XOM Options History — December 2012

In December 2012, XOM traded between $85.10 and $89.56. ATM implied volatility averaged 16.9%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.8% (HV 20d: 13.1%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.29.

Notable Days

2012-12-21: Highest Volume — 142,455 contracts
2012-12-28: Largest IV spike — 26.5% change
2012-12-28: Highest IV Rank — 55.5%
2012-12-28: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.91	$85.10	$89.56	$87.61	$86.55
Max Pain	$88.00	$87.50	$90.00	$90.00	$87.50
ATM IV	16.9%	13.8%	22.4%	17.7%	20.7%
Expected Move	4.6%	4.0%	6.0%	4.4%	5.1%
HV 20d	13.1%	10.9%	18.5%	18.5%	15.2%
HV 60d	14.6%	14.1%	15.7%	15.3%	15.7%
IV Rank	27.2%	11.4%	55.5%	31.1%	46.8%
IV Percentile	54.9%	16.3%	96.0%	65.9%	93.7%
Term Structure	0.3%	-1.0%	1.1%	-0.1%	-0.3%
VWIV	17.3%	14.6%	21.9%	15.6%	20.1%
Skew 25d	4.8%	3.7%	6.8%	3.8%	5.1%
Skew 10d	10.6%	7.7%	15.5%	8.4%	12.9%
Call IV 25d	14.7%	13.2%	18.7%	14.2%	17.0%
Put IV 25d	19.5%	17.2%	24.7%	18.0%	22.0%
Bid-Ask Spread %	5.37	2.26	7.76	5.80	6.29
Gamma HHI	0.20	0.13	0.29	0.18	0.15
Net GEX	40.8M	-22.5M	83.4M	45.0M	9.1M
Net DEX	-307.1M	-874.0M	467.0M	-320.0M	202.2M
Net VEX	-9.6M	-10.0M	-9.3M	-9.8M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.28	5.42	0.81	0.74
Total Volume	48,552.25	20,690	142,455	29,508	73,468
Total OI	1,078,801.65	1,035,012	1,130,674	1,046,555	1,090,829

Daily Data (20 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
2012-12-03	$87.61	$90.00	17.7%	4.4%	18.5%	31.1%	15.6%	3.8%	-0.1%	45.0M	-320.0M	-9.8M	0.81	5.80	16,318	13,190	488,847	557,708
2012-12-04	$87.19	$90.00	17.6%	4.5%	18.4%	30.7%	16.6%	4.1%	0.0%	34.9M	-192.1M	-9.7M	0.74	6.67	14,924	11,109	490,577	562,735
2012-12-05	$87.73	$90.00	19.3%	4.5%	18.0%	39.7%	15.3%	3.9%	0.1%	45.0M	-337.4M	-9.8M	0.85	7.76	17,378	14,834	491,293	565,820
2012-12-06	$88.00	$90.00	16.1%	4.4%	12.0%	23.1%	15.3%	4.0%	0.2%	37.8M	-346.5M	-9.8M	1.06	5.88	13,199	13,954	492,343	571,060
2012-12-07	$88.60	$87.50	15.7%	4.5%	11.3%	21.0%	16.4%	4.0%	0.3%	57.5M	-549.5M	-10.0M	1.73	4.99	10,935	18,911	493,217	571,702
2012-12-10	$88.41	$87.50	18.5%	4.7%	11.4%	35.5%	16.8%	4.6%	-0.0%	53.2M	-483.9M	-9.6M	2.57	4.61	5,798	14,892	492,531	568,744
2012-12-11	$88.99	$87.50	14.6%	4.0%	11.5%	15.3%	15.5%	4.3%	1.1%	64.6M	-643.2M	-9.8M	0.56	5.63	29,510	16,400	493,884	575,688
2012-12-12	$89.45	$87.50	13.8%	4.1%	10.9%	11.4%	14.6%	3.7%	0.8%	83.4M	-874.0M	-9.5M	0.78	5.54	27,893	21,854	495,408	581,005
2012-12-13	$88.58	$87.50	16.0%	4.6%	11.4%	22.6%	15.9%	3.9%	0.2%	55.3M	-545.7M	-9.4M	1.00	4.93	12,100	12,069	500,536	591,049
2012-12-14	$88.08	$87.50	16.1%	4.6%	11.7%	23.0%	16.3%	4.3%	0.3%	31.1M	-310.0M	-9.4M	0.92	4.24	13,502	12,446	500,874	593,203
2012-12-17	$88.87	$87.50	14.3%	4.1%	12.0%	13.6%	16.6%	4.8%	1.1%	63.8M	-552.3M	-9.4M	5.42	4.19	10,921	59,175	497,297	591,319
2012-12-18	$89.56	$87.50	14.4%	4.1%	11.3%	14.5%	16.7%	4.6%	0.9%	81.0M	-729.0M	-9.6M	1.07	5.02	18,762	20,001	497,626	611,060
2012-12-19	$88.44	$87.50	16.6%	4.8%	12.3%	25.7%	17.5%	4.5%	-0.2%	46.1M	-411.3M	-9.3M	1.51	4.74	15,209	22,994	497,568	619,785
2012-12-20	$88.89	$87.50	15.3%	4.4%	12.3%	18.7%	18.4%	4.9%	0.7%	62.6M	-563.0M	-9.6M	0.59	6.04	42,009	24,755	497,905	623,102
2012-12-21	$87.23	$87.50	17.0%	4.9%	13.2%	27.5%	19.1%	6.6%	0.7%	7.9M	-21.5M	-9.6M	1.79	6.71	51,123	91,332	499,288	631,386
2012-12-24	$86.92	$87.50	16.9%	4.8%	13.2%	27.1%	17.2%	6.5%	0.7%	18.9M	21.1M	-9.5M	0.28	2.26	33,125	9,419	457,664	577,348
2012-12-26	$87.07	$87.50	17.2%	4.9%	12.2%	28.8%	19.7%	6.8%	0.4%	15.1M	67.4M	-9.5M	0.45	4.58	43,027	19,218	468,780	578,528
2012-12-27	$86.86	$87.50	17.7%	5.1%	11.8%	31.3%	20.0%	5.9%	0.2%	25.4M	-20.1M	-9.8M	1.26	4.72	24,329	30,698	482,446	587,165
2012-12-28	$85.10	$87.50	22.4%	6.0%	13.7%	55.5%	21.9%	6.0%	-1.0%	-22.5M	467.0M	-9.5M	1.71	6.71	25,891	44,373	488,154	600,559
2012-12-31	$86.55	$87.50	20.7%	5.1%	15.2%	46.8%	20.1%	5.1%	-0.3%	9.1M	202.2M	-9.4M	0.74	6.29	42,274	31,194	486,922	603,907