XOM Options History — June 2013

In June 2013, XOM traded between $88.48 and $91.93. ATM implied volatility averaged 16.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.8% (HV 20d: 15.2%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.66.

Notable Days

2013-06-26: Highest Volume — 135,132 contracts
2013-06-10: Largest IV spike — 26.6% change
2013-06-05: Highest IV Rank — 55.8%
2013-06-24: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.38	$88.48	$91.93	$91.46	$90.35
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	16.9%	13.3%	21.8%	16.2%	13.3%
Expected Move	4.7%	4.0%	5.9%	4.0%	4.2%
HV 20d	15.2%	12.7%	17.5%	12.7%	16.4%
HV 60d	14.6%	13.5%	15.4%	13.5%	15.4%
IV Rank	32.7%	15.0%	55.8%	29.0%	15.0%
IV Percentile	69.0%	17.5%	96.0%	64.7%	17.5%
Term Structure	0.7%	-0.4%	2.3%	0.3%	2.3%
VWIV	18.2%	15.3%	21.2%	17.5%	15.7%
Skew 25d	4.9%	2.2%	7.5%	3.9%	2.2%
Skew 10d	10.3%	4.5%	14.2%	9.8%	4.5%
Call IV 25d	15.0%	13.6%	17.3%	13.9%	13.9%
Put IV 25d	19.8%	16.1%	24.7%	17.8%	16.1%
Bid-Ask Spread %	6.60	3.91	8.89	7.69	6.88
Gamma HHI	0.16	0.13	0.20	0.13	0.17
Net GEX	-24.4M	-92.3M	41.5M	-5.2M	-10.1M
Net DEX	77.4M	-696.1M	912.8M	-264.8M	-146.4M
Net VEX	-13.9M	-14.7M	-12.1M	-14.1M	-12.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.80	3.02	1.71	1.66
Total Volume	76,050.35	41,034	135,132	70,915	43,083
Total OI	1,261,120.4	1,121,461	1,382,270	1,202,789	1,121,461

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
2013-06-03	$91.46	$90.00	16.2%	4.0%	12.7%	29.0%	17.5%	3.9%	0.3%	-5.2M	-264.8M	-14.1M	1.71	7.69	26,201	44,714	476,822	725,967
2013-06-04	$90.79	$90.00	19.6%	4.6%	12.9%	45.0%	17.1%	3.4%	0.2%	-26.3M	-1.1M	-14.4M	0.98	8.40	34,042	33,217	481,643	741,468
2013-06-05	$89.65	$90.00	21.8%	4.8%	13.4%	55.8%	19.0%	3.4%	-0.1%	-60.4M	446.0M	-14.5M	1.51	5.30	27,740	41,898	493,294	748,424
2013-06-06	$90.23	$90.00	18.3%	4.9%	13.5%	39.2%	19.8%	4.1%	0.0%	-48.2M	225.3M	-14.7M	1.93	8.62	25,736	49,768	501,286	754,106
2013-06-07	$91.45	$90.00	14.3%	4.2%	14.1%	20.2%	17.7%	4.2%	0.9%	6.5M	-399.9M	-14.2M	1.32	7.00	31,542	41,559	506,979	760,224
2013-06-10	$91.12	$90.00	18.1%	4.6%	13.7%	38.4%	17.2%	4.8%	0.5%	1.4M	-270.3M	-14.1M	2.34	6.35	19,689	46,109	514,013	759,667
2013-06-11	$90.46	$90.00	18.5%	4.8%	14.0%	40.2%	19.3%	6.0%	0.3%	-22.6M	108.7M	-14.2M	1.90	6.34	20,939	39,826	516,712	762,673
2013-06-12	$89.74	$90.00	16.7%	4.9%	13.6%	31.5%	19.4%	5.8%	0.3%	-42.5M	358.5M	-14.2M	2.48	7.00	19,136	47,540	521,637	777,095
2013-06-13	$91.33	$90.00	15.4%	4.4%	15.1%	25.4%	19.2%	5.7%	1.0%	7.3M	-267.7M	-14.4M	1.38	7.37	26,844	37,094	525,211	788,209
2013-06-14	$90.58	$90.00	17.4%	5.0%	15.3%	34.8%	19.9%	6.1%	0.4%	-13.6M	67.0M	-14.5M	2.08	6.30	13,316	27,718	529,450	796,050
2013-06-17	$91.51	$90.00	15.1%	4.3%	15.1%	24.0%	18.4%	6.2%	1.0%	21.7M	-365.3M	-14.0M	0.95	6.87	36,019	34,338	528,714	798,682
2013-06-18	$91.93	$90.00	14.8%	4.2%	14.9%	22.3%	15.9%	5.0%	1.0%	41.5M	-696.1M	-13.8M	1.10	7.50	36,006	39,682	532,613	811,806
2013-06-19	$91.00	$90.00	16.0%	4.6%	15.2%	28.0%	15.3%	4.8%	1.0%	-3.0M	-240.2M	-13.9M	0.89	8.89	35,188	31,303	535,253	825,487
2013-06-20	$89.05	$90.00	18.5%	5.3%	16.8%	40.0%	21.2%	7.5%	0.3%	-92.3M	912.8M	-14.2M	1.35	5.73	51,110	69,235	529,260	817,205
2013-06-21	$89.48	$90.00	17.0%	4.9%	17.0%	33.0%	17.6%	7.5%	1.0%	-72.4M	710.5M	-14.0M	0.80	6.68	51,220	41,028	546,488	835,782
2013-06-24	$88.48	$90.00	20.6%	5.9%	17.3%	49.9%	20.4%	6.6%	-0.4%	-75.3M	822.9M	-13.9M	2.32	5.46	28,537	66,147	481,253	710,623
2013-06-25	$89.11	$90.00	16.9%	4.8%	17.2%	32.3%	19.0%	4.4%	0.8%	-58.1M	459.9M	-13.4M	1.64	4.52	37,197	61,167	486,328	690,808
2013-06-26	$89.80	$90.00	15.5%	4.5%	17.5%	25.9%	18.1%	3.5%	1.2%	-29.6M	152.1M	-13.0M	3.02	5.21	33,619	101,513	486,388	673,482
2013-06-27	$90.04	$90.00	14.9%	4.3%	17.5%	23.1%	16.8%	2.5%	1.9%	-7.4M	-63.7M	-12.6M	1.77	3.91	25,280	44,707	485,031	644,814
2013-06-28	$90.35	$90.00	13.3%	4.2%	16.4%	15.0%	15.7%	2.2%	2.3%	-10.1M	-146.4M	-12.1M	1.66	6.88	16,206	26,877	487,220	634,241