XOM Options History — August 2012

In August 2012, XOM traded between $85.88 and $88.67. ATM implied volatility averaged 14.7%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.3% (HV 20d: 12.4%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.78.

Notable Days

2012-08-08: Highest Volume — 621,507 contracts
2012-08-08: Largest IV drop — 20.6% change
2012-08-01: Highest IV Rank — 15.1%
2012-08-02: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.77	$85.88	$88.67	$86.91	$87.30
Max Pain	$87.07	$85.00	$87.50	$85.00	$87.50
ATM IV	14.7%	12.3%	21.1%	21.1%	13.7%
Expected Move	4.1%	3.7%	5.0%	4.7%	4.2%
HV 20d	12.4%	7.3%	15.9%	14.5%	7.3%
HV 60d	18.1%	16.1%	18.8%	18.3%	16.1%
IV Rank	4.7%	0.0%	15.1%	15.1%	3.2%
IV Percentile	14.6%	0.0%	59.5%	59.5%	7.9%
Term Structure	1.0%	-0.7%	1.6%	-0.2%	1.3%
VWIV	14.5%	12.8%	17.7%	17.7%	15.0%
Skew 25d	2.9%	2.1%	4.2%	4.0%	3.1%
Skew 10d	6.4%	4.9%	8.1%	8.0%	7.0%
Call IV 25d	13.3%	11.9%	15.5%	15.5%	13.9%
Put IV 25d	16.2%	14.5%	19.6%	19.5%	17.0%
Bid-Ask Spread %	3.89	2.31	5.38	5.38	4.88
Gamma HHI	0.20	0.17	0.35	0.21	0.17
Net GEX	120.9M	72.2M	198.7M	101.3M	89.4M
Net DEX	-1.44B	-1.81B	-912.3M	-1.29B	-1.13B
Net VEX	-12.8M	-13.3M	-12.0M	-13.0M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.06	1.46	0.56	1.21
Total Volume	63,297.348	12,116	621,507	37,915	52,877
Total OI	1,108,541.696	1,033,094	1,155,234	1,103,421	1,101,055

Daily Data (23 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
2012-08-01	$86.91	$85.00	21.1%	4.7%	14.5%	15.1%	17.7%	4.0%	-0.2%	101.3M	-1.29B	-13.0M	0.56	5.38	24,260	13,655	555,347	548,074
2012-08-02	$85.88	$85.00	19.7%	5.0%	14.9%	12.6%	17.2%	4.2%	-0.7%	72.2M	-912.3M	-12.9M	0.35	4.76	48,402	17,030	561,816	549,513
2012-08-03	$87.55	$85.00	15.7%	4.1%	15.9%	5.4%	16.5%	3.8%	1.6%	198.7M	-1.52B	-13.3M	0.57	5.16	47,566	27,208	573,841	552,119
2012-08-06	$87.45	$85.00	17.4%	4.3%	14.9%	8.5%	15.7%	3.1%	0.9%	127.2M	-1.48B	-12.8M	0.62	4.10	22,146	13,680	582,452	546,232
2012-08-07	$87.92	$87.50	18.1%	4.2%	14.6%	9.8%	14.4%	2.9%	0.9%	138.9M	-1.62B	-12.9M	0.32	3.59	32,690	10,432	585,459	554,045
2012-08-08	$88.28	$87.50	14.3%	4.3%	13.8%	4.2%	15.1%	2.4%	0.9%	142.2M	-1.81B	-13.2M	0.06	4.79	586,717	34,790	597,671	557,563
2012-08-09	$88.20	$87.50	13.5%	4.2%	13.7%	2.2%	14.5%	2.1%	0.7%	132.7M	-1.63B	-13.0M	0.67	3.54	32,085	21,364	568,266	565,109
2012-08-10	$88.44	$87.50	12.3%	4.1%	12.8%	0.0%	14.0%	2.2%	0.8%	151.1M	-1.76B	-12.9M	0.76	3.87	16,717	12,762	575,843	567,396
2012-08-13	$88.14	$87.50	13.4%	4.0%	12.7%	2.6%	13.9%	2.2%	0.9%	150.4M	-1.64B	-12.6M	0.81	2.31	12,877	10,431	574,616	563,678
2012-08-14	$88.20	$87.50	13.3%	4.0%	12.5%	2.3%	14.0%	2.4%	1.1%	154.3M	-1.66B	-12.6M	1.39	3.12	15,096	21,051	575,699	565,489
2012-08-15	$88.00	$87.50	12.6%	3.8%	12.4%	0.5%	12.8%	2.5%	1.3%	154.7M	-1.57B	-12.6M	0.53	3.47	23,497	12,508	576,856	569,955
2012-08-16	$88.67	$87.50	13.9%	4.0%	12.7%	3.8%	13.3%	2.8%	1.2%	151.7M	-1.77B	-12.6M	0.83	4.15	21,149	17,451	574,642	565,573
2012-08-17	$88.40	$87.50	13.1%	3.8%	12.7%	1.9%	12.8%	2.5%	1.6%	142.7M	-1.67B	-12.5M	0.30	4.31	30,130	9,128	580,462	573,781
2012-08-20	$87.95	$87.50	13.0%	3.7%	12.3%	1.5%	13.0%	2.7%	1.4%	101.2M	-1.37B	-12.0M	1.23	3.06	14,861	18,337	527,132	505,962
2012-08-21	$87.46	$87.50	13.5%	3.9%	12.2%	2.8%	14.0%	3.1%	1.3%	87.0M	-1.20B	-12.8M	0.84	3.02	16,390	13,756	533,326	513,705
2012-08-22	$87.73	$87.50	13.4%	3.8%	12.0%	2.7%	13.6%	2.7%	1.4%	93.7M	-1.32B	-12.4M	0.87	3.50	18,111	15,761	537,948	521,036
2012-08-23	$87.31	$87.50	13.7%	3.9%	11.0%	3.4%	14.5%	3.2%	1.4%	80.7M	-1.16B	-12.9M	1.13	3.69	23,007	26,102	542,806	521,918
2012-08-24	$88.05	$87.50	13.9%	4.0%	10.8%	3.7%	13.5%	2.8%	1.4%	106.1M	-1.41B	-13.2M	0.75	3.19	18,920	14,224	550,974	530,633
2012-08-27	$87.74	$87.50	14.0%	4.0%	10.9%	4.1%	13.8%	2.8%	1.2%	104.9M	-1.35B	-12.4M	0.91	3.61	6,344	5,772	552,639	526,799
2012-08-28	$88.10	$87.50	14.6%	4.2%	10.5%	5.7%	14.6%	3.1%	0.8%	106.7M	-1.41B	-13.0M	1.46	4.34	8,814	12,884	554,394	528,043
2012-08-29	$87.90	$87.50	14.8%	4.2%	10.6%	6.0%	14.9%	3.2%	1.1%	102.4M	-1.39B	-12.6M	0.85	3.91	11,518	9,768	556,554	532,781
2012-08-30	$87.20	$87.50	15.0%	4.3%	10.0%	6.7%	15.5%	3.1%	1.1%	90.7M	-1.15B	-12.8M	0.92	3.61	17,474	16,097	559,525	537,732
2012-08-31	$87.30	$87.50	13.7%	4.2%	7.3%	3.2%	15.0%	3.1%	1.3%	89.4M	-1.13B	-13.1M	1.21	4.88	23,916	28,961	559,799	541,256