XOM Options History — July 2013

In July 2013, XOM traded between $90.30 and $95.20. ATM implied volatility averaged 15.4%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.6% (HV 20d: 11.8%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2013-07-19: Highest Volume — 101,226 contracts
2013-07-31: Largest IV spike — 46.0% change
2013-07-31: Highest IV Rank — 100.0%
2013-07-31: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.37	$90.30	$95.20	$90.30	$93.75
Max Pain	$92.16	$90.00	$92.50	$90.00	$92.50
ATM IV	15.4%	12.4%	31.1%	15.1%	31.1%
Expected Move	4.1%	3.8%	4.9%	4.2%	4.9%
HV 20d	11.8%	7.4%	15.9%	15.9%	8.7%
HV 60d	14.2%	12.6%	15.5%	15.3%	12.6%
IV Rank	25.3%	11.0%	100.0%	23.9%	100.0%
IV Percentile	43.3%	8.7%	100.0%	54.4%	100.0%
Term Structure	-0.7%	-3.9%	2.1%	2.1%	-3.9%
VWIV	15.0%	13.5%	16.3%	15.0%	16.1%
Skew 25d	3.3%	2.6%	4.1%	3.1%	4.1%
Skew 10d	6.9%	5.7%	8.8%	6.2%	7.1%
Call IV 25d	13.0%	12.1%	14.3%	13.5%	14.3%
Put IV 25d	16.3%	15.0%	18.5%	16.6%	18.5%
Bid-Ask Spread %	8.57	4.46	17.91	4.46	17.91
Gamma HHI	0.24	0.16	0.66	0.16	0.19
Net GEX	110.7M	2.8M	391.5M	2.8M	73.0M
Net DEX	-1.13B	-2.23B	-166.8M	-166.8M	-805.6M
Net VEX	-11.0M	-12.0M	-10.6M	-11.9M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.37	2.59	1.44	1.02
Total Volume	41,064.227	9,386	101,226	20,799	57,059
Total OI	1,040,769.909	826,998	1,189,343	1,105,335	884,896

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
2013-07-01	$90.30	$90.00	15.1%	4.2%	15.9%	23.9%	15.0%	3.1%	2.1%	2.8M	-166.8M	-11.9M	1.44	4.46	8,511	12,288	478,993	626,342
2013-07-02	$90.64	$90.00	14.3%	4.3%	15.8%	20.1%	15.4%	3.3%	1.8%	17.0M	-256.7M	-12.0M	0.81	6.25	10,915	8,801	481,402	629,577
2013-07-03	$90.69	$90.00	15.2%	4.3%	15.1%	24.4%	15.4%	3.2%	1.8%	16.5M	-287.5M	-11.9M	0.94	4.84	4,841	4,545	484,922	632,429
2013-07-05	$91.57	$92.50	12.4%	4.3%	15.3%	11.0%	16.1%	3.6%	-0.3%	57.0M	-587.2M	-11.7M	1.02	5.89	12,203	12,488	485,905	633,895
2013-07-08	$92.25	$92.50	13.7%	4.2%	14.8%	17.0%	15.2%	3.6%	-0.8%	102.6M	-987.1M	-11.0M	0.81	7.97	16,370	13,267	484,251	632,865
2013-07-09	$93.34	$92.50	14.6%	4.1%	15.2%	21.4%	14.8%	3.3%	-0.7%	140.6M	-1.41B	-10.7M	0.69	9.50	20,524	14,150	484,959	636,583
2013-07-10	$92.82	$92.50	12.6%	4.1%	15.1%	12.1%	14.5%	3.1%	-0.9%	121.4M	-1.21B	-10.7M	0.42	7.57	66,351	27,896	488,740	640,872
2013-07-11	$93.27	$92.50	14.1%	4.1%	14.7%	19.2%	13.5%	2.8%	-0.9%	128.1M	-1.37B	-11.0M	0.71	9.08	23,042	16,436	499,263	649,685
2013-07-12	$93.40	$92.50	14.1%	4.0%	13.5%	19.1%	14.0%	3.1%	-0.9%	148.0M	-1.43B	-11.1M	1.63	9.27	15,888	25,854	501,950	650,982
2013-07-15	$93.25	$92.50	14.1%	4.0%	13.1%	19.1%	13.8%	3.0%	-1.1%	121.7M	-1.33B	-10.8M	1.27	8.40	17,196	21,850	504,534	662,766
2013-07-16	$93.30	$92.50	14.0%	4.0%	12.7%	18.7%	14.6%	3.2%	-1.0%	139.0M	-1.32B	-10.9M	0.61	8.93	27,222	16,728	507,545	671,640
2013-07-17	$93.46	$92.50	14.2%	4.1%	12.6%	19.6%	14.5%	3.3%	-1.3%	139.8M	-1.36B	-11.0M	0.60	8.35	22,599	13,500	513,551	675,792
2013-07-18	$94.38	$92.50	13.6%	3.9%	12.3%	16.6%	16.0%	3.9%	-0.9%	186.8M	-1.82B	-10.7M	0.82	8.89	41,738	34,200	511,289	626,372
2013-07-19	$95.17	$92.50	13.4%	3.8%	8.8%	15.5%	14.8%	3.7%	-1.1%	391.5M	-2.23B	-10.6M	0.44	7.59	70,313	30,913	519,123	638,082
2013-07-22	$94.83	$92.50	13.8%	3.9%	9.1%	17.5%	16.3%	3.3%	-1.2%	103.2M	-1.34B	-10.7M	2.59	7.97	24,351	63,012	417,623	409,375
2013-07-23	$95.20	$92.50	13.5%	3.9%	7.4%	16.3%	14.4%	3.2%	-1.2%	103.7M	-1.40B	-10.8M	1.10	7.19	19,445	21,449	419,154	435,521
2013-07-24	$94.99	$92.50	13.7%	3.9%	7.6%	17.2%	14.8%	3.4%	-1.2%	93.9M	-1.30B	-10.9M	1.15	9.00	9,438	10,852	423,777	442,993
2013-07-25	$94.97	$92.50	13.4%	3.8%	7.5%	15.9%	14.8%	2.6%	-1.1%	97.4M	-1.30B	-10.8M	1.32	7.82	11,461	15,089	424,746	446,721
2013-07-26	$94.79	$92.50	16.1%	3.9%	7.7%	28.8%	14.6%	3.1%	-0.9%	98.3M	-1.18B	-10.9M	0.80	11.00	12,803	10,230	426,494	452,690
2013-07-29	$94.03	$92.50	20.4%	4.1%	8.5%	49.1%	15.5%	3.4%	-1.2%	77.3M	-973.9M	-10.7M	0.37	11.07	17,429	6,397	425,214	449,560
2013-07-30	$93.81	$92.50	21.3%	4.1%	8.6%	53.5%	15.4%	3.5%	-1.3%	76.4M	-911.5M	-11.0M	0.55	9.63	8,911	4,858	431,555	452,310
2013-07-31	$93.75	$92.50	31.1%	4.9%	8.7%	100.0%	16.1%	4.1%	-3.9%	73.0M	-805.6M	-10.8M	1.02	17.91	28,256	28,803	432,266	452,630