XOM Options History — April 2013

In April 2013, XOM traded between $86.08 and $90.77. ATM implied volatility averaged 16.0%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.6% (HV 20d: 12.4%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.47.

Notable Days

2013-04-23: Highest Volume — 144,091 contracts
2013-04-08: Largest IV spike — 35.9% change
2013-04-17: Highest IV Rank — 51.0%
2013-04-17: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.53	$86.08	$90.77	$90.77	$88.99
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	16.0%	13.7%	20.8%	15.0%	13.7%
Expected Move	4.4%	3.7%	6.0%	3.7%	3.8%
HV 20d	12.4%	9.8%	15.1%	10.0%	15.1%
HV 60d	11.6%	10.5%	12.7%	10.9%	12.6%
IV Rank	28.0%	17.4%	51.0%	23.4%	17.4%
IV Percentile	54.2%	23.8%	93.3%	46.4%	23.8%
Term Structure	-0.7%	-3.2%	1.6%	1.6%	0.0%
VWIV	17.5%	13.8%	21.8%	13.8%	16.5%
Skew 25d	5.2%	3.3%	7.6%	3.5%	3.8%
Skew 10d	11.2%	7.4%	15.9%	7.5%	8.3%
Call IV 25d	13.7%	11.7%	17.3%	11.7%	12.5%
Put IV 25d	18.9%	15.2%	24.5%	15.2%	16.3%
Bid-Ask Spread %	6.27	4.31	9.19	5.73	8.93
Gamma HHI	0.16	0.11	0.55	0.14	0.14
Net GEX	-42.2M	-206.6M	17.5M	17.5M	-30.4M
Net DEX	415.1M	-401.0M	1.24B	-401.0M	273.5M
Net VEX	-10.4M	-11.4M	-9.4M	-10.6M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.77	2.62	0.99	1.44
Total Volume	58,377.682	24,907	144,091	24,907	36,433
Total OI	982,981.864	769,810	1,067,628	960,696	968,160

Daily Data (22 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
2013-04-01	$90.77	$90.00	15.0%	3.7%	10.0%	23.4%	13.8%	3.5%	1.6%	17.5M	-401.0M	-10.6M	0.99	5.73	12,533	12,374	410,300	550,396
2013-04-02	$90.58	$90.00	15.6%	3.7%	9.8%	26.0%	14.1%	3.5%	1.3%	14.2M	-330.3M	-10.6M	2.62	6.93	12,311	32,265	413,636	557,699
2013-04-03	$89.93	$90.00	16.7%	3.8%	9.9%	31.3%	15.9%	3.8%	1.5%	-8.3M	22.9M	-10.8M	2.52	6.45	10,001	25,164	417,557	577,818
2013-04-04	$89.77	$90.00	13.8%	3.8%	9.9%	17.6%	14.8%	3.8%	1.5%	-16.0M	128.8M	-10.8M	1.51	6.60	13,367	20,141	419,482	589,215
2013-04-05	$89.01	$90.00	13.8%	4.3%	9.8%	17.4%	16.7%	5.5%	-0.9%	-30.8M	442.5M	-10.7M	1.55	4.86	19,167	29,629	422,912	599,719
2013-04-08	$88.60	$90.00	18.7%	4.8%	9.8%	41.0%	17.3%	5.5%	-1.3%	-32.8M	482.9M	-10.3M	1.93	4.31	13,087	25,232	422,746	595,577
2013-04-09	$88.77	$90.00	16.7%	4.2%	9.8%	31.2%	17.7%	5.4%	-0.6%	-24.2M	413.6M	-10.4M	1.43	4.63	14,698	20,977	425,668	594,135
2013-04-10	$88.68	$90.00	15.5%	4.7%	9.8%	25.9%	17.0%	5.1%	-1.6%	-36.6M	464.0M	-10.2M	1.48	5.16	19,522	28,966	430,468	604,078
2013-04-11	$89.22	$90.00	14.3%	4.1%	10.1%	20.2%	15.8%	4.7%	-0.8%	-18.8M	248.9M	-10.1M	0.81	5.34	15,495	12,518	432,483	605,731
2013-04-12	$88.99	$90.00	14.3%	4.1%	9.8%	19.9%	17.4%	4.6%	-0.5%	-14.4M	339.4M	-10.1M	0.77	5.61	14,684	11,363	437,811	608,082
2013-04-15	$86.49	$90.00	18.4%	5.3%	13.9%	39.7%	20.8%	6.8%	-1.8%	-80.8M	1.12B	-9.5M	1.59	7.12	34,338	54,539	433,448	598,186
2013-04-16	$86.61	$90.00	17.3%	5.0%	13.8%	34.4%	21.8%	6.4%	-1.7%	-73.4M	1.06B	-9.4M	1.33	7.38	28,938	38,592	437,300	605,878
2013-04-17	$86.08	$90.00	20.8%	6.0%	13.9%	51.0%	21.4%	7.3%	-3.2%	-91.3M	1.24B	-9.5M	1.28	4.31	32,927	42,022	441,342	614,544
2013-04-18	$86.62	$90.00	18.0%	5.2%	14.2%	37.8%	21.6%	7.5%	-1.6%	-88.2M	1.05B	-9.7M	0.82	6.67	37,483	30,567	433,852	610,191
2013-04-19	$87.45	$90.00	16.5%	4.7%	14.6%	30.6%	21.2%	7.6%	-1.5%	-206.6M	806.4M	-9.9M	2.04	5.44	34,709	70,724	451,862	615,766
2013-04-22	$88.09	$90.00	15.7%	4.5%	14.1%	26.5%	18.2%	5.9%	-1.8%	-24.2M	260.7M	-9.6M	0.89	9.11	31,205	27,817	320,373	449,437
2013-04-23	$89.30	$90.00	14.2%	4.1%	14.9%	19.7%	17.8%	6.3%	-0.9%	-6.3M	17.3M	-9.8M	2.45	9.06	41,806	102,285	336,626	462,935
2013-04-24	$89.43	$90.00	15.3%	4.4%	14.2%	24.7%	18.4%	6.5%	-1.1%	-18.2M	66.6M	-11.3M	1.65	9.19	37,987	62,586	358,517	530,660
2013-04-25	$88.07	$90.00	14.5%	4.2%	15.0%	20.9%	15.0%	4.2%	-0.9%	-56.2M	474.0M	-11.0M	0.81	4.74	36,595	29,667	374,197	559,756
2013-04-26	$88.00	$90.00	15.3%	4.1%	14.9%	24.7%	16.3%	3.8%	-0.8%	-54.7M	470.7M	-11.2M	1.06	5.89	28,513	30,245	385,724	567,065
2013-04-29	$88.21	$90.00	17.2%	4.3%	14.7%	33.6%	15.9%	3.3%	-1.1%	-47.5M	481.3M	-11.1M	1.47	4.59	20,578	30,259	389,520	564,749
2013-04-30	$88.99	$90.00	13.7%	3.8%	15.1%	17.4%	16.5%	3.8%	0.0%	-30.4M	273.5M	-11.4M	1.44	8.93	14,918	21,515	397,542	570,618