5%
IV Percentile	39.4%	9.9%	76.2%	74.2%	11.1%
Term Structure	1.0%	-0.4%	1.9%	-0.4%	1.9%
VWIV	19.0%	15.3%	24.3%	24.3%	15.9%
Skew 25d	5.3%	3.3%	6.9%	5.3%	3.3%
Skew 10d	10.7%	6.5%	13.5%	10.2%	6.5%
Call IV 25d	16.6%	13.3%	22.5%	22.5%	14.2%
Put IV 25d	21.9%	17.2%	28.1%	27.8%	17.5%
Bid-Ask Spread %	6.21	4.56	8.39	5.25	6.73
Gamma HHI	0.12	0.08	0.17	0.08	0.17
Net GEX	21.1M	-11.7M	79.2M	-10.9M	79.2M
Net DEX	40.2M	-1.10B	840.3M	828.0M	-1.10B
Net VEX	-13.2M	-14.8M	-10.7M	-11.5M	-14.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.41	1.94	0.94	0.94
Total Volume	65,361.714	36,049	139,317	56,190	53,832
Total OI	1,131,839.905	1,000,906	1,240,279	1,000,906	1,240,279

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
2012-06-01	$77.92	$82.50	26.6%	7.1%	12.7%	25.1%	24.3%	5.3%	-0.4%	-10.9M	828.0M	-11.5M	0.94	5.25	28,940	27,250	514,107	486,799
2012-06-04	$77.83	$85.00	27.3%	6.9%	12.4%	26.4%	24.0%	6.9%	-0.2%	-11.2M	840.3M	-11.1M	0.96	6.93	40,649	39,122	513,095	488,798
2012-06-05	$77.60	$85.00	25.7%	6.3%	12.4%	23.5%	22.4%	6.0%	0.9%	-11.7M	778.4M	-10.7M	0.83	5.03	30,218	24,944	524,762	481,999
2012-06-06	$80.18	$85.00	18.9%	5.4%	18.0%	11.2%	19.1%	6.0%	0.8%	6.3M	352.9M	-10.9M	0.41	6.64	54,818	22,223	530,605	485,800
2012-06-07	$80.69	$85.00	17.5%	5.3%	18.1%	8.7%	18.5%	6.1%	0.9%	17.2M	296.0M	-11.5M	0.67	4.56	48,732	32,652	554,083	491,459
2012-06-08	$80.84	$82.50	18.1%	5.4%	18.1%	9.8%	18.9%	6.1%	0.6%	18.0M	164.7M	-11.9M	0.79	5.90	26,018	20,524	577,437	504,318
2012-06-11	$80.27	$82.50	20.7%	5.7%	18.1%	14.5%	19.2%	6.5%	0.3%	15.1M	299.3M	-12.1M	1.80	6.67	32,264	57,925	578,360	503,589
2012-06-12	$81.26	$82.50	16.0%	5.1%	18.3%	6.0%	19.2%	6.3%	1.2%	14.0M	170.4M	-12.7M	1.38	5.26	23,968	33,005	585,920	545,425
2012-06-13	$80.63	$82.50	19.1%	5.8%	18.5%	11.7%	19.4%	6.8%	1.0%	6.6M	347.6M	-13.5M	1.10	5.89	22,759	25,067	590,989	561,026
2012-06-14	$82.13	$82.50	18.4%	5.3%	19.6%	10.3%	20.1%	6.6%	1.2%	23.6M	-110.5M	-13.7M	0.92	6.80	18,828	17,369	597,032	570,189
2012-06-15	$83.22	$82.50	17.3%	5.0%	20.1%	8.4%	18.6%	6.3%	1.7%	33.4M	-416.8M	-13.8M	1.60	8.33	21,748	34,726	600,409	574,084
2012-06-18	$83.11	$82.50	16.3%	4.7%	20.0%	6.6%	16.1%	5.3%	1.5%	30.4M	-210.6M	-13.9M	0.94	7.01	38,191	35,985	549,217	551,115
2012-06-19	$84.48	$82.50	14.5%	4.2%	20.7%	3.3%	15.6%	4.5%	1.7%	56.7M	-631.7M	-14.3M	0.74	4.70	40,056	29,706	567,294	570,039
2012-06-20	$84.97	$82.50	14.5%	4.1%	20.7%	3.3%	15.3%	3.7%	1.9%	66.2M	-756.9M	-14.4M	1.09	5.97	44,308	48,439	581,857	578,289
2012-06-21	$82.11	$82.50	17.8%	5.1%	24.3%	9.3%	18.2%	4.8%	1.4%	17.2M	64.2M	-14.5M	1.94	6.07	47,436	91,881	591,750	591,098
2012-06-22	$82.11	$85.00	17.0%	4.9%	24.2%	7.8%	17.9%	4.2%	1.4%	15.5M	75.3M	-14.5M	0.89	8.39	28,744	25,718	597,121	618,348
2012-06-25	$81.24	$85.00	20.8%	6.0%	24.4%	14.7%	20.2%	4.7%	0.9%	-1.3M	336.9M	-14.2M	0.96	5.75	37,171	35,543	594,584	608,624
2012-06-26	$82.40	$85.00	18.8%	5.4%	24.9%	11.1%	19.5%	4.5%	1.0%	17.9M	-20.7M	-14.3M	0.92	5.91	25,873	23,836	599,010	612,002
2012-06-27	$83.20	$85.00	18.9%	5.4%	23.0%	11.2%	18.0%	4.4%	1.3%	29.7M	-236.8M	-14.8M	0.52	5.01	30,280	15,799	601,873	617,726
2012-06-28	$83.10	$85.00	18.3%	5.2%	22.2%	10.1%	18.3%	4.1%	1.4%	30.8M	-228.9M	-14.6M	1.52	7.67	14,291	21,758	617,223	620,904
2012-06-29	$85.57	$85.00	14.6%	4.5%	23.6%	3.5%	15.9%	3.3%	1.9%	79.2M	-1.10B	-14.6M	0.94	6.73	27,765	26,067	617,889	622,390