XOM Options History — September 2012

In September 2012, XOM traded between $87.12 and $92.30. ATM implied volatility averaged 13.7%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.1% (HV 20d: 11.6%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2012-09-14: Highest Volume — 85,427 contracts
2012-09-12: Largest IV drop — 22.2% change
2012-09-04: Highest IV Rank — 11.7%
2012-09-04: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.59	$87.12	$92.30	$87.12	$91.45
Max Pain	$85.66	$85.00	$87.50	$87.50	$87.50
ATM IV	13.7%	12.0%	17.1%	17.1%	12.3%
Expected Move	3.8%	3.5%	4.3%	4.3%	3.7%
HV 20d	11.6%	7.1%	13.4%	7.3%	12.9%
HV 60d	14.7%	12.6%	16.2%	16.1%	12.6%
IV Rank	3.9%	0.0%	11.7%	11.7%	0.6%
IV Percentile	10.6%	0.0%	39.3%	39.3%	0.4%
Term Structure	1.3%	0.7%	2.1%	0.9%	1.6%
VWIV	14.2%	13.0%	15.6%	15.6%	14.9%
Skew 25d	2.3%	1.6%	3.2%	3.2%	2.9%
Skew 10d	5.2%	3.3%	8.1%	8.1%	6.4%
Call IV 25d	12.9%	12.1%	14.3%	14.3%	12.6%
Put IV 25d	15.3%	14.3%	17.5%	17.5%	15.5%
Bid-Ask Spread %	3.50	2.20	5.00	3.80	4.58
Gamma HHI	0.23	0.17	0.33	0.17	0.18
Net GEX	148.6M	87.4M	210.8M	87.4M	118.2M
Net DEX	-2.19B	-2.96B	-1.11B	-1.11B	-2.17B
Net VEX	-11.9M	-12.7M	-11.3M	-12.3M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.50	1.37	1.06	1.16
Total Volume	48,822.211	27,287	85,427	32,041	32,633
Total OI	1,156,051.158	1,096,926	1,228,327	1,096,926	1,150,691

Daily Data (19 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
2012-09-04	$87.12	$87.50	17.1%	4.3%	7.3%	11.7%	15.6%	3.2%	0.9%	87.4M	-1.11B	-12.3M	1.06	3.80	15,530	16,511	557,224	539,702
2012-09-05	$87.33	$87.50	17.0%	4.2%	7.1%	11.6%	15.0%	3.1%	1.0%	95.5M	-1.17B	-12.7M	0.72	3.35	15,820	11,467	562,166	543,835
2012-09-06	$88.99	$87.50	13.7%	3.7%	9.7%	3.4%	13.7%	2.7%	1.0%	129.3M	-1.71B	-12.4M	1.25	2.66	25,968	32,503	564,459	543,792
2012-09-07	$89.92	$85.00	12.8%	3.8%	10.3%	1.2%	14.2%	2.8%	2.1%	153.9M	-2.06B	-11.8M	0.54	4.34	46,064	25,067	568,505	554,590
2012-09-10	$89.48	$85.00	14.5%	3.8%	10.5%	5.4%	13.9%	2.6%	1.8%	143.0M	-1.88B	-12.0M	1.21	3.43	18,553	22,369	576,659	560,446
2012-09-11	$89.62	$85.00	15.5%	3.9%	10.4%	7.7%	15.3%	2.7%	1.5%	143.3M	-1.88B	-12.1M	0.50	5.00	36,043	17,970	576,792	565,663
2012-09-12	$89.55	$85.00	12.0%	3.8%	10.4%	0.0%	14.1%	2.6%	1.5%	139.6M	-1.84B	-12.2M	0.79	3.22	20,189	16,029	588,123	570,822
2012-09-13	$91.23	$85.00	13.7%	3.9%	12.1%	4.0%	13.9%	1.7%	0.9%	187.2M	-2.60B	-11.4M	0.79	4.19	47,767	37,579	591,502	575,226
2012-09-14	$92.30	$85.00	13.4%	3.8%	12.5%	3.2%	14.2%	1.8%	0.7%	206.5M	-2.96B	-11.4M	0.75	4.28	48,921	36,506	599,843	586,224
2012-09-17	$91.91	$85.00	13.3%	3.8%	12.5%	3.2%	14.2%	1.8%	0.9%	196.0M	-2.80B	-11.4M	0.72	2.97	29,463	21,155	599,307	591,965
2012-09-18	$91.65	$85.00	13.3%	3.8%	12.4%	3.1%	13.8%	1.9%	1.1%	191.3M	-2.71B	-11.4M	1.32	2.20	19,998	26,399	604,391	597,800
2012-09-19	$90.57	$85.00	13.9%	4.0%	13.1%	4.5%	14.1%	1.6%	1.1%	144.2M	-2.27B	-11.8M	0.58	4.21	36,536	21,280	608,794	612,168
2012-09-20	$91.52	$85.00	13.0%	3.7%	13.4%	2.5%	13.8%	2.1%	1.4%	177.0M	-2.51B	-12.3M	0.83	4.09	21,773	18,114	614,182	614,145
2012-09-21	$91.92	$85.00	12.4%	3.5%	13.2%	0.8%	13.0%	2.1%	1.7%	210.8M	-2.65B	-11.9M	0.54	3.42	26,931	14,489	610,807	615,090
2012-09-24	$91.88	$85.00	12.4%	3.5%	13.1%	0.8%	13.7%	2.2%	1.1%	126.1M	-2.44B	-11.4M	0.73	2.69	20,396	14,874	552,253	560,749
2012-09-25	$91.74	$85.00	13.2%	3.8%	13.0%	2.9%	14.1%	2.0%	1.3%	127.2M	-2.39B	-11.3M	1.37	2.31	24,060	32,931	556,134	566,989
2012-09-26	$91.23	$85.00	14.5%	4.2%	13.2%	6.2%	14.1%	2.4%	1.3%	119.9M	-2.21B	-11.7M	0.96	2.23	23,482	22,617	561,433	575,220
2012-09-27	$91.80	$87.50	12.8%	3.7%	13.2%	1.9%	13.8%	2.4%	1.6%	126.2M	-2.31B	-11.9M	0.60	3.50	18,464	11,171	567,024	580,257
2012-09-28	$91.45	$87.50	12.3%	3.7%	12.9%	0.6%	14.9%	2.9%	1.6%	118.2M	-2.17B	-11.9M	1.16	4.58	15,100	17,533	569,227	581,464