XOM Options History — July 2012

In July 2012, XOM traded between $83.11 and $87.56. ATM implied volatility averaged 17.1%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.3% (HV 20d: 20.4%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2012-07-27: Highest Volume — 100,577 contracts
2012-07-09: Largest IV spike — 41.6% change
2012-07-09: Highest IV Rank — 15.0%
2012-07-09: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.49	$83.11	$87.56	$85.34	$86.85
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	17.1%	14.2%	21.0%	15.2%	18.9%
Expected Move	4.8%	4.0%	5.5%	4.5%	4.7%
HV 20d	20.4%	14.7%	23.7%	23.7%	15.0%
HV 60d	18.2%	17.9%	18.5%	18.5%	18.3%
IV Rank	8.0%	2.8%	15.0%	4.5%	11.3%
IV Percentile	29.9%	7.5%	58.3%	13.1%	50.4%
Term Structure	-0.0%	-1.1%	1.7%	1.7%	-0.1%
VWIV	17.5%	15.0%	20.1%	15.8%	17.5%
Skew 25d	4.7%	2.8%	5.7%	3.0%	4.6%
Skew 10d	9.2%	6.1%	11.2%	6.6%	8.2%
Call IV 25d	15.1%	13.9%	16.8%	14.8%	15.6%
Put IV 25d	19.9%	16.7%	22.4%	17.8%	20.2%
Bid-Ask Spread %	4.63	2.60	7.38	5.86	4.33
Gamma HHI	0.18	0.14	0.35	0.17	0.19
Net GEX	71.3M	19.5M	173.5M	66.9M	80.7M
Net DEX	-907.3M	-1.45B	-116.2M	-902.2M	-1.17B
Net VEX	-13.1M	-14.1M	-11.9M	-13.7M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.55	1.54	0.63	0.59
Total Volume	52,795.857	28,239	100,577	48,680	46,962
Total OI	1,187,153.381	955,461	1,286,651	1,232,451	1,043,024

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
2012-07-02	$85.34	$85.00	15.2%	4.5%	23.7%	4.5%	15.8%	3.0%	1.7%	66.9M	-902.2M	-13.7M	0.63	5.86	29,800	18,880	614,105	618,346
2012-07-03	$86.28	$85.00	14.2%	4.0%	23.6%	2.8%	15.0%	2.8%	1.5%	91.9M	-1.28B	-13.9M	1.02	5.75	19,945	20,312	616,073	626,763
2012-07-05	$85.57	$85.00	16.4%	4.5%	21.7%	6.8%	15.8%	3.0%	1.5%	71.4M	-1.02B	-13.5M	0.87	5.70	15,623	13,636	621,062	633,832
2012-07-06	$84.80	$85.00	14.8%	4.9%	22.1%	3.9%	18.7%	5.4%	0.2%	52.6M	-662.5M	-14.1M	0.99	3.65	19,741	19,621	623,727	636,963
2012-07-09	$83.65	$85.00	21.0%	5.5%	22.8%	15.0%	18.5%	5.7%	-0.8%	32.2M	-305.4M	-13.4M	0.91	2.60	35,594	32,463	622,424	632,139
2012-07-10	$83.11	$85.00	20.0%	5.5%	22.8%	13.3%	18.2%	5.7%	-0.3%	19.5M	-116.2M	-13.3M	0.73	4.11	16,342	11,897	625,653	641,313
2012-07-11	$84.38	$85.00	15.4%	5.0%	23.0%	5.0%	19.3%	5.3%	0.2%	46.9M	-550.7M	-13.5M	0.79	5.20	20,693	16,367	627,778	640,848
2012-07-12	$84.12	$85.00	17.3%	4.9%	22.8%	8.3%	17.7%	5.7%	0.3%	45.1M	-499.4M	-13.5M	0.67	4.04	22,921	15,337	633,731	644,746
2012-07-13	$85.47	$85.00	17.0%	4.9%	22.6%	7.8%	18.5%	5.2%	0.3%	66.8M	-1.00B	-13.1M	1.52	3.68	21,135	32,111	638,592	645,732
2012-07-16	$85.05	$85.00	17.3%	5.0%	22.3%	8.4%	17.8%	5.3%	-0.1%	51.9M	-797.8M	-12.6M	1.20	4.08	21,599	25,848	634,188	650,265
2012-07-17	$85.73	$85.00	17.0%	4.9%	22.4%	7.9%	17.0%	4.7%	-0.3%	71.8M	-1.05B	-12.7M	0.72	3.90	25,401	18,252	638,931	636,735
2012-07-18	$86.21	$85.00	16.9%	4.8%	21.8%	7.6%	17.5%	4.3%	-0.3%	93.8M	-1.28B	-12.3M	0.58	4.71	27,125	15,787	642,817	639,092
2012-07-19	$86.21	$85.00	16.8%	4.8%	21.7%	7.5%	15.9%	4.2%	-0.5%	95.1M	-1.25B	-12.3M	0.55	4.40	25,490	14,037	647,620	632,417
2012-07-20	$85.95	$85.00	16.4%	4.7%	17.4%	6.8%	16.0%	4.4%	-0.3%	88.6M	-1.22B	-11.9M	0.87	4.78	38,149	33,106	654,920	631,731
2012-07-23	$85.21	$85.00	18.3%	5.2%	17.8%	10.2%	19.4%	5.5%	-0.9%	49.0M	-662.9M	-13.0M	0.59	3.67	48,401	28,460	469,875	485,586
2012-07-24	$84.58	$85.00	18.5%	5.3%	17.6%	10.6%	20.1%	5.6%	-1.0%	52.9M	-562.6M	-12.7M	1.54	4.30	22,408	34,490	491,857	495,292
2012-07-25	$85.24	$85.00	18.8%	5.4%	17.1%	11.0%	19.2%	5.6%	-1.1%	58.1M	-740.3M	-13.6M	1.19	7.38	35,628	42,255	497,207	511,219
2012-07-26	$86.52	$85.00	15.3%	4.4%	17.5%	4.8%	16.6%	4.5%	0.0%	85.2M	-1.10B	-13.0M	0.63	5.26	44,632	27,915	510,207	533,569
2012-07-27	$87.45	$85.00	15.7%	4.4%	17.8%	5.4%	16.1%	4.3%	-0.1%	173.5M	-1.45B	-12.9M	0.61	5.52	62,303	38,274	527,184	541,371
2012-07-30	$87.56	$85.00	17.9%	4.4%	14.7%	9.4%	16.2%	4.3%	0.0%	102.8M	-1.43B	-13.1M	0.77	4.41	28,136	21,637	536,491	534,796
2012-07-31	$86.85	$85.00	18.9%	4.7%	15.0%	11.3%	17.5%	4.6%	-0.1%	80.7M	-1.17B	-13.0M	0.59	4.33	29,550	17,412	510,222	532,802