XOM Options History — October 2012

In October 2012, XOM traded between $89.88 and $93.48. ATM implied volatility averaged 15.6%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.4% (HV 20d: 11.2%). Max pain ranged from $87.50 to $92.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2012-10-23: Highest Volume — 87,662 contracts
2012-10-31: Largest IV spike — 68.4% change
2012-10-31: Highest IV Rank — 70.4%
2012-10-31: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.69	$89.88	$93.48	$91.80	$91.17
Max Pain	$91.55	$87.50	$92.50	$87.50	$92.50
ATM IV	15.6%	11.6%	31.1%	14.1%	31.1%
Expected Move	4.3%	3.6%	5.2%	3.8%	5.2%
HV 20d	11.2%	8.7%	12.9%	12.9%	12.9%
HV 60d	11.7%	11.2%	12.5%	12.5%	11.3%
IV Rank	13.9%	0.0%	70.4%	4.9%	70.4%
IV Percentile	30.7%	0.0%	98.8%	17.1%	98.8%
Term Structure	-0.5%	-2.6%	2.0%	1.4%	-2.6%
VWIV	15.4%	13.4%	18.4%	14.0%	18.4%
Skew 25d	3.3%	2.2%	4.2%	2.7%	3.8%
Skew 10d	6.7%	5.4%	8.4%	6.0%	7.2%
Call IV 25d	13.6%	12.2%	16.0%	13.0%	16.0%
Put IV 25d	16.9%	14.6%	19.8%	15.7%	19.8%
Bid-Ask Spread %	3.83	2.60	5.89	5.54	5.69
Gamma HHI	0.19	0.16	0.23	0.19	0.16
Net GEX	100.6M	60.2M	136.3M	124.3M	75.7M
Net DEX	-2.04B	-2.89B	-995.7M	-2.35B	-1.31B
Net VEX	-11.3M	-11.7M	-10.7M	-11.2M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.43	1.35	0.77	1.10
Total Volume	46,705.762	25,712	87,662	34,527	59,942
Total OI	1,143,739.095	943,916	1,253,133	1,145,718	1,001,981

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
2012-10-01	$91.80	$87.50	14.1%	3.8%	12.9%	4.9%	14.0%	2.7%	1.4%	124.3M	-2.35B	-11.2M	0.77	5.54	19,544	14,983	565,858	579,860
2012-10-02	$91.72	$87.50	14.3%	3.6%	12.8%	5.6%	13.4%	2.5%	1.8%	123.9M	-2.34B	-11.2M	0.71	5.04	18,273	12,932	570,532	587,107
2012-10-03	$91.70	$87.50	16.2%	3.6%	12.9%	12.8%	13.9%	2.6%	1.5%	122.7M	-2.31B	-11.2M	1.20	3.47	21,266	25,547	573,675	590,484
2012-10-04	$92.22	$87.50	13.0%	3.6%	11.4%	3.6%	14.0%	2.2%	2.0%	128.2M	-2.51B	-11.1M	0.91	5.89	37,115	33,917	578,029	603,165
2012-10-05	$92.55	$92.50	11.6%	4.2%	11.0%	0.0%	14.6%	3.3%	-0.2%	136.3M	-2.54B	-11.7M	0.99	3.15	24,180	24,020	583,336	618,947
2012-10-08	$92.68	$92.50	13.4%	4.2%	10.7%	6.6%	14.9%	3.1%	-0.4%	118.2M	-2.58B	-11.5M	1.06	2.72	12,474	13,238	582,136	617,657
2012-10-09	$92.13	$92.50	13.8%	4.3%	11.1%	8.0%	15.1%	3.4%	-0.3%	106.3M	-2.38B	-11.5M	1.15	2.60	26,708	30,585	585,036	621,006
2012-10-10	$91.03	$92.50	14.2%	4.6%	12.0%	9.5%	15.6%	3.2%	-1.3%	92.2M	-1.94B	-11.6M	0.65	2.74	43,133	27,991	587,588	624,833
2012-10-11	$91.17	$92.50	15.6%	4.5%	10.0%	14.6%	15.1%	3.3%	-0.9%	97.6M	-2.06B	-11.5M	0.76	3.10	22,190	16,803	594,353	625,335
2012-10-12	$91.03	$92.50	15.7%	4.5%	9.1%	14.7%	16.5%	3.5%	-1.1%	100.0M	-1.96B	-11.5M	1.30	2.97	15,440	20,030	596,764	629,006
2012-10-15	$91.51	$92.50	14.2%	4.1%	9.2%	9.4%	15.6%	3.4%	-0.1%	106.3M	-2.19B	-10.9M	1.04	3.45	13,247	13,716	593,958	631,285
2012-10-16	$92.38	$92.50	14.1%	4.0%	9.7%	9.0%	14.9%	3.3%	-0.3%	115.8M	-2.49B	-11.2M	0.47	3.33	19,277	9,021	595,659	633,954
2012-10-17	$93.39	$92.50	14.3%	4.1%	9.3%	9.8%	14.5%	3.1%	-0.8%	121.4M	-2.89B	-10.8M	0.43	3.38	38,772	16,605	598,539	637,040
2012-10-18	$93.48	$92.50	14.4%	4.1%	8.7%	10.2%	14.7%	2.9%	-0.9%	115.3M	-2.87B	-10.7M	0.58	4.22	30,514	17,683	598,397	641,444
2012-10-19	$92.15	$92.50	14.3%	4.1%	10.1%	9.9%	14.7%	3.7%	-0.2%	93.6M	-2.27B	-11.0M	0.75	3.54	43,675	32,897	604,615	648,518
2012-10-22	$92.19	$92.50	14.5%	4.2%	10.1%	10.6%	15.3%	3.1%	-0.9%	80.6M	-1.57B	-11.0M	0.69	4.90	23,219	16,123	473,359	470,557
2012-10-23	$90.18	$92.50	16.9%	4.8%	12.8%	19.0%	17.0%	4.1%	-1.5%	62.6M	-1.07B	-11.1M	1.10	3.99	41,790	45,872	483,699	476,844
2012-10-24	$89.88	$92.50	16.9%	4.8%	12.8%	19.0%	17.2%	4.2%	-1.5%	60.9M	-995.7M	-11.4M	1.23	2.62	12,759	15,697	500,903	496,996
2012-10-25	$90.43	$92.50	17.0%	4.9%	12.8%	19.4%	17.4%	4.0%	-1.9%	60.2M	-1.13B	-11.4M	1.29	4.10	14,540	18,753	503,162	500,419
2012-10-26	$90.62	$92.50	18.5%	4.7%	12.7%	24.7%	16.4%	3.9%	-1.6%	71.5M	-1.20B	-11.5M	1.35	4.02	15,471	20,879	505,699	506,786
2012-10-31	$91.17	$92.50	31.1%	5.2%	12.9%	70.4%	18.4%	3.8%	-2.6%	75.7M	-1.31B	-11.6M	1.10	5.69	28,527	31,415	501,870	500,111