XOM Options History — May 2013

In May 2013, XOM traded between $87.51 and $92.80. ATM implied volatility averaged 14.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.7% (HV 20d: 15.3%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.33.

Notable Days

2013-05-08: Highest Volume — 1,175,647 contracts
2013-05-08: Largest IV drop — 38.8% change
2013-05-01: Highest IV Rank — 39.6%
2013-05-02: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.07	$87.51	$92.80	$87.51	$90.47
Max Pain	$89.66	$87.50	$90.00	$90.00	$90.00
ATM IV	14.6%	11.2%	18.4%	18.4%	16.8%
Expected Move	3.9%	3.4%	4.4%	4.3%	4.4%
HV 20d	15.3%	12.0%	18.1%	16.0%	13.3%
HV 60d	13.2%	12.9%	13.6%	12.9%	13.4%
IV Rank	21.4%	5.2%	39.6%	39.6%	32.0%
IV Percentile	36.7%	2.0%	83.3%	83.3%	69.0%
Term Structure	0.2%	-1.2%	0.8%	-0.2%	0.2%
VWIV	15.6%	14.1%	18.2%	15.7%	16.0%
Skew 25d	4.0%	3.2%	5.2%	3.8%	3.7%
Skew 10d	9.3%	6.9%	12.7%	8.2%	7.7%
Call IV 25d	12.5%	11.6%	14.0%	13.7%	14.0%
Put IV 25d	16.6%	14.9%	18.3%	17.5%	17.7%
Bid-Ask Spread %	6.42	4.59	8.70	5.28	8.70
Gamma HHI	0.15	0.13	0.35	0.14	0.14
Net GEX	8.3M	-55.2M	120.5M	-55.2M	-24.7M
Net DEX	-344.5M	-907.2M	647.5M	647.5M	61.2M
Net VEX	-13.0M	-14.6M	-10.9M	-11.0M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.06	3.31	0.85	0.90
Total Volume	108,620.227	28,410	1,175,647	28,410	60,441
Total OI	1,107,706.409	973,330	1,188,679	973,330	1,188,679

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
2013-05-01	$87.51	$90.00	18.4%	4.3%	16.0%	39.6%	15.7%	3.8%	-0.2%	-55.2M	647.5M	-11.0M	0.85	5.28	15,332	13,078	403,085	570,245
2013-05-02	$88.63	$90.00	18.0%	4.4%	16.8%	37.8%	17.2%	4.3%	-1.2%	-25.9M	273.4M	-11.0M	1.43	7.77	18,044	25,857	409,604	571,512
2013-05-03	$90.02	$90.00	14.8%	3.8%	17.4%	22.7%	15.5%	3.6%	0.5%	120.5M	-122.0M	-11.7M	1.10	6.41	33,432	36,929	415,480	578,959
2013-05-06	$90.58	$87.50	17.7%	3.9%	17.4%	36.2%	14.4%	4.0%	0.2%	22.2M	-414.3M	-10.9M	1.87	5.53	37,619	70,322	413,456	621,010
2013-05-07	$91.15	$87.50	18.3%	3.8%	17.5%	38.9%	16.1%	4.6%	0.3%	25.7M	-463.9M	-12.5M	0.79	5.58	27,422	21,751	429,366	670,644
2013-05-08	$91.70	$87.50	11.2%	3.4%	17.6%	5.2%	17.1%	4.1%	0.4%	42.0M	-693.8M	-12.3M	0.06	5.87	1,111,001	64,646	435,495	682,145
2013-05-09	$91.03	$90.00	13.2%	3.8%	17.8%	15.0%	14.4%	3.3%	0.3%	-4.6M	-306.6M	-12.8M	0.83	4.83	31,236	26,066	396,971	724,871
2013-05-10	$90.14	$90.00	12.9%	3.7%	18.1%	13.2%	15.4%	4.0%	0.4%	-49.5M	-1.7M	-13.1M	1.73	5.81	19,201	33,303	407,407	732,213
2013-05-13	$90.10	$90.00	13.9%	3.8%	14.5%	18.2%	14.4%	4.0%	0.2%	-39.7M	50.6M	-12.8M	2.16	4.59	10,750	23,247	408,566	736,547
2013-05-14	$91.11	$90.00	16.0%	3.9%	14.9%	27.9%	15.3%	4.0%	0.2%	-13.3M	-272.2M	-13.0M	1.28	6.41	15,894	20,353	411,035	744,628
2013-05-15	$91.24	$90.00	15.9%	4.0%	14.6%	27.6%	15.2%	4.0%	-0.1%	970.4K	-326.3M	-13.1M	1.06	5.70	17,009	18,027	415,589	750,443
2013-05-16	$90.70	$90.00	13.7%	3.9%	14.8%	17.4%	16.8%	4.2%	0.1%	-26.5M	-130.4M	-13.2M	3.31	7.66	8,141	26,927	417,491	748,828
2013-05-17	$91.76	$90.00	12.8%	3.7%	15.0%	13.1%	14.3%	3.2%	0.4%	32.8M	-635.1M	-12.8M	0.84	7.79	46,780	39,066	420,046	760,181
2013-05-20	$92.52	$90.00	13.4%	3.8%	15.0%	15.5%	16.5%	4.3%	-0.0%	45.1M	-842.9M	-13.2M	1.00	5.85	52,503	52,333	404,292	599,200
2013-05-21	$92.80	$90.00	13.5%	3.9%	14.4%	16.4%	17.0%	4.7%	0.0%	48.2M	-907.2M	-13.7M	1.46	7.12	38,854	56,560	422,270	629,584
2013-05-22	$92.19	$90.00	13.2%	3.8%	14.7%	14.8%	15.2%	4.2%	0.5%	30.9M	-686.5M	-14.2M	0.98	6.57	43,428	42,758	430,924	660,578
2013-05-23	$91.79	$90.00	13.6%	3.9%	13.5%	16.8%	15.0%	5.2%	0.4%	10.7M	-419.5M	-14.6M	0.65	6.51	30,684	19,881	444,892	682,650
2013-05-24	$91.53	$90.00	13.0%	3.7%	13.6%	13.8%	14.5%	4.1%	0.8%	11.1M	-471.0M	-14.3M	1.03	5.95	18,583	19,177	456,328	690,863
2013-05-28	$92.38	$90.00	13.4%	3.9%	13.9%	16.0%	14.8%	3.6%	0.5%	24.1M	-770.1M	-13.9M	1.55	7.55	22,744	35,290	450,845	690,565
2013-05-29	$92.08	$90.00	13.3%	3.8%	13.8%	15.4%	14.1%	4.1%	0.7%	7.3M	-589.6M	-14.3M	2.44	5.68	11,714	28,548	456,299	707,857
2013-05-30	$92.09	$90.00	13.7%	3.9%	12.0%	17.3%	18.2%	4.0%	0.6%	1.6M	-558.2M	-14.4M	1.87	8.20	15,585	29,129	459,004	718,894
2013-05-31	$90.47	$90.00	16.8%	4.4%	13.3%	32.0%	16.0%	3.7%	0.2%	-24.7M	61.2M	-14.2M	0.90	8.70	31,830	28,611	464,512	724,167