XOM Options History — November 2012

In November 2012, XOM traded between $86.07 and $91.61. ATM implied volatility averaged 16.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 1.5% (HV 20d: 18.2%). 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 13 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2012-11-06: Highest Volume — 1,373,653 contracts
2012-11-05: Largest IV spike — 24.9% change
2012-11-05: Highest IV Rank — 54.6%
2012-11-14: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.17	$86.07	$91.61	$91.60	$88.14
Max Pain	$90.00	$87.50	$92.50	$92.50	$90.00
ATM IV	16.7%	12.5%	22.8%	16.9%	14.9%
Expected Move	4.5%	3.6%	5.2%	4.0%	4.2%
HV 20d	18.2%	13.0%	19.9%	13.0%	19.0%
HV 60d	14.2%	11.3%	15.2%	11.3%	15.2%
IV Rank	25.0%	4.7%	54.6%	19.0%	17.1%
IV Percentile	46.7%	2.4%	86.5%	49.2%	32.1%
Term Structure	0.1%	-0.7%	0.9%	-0.1%	0.3%
VWIV	16.3%	14.5%	17.7%	15.0%	15.5%
Skew 25d	3.8%	3.4%	4.2%	3.5%	4.0%
Skew 10d	8.2%	6.6%	9.7%	6.8%	9.0%
Call IV 25d	14.3%	12.0%	16.3%	13.3%	13.1%
Put IV 25d	18.1%	16.0%	20.2%	16.8%	17.1%
Bid-Ask Spread %	5.05	3.13	8.20	7.28	8.20
Gamma HHI	0.15	0.11	0.19	0.18	0.18
Net GEX	45.9M	10.9M	88.2M	77.3M	50.3M
Net DEX	-447.3M	-1.45B	218.9M	-1.45B	-478.7M
Net VEX	-10.5M	-12.0M	-9.8M	-11.1M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.02	1.96	0.96	0.54
Total Volume	108,207.286	22,458	1,373,653	55,103	31,293
Total OI	1,023,010.238	962,570	1,048,579	1,025,357	1,046,656

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
2012-11-01	$91.60	$92.50	16.9%	4.0%	13.0%	19.0%	15.0%	3.5%	-0.1%	77.3M	-1.45B	-11.1M	0.96	7.28	28,170	26,933	508,066	517,291
2012-11-02	$90.27	$92.50	18.3%	4.6%	14.0%	24.0%	15.8%	3.4%	-0.7%	60.4M	-1.09B	-11.1M	0.69	5.49	28,570	19,741	513,189	518,631
2012-11-05	$90.63	$90.00	22.8%	4.5%	13.9%	54.6%	16.0%	3.6%	-0.1%	74.4M	-1.19B	-11.1M	0.49	3.34	35,284	17,263	516,682	514,248
2012-11-06	$91.61	$90.00	21.9%	4.3%	14.4%	52.0%	17.0%	3.8%	-0.2%	88.2M	-1.40B	-12.0M	0.02	5.61	1,351,746	21,907	524,878	523,701
2012-11-07	$88.18	$90.00	19.2%	5.2%	19.6%	38.5%	17.5%	4.2%	-0.3%	30.2M	-227.4M	-11.5M	1.00	4.83	54,570	54,319	486,203	532,243
2012-11-08	$87.07	$90.00	17.3%	5.0%	19.9%	28.6%	17.5%	4.1%	-0.2%	16.7M	-5.9M	-11.0M	0.72	3.13	31,479	22,679	495,858	539,098
2012-11-09	$87.21	$90.00	16.5%	5.0%	19.7%	24.6%	17.3%	3.9%	-0.1%	17.7M	-61.3M	-11.1M	1.02	4.26	39,749	40,668	502,354	538,493
2012-11-12	$87.32	$90.00	16.6%	4.7%	19.7%	25.4%	16.9%	3.5%	0.1%	27.9M	-136.0M	-10.8M	0.56	3.61	17,751	9,890	498,658	530,809
2012-11-13	$86.47	$90.00	16.7%	4.7%	19.8%	25.8%	16.6%	3.4%	0.1%	20.5M	48.7M	-10.4M	0.93	4.29	15,994	14,952	503,488	530,366
2012-11-14	$86.07	$90.00	20.3%	5.2%	19.6%	43.9%	17.3%	3.4%	-0.2%	10.9M	218.9M	-10.4M	0.96	3.51	17,909	17,216	505,339	532,494
2012-11-15	$86.14	$90.00	18.1%	5.2%	19.1%	32.6%	17.7%	3.7%	0.1%	16.5M	122.6M	-10.3M	1.11	5.91	18,985	20,993	503,615	531,906
2012-11-16	$86.45	$87.50	16.0%	4.6%	18.6%	22.1%	17.3%	3.7%	0.5%	35.0M	24.8M	-10.3M	1.46	4.75	19,744	28,752	510,716	537,852
2012-11-19	$87.67	$87.50	15.0%	4.3%	19.6%	17.2%	16.1%	3.9%	0.5%	53.9M	-449.6M	-10.3M	1.96	4.28	16,752	32,884	457,638	504,932
2012-11-20	$87.50	$90.00	14.3%	4.1%	19.1%	13.6%	15.8%	3.8%	0.7%	50.1M	-348.9M	-10.0M	1.17	5.05	10,352	12,106	461,547	522,749
2012-11-21	$88.01	$90.00	14.3%	4.1%	19.3%	13.7%	14.9%	3.7%	0.6%	58.0M	-491.7M	-10.1M	1.85	6.00	9,151	16,904	461,945	526,383
2012-11-23	$89.09	$90.00	12.5%	3.6%	18.5%	4.7%	15.7%	3.9%	0.9%	68.3M	-765.0M	-10.1M	1.47	4.75	11,666	17,177	463,102	533,276
2012-11-26	$88.62	$90.00	14.9%	4.3%	18.6%	16.6%	17.2%	4.1%	0.2%	62.3M	-601.8M	-10.0M	1.65	6.38	12,396	20,460	467,158	532,835
2012-11-27	$87.35	$90.00	15.0%	4.3%	19.0%	17.3%	15.4%	4.0%	0.2%	41.0M	-256.0M	-9.9M	1.61	4.70	15,634	25,202	473,074	544,880
2012-11-28	$88.10	$90.00	15.1%	4.3%	19.3%	17.8%	15.6%	3.7%	0.1%	53.1M	-450.5M	-10.0M	0.65	4.95	27,599	18,070	477,534	552,087
2012-11-29	$88.12	$90.00	14.6%	4.2%	19.1%	15.3%	14.5%	3.7%	0.3%	52.2M	-400.6M	-9.8M	0.45	5.63	27,229	12,214	485,977	555,264
2012-11-30	$88.14	$90.00	14.9%	4.2%	19.0%	17.1%	15.5%	4.0%	0.3%	50.3M	-478.7M	-9.8M	0.54	8.20	20,375	10,918	487,981	558,675