XOM Options History — September 2013

In September 2013, XOM traded between $86.04 and $89.58. ATM implied volatility averaged 14.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.6% (HV 20d: 13.4%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2013-09-20: Highest Volume — 80,866 contracts
2013-09-30: Largest IV spike — 22.9% change
2013-09-30: Highest IV Rank — 32.9%
2013-09-30: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.90	$86.04	$89.58	$87.15	$86.04
Max Pain	$86.18	$75.00	$90.00	$90.00	$80.00
ATM IV	14.0%	12.3%	17.0%	16.8%	17.0%
Expected Move	4.7%	3.7%	5.4%	4.5%	5.4%
HV 20d	13.4%	9.5%	14.5%	13.5%	10.1%
HV 60d	11.8%	11.1%	12.8%	12.7%	11.2%
IV Rank	18.5%	10.5%	32.9%	31.9%	32.9%
IV Percentile	35.9%	8.3%	81.0%	77.0%	81.0%
Term Structure	1.0%	-0.0%	1.5%	-0.0%	0.9%
VWIV	17.2%	13.1%	21.4%	16.6%	18.0%
Skew 25d	2.1%	1.3%	2.5%	1.3%	2.5%
Skew 10d	4.5%	3.2%	5.9%	3.2%	5.5%
Call IV 25d	13.4%	12.1%	15.6%	15.6%	15.0%
Put IV 25d	15.5%	14.3%	17.5%	17.0%	17.5%
Bid-Ask Spread %	5.26	3.27	7.87	6.45	4.20
Gamma HHI	0.17	0.14	0.22	0.17	0.22
Net GEX	-405.8K	-27.1M	34.6M	-7.2M	-27.1M
Net DEX	121.3M	-362.5M	509.1M	276.2M	509.1M
Net VEX	-8.2M	-8.9M	-7.6M	-8.8M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.17	2.54	0.51	1.04
Total Volume	35,164.2	17,635	80,866	25,057	56,753
Total OI	933,868.75	869,395	985,665	904,595	928,674

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
2013-09-03	$87.15	$90.00	16.8%	4.5%	13.5%	31.9%	16.6%	1.3%	-0.0%	-7.2M	276.2M	-8.8M	0.51	6.45	16,558	8,499	472,298	432,297
2013-09-04	$87.76	$90.00	15.8%	4.2%	13.9%	27.3%	14.8%	1.7%	0.3%	-1.2M	147.4M	-8.9M	0.29	6.90	17,518	5,144	475,723	436,385
2013-09-05	$87.35	$90.00	14.0%	4.0%	14.0%	18.5%	14.4%	1.4%	0.7%	-6.7M	259.3M	-8.6M	0.34	4.10	27,517	9,391	480,658	438,460
2013-09-06	$87.25	$90.00	13.8%	4.2%	13.7%	17.4%	15.1%	2.5%	1.2%	-3.9M	297.3M	-8.6M	0.63	6.82	20,565	12,916	496,834	443,572
2013-09-09	$88.04	$90.00	15.3%	4.2%	13.9%	24.6%	14.8%	2.5%	1.0%	2.0M	110.7M	-8.6M	0.39	7.16	21,035	8,229	500,594	445,092
2013-09-10	$87.82	$90.00	14.6%	4.1%	13.6%	21.4%	14.3%	2.2%	1.3%	-1.1M	151.5M	-8.4M	0.56	7.45	17,635	9,898	503,833	446,944
2013-09-11	$88.84	$90.00	12.4%	3.7%	14.2%	10.9%	13.4%	2.3%	1.3%	18.0M	-146.6M	-8.7M	0.32	6.43	29,475	9,345	501,039	448,883
2013-09-12	$87.98	$90.00	13.7%	3.9%	14.5%	17.0%	13.5%	2.1%	1.3%	-3.8M	210.1M	-8.2M	0.57	7.87	11,249	6,386	508,083	449,737
2013-09-13	$88.40	$90.00	13.6%	3.9%	14.3%	16.8%	13.1%	2.3%	1.1%	7.7M	-3.6M	-8.3M	0.22	7.19	28,604	6,247	511,202	451,429
2013-09-16	$88.67	$0.00	14.0%	5.4%	14.2%	18.5%	19.9%	2.3%	1.3%	12.2M	-59.9M	-8.2M	0.47	4.69	15,999	7,462	507,607	449,373
2013-09-17	$88.94	$75.00	12.5%	5.2%	13.6%	11.4%	18.9%	2.4%	1.3%	16.7M	-118.4M	-8.3M	0.67	3.35	15,016	10,096	510,285	450,241
2013-09-18	$89.58	$75.00	12.3%	5.1%	13.7%	10.6%	18.5%	2.2%	1.5%	34.6M	-362.5M	-8.1M	0.72	3.43	24,115	17,345	514,065	451,293
2013-09-19	$89.28	$87.50	12.3%	5.1%	13.6%	10.5%	18.9%	2.1%	1.4%	32.4M	-219.6M	-8.0M	1.14	3.27	21,104	24,093	512,948	454,556
2013-09-20	$88.66	$87.50	14.0%	5.3%	13.8%	18.5%	18.4%	2.2%	0.9%	9.0M	-28.9M	-8.1M	2.54	3.46	22,876	57,990	519,987	465,678
2013-09-23	$87.75	$87.50	13.7%	5.2%	14.2%	17.2%	19.7%	2.3%	0.9%	-11.6M	179.0M	-7.9M	0.55	4.07	18,067	9,863	450,023	419,372
2013-09-24	$87.36	$87.50	13.5%	5.1%	14.2%	16.2%	21.4%	1.9%	1.0%	-14.5M	246.9M	-7.6M	1.53	4.06	12,119	18,582	452,937	423,347
2013-09-25	$87.14	$87.50	13.4%	5.2%	14.2%	15.5%	20.6%	2.0%	1.2%	-26.6M	332.7M	-7.8M	0.40	5.00	14,511	5,769	456,920	431,994
2013-09-26	$87.07	$80.00	13.1%	5.2%	11.4%	14.5%	18.9%	1.8%	1.1%	-23.6M	327.7M	-7.6M	0.17	4.91	48,253	7,978	464,036	434,078
2013-09-27	$86.90	$80.00	13.8%	5.2%	9.5%	17.8%	21.2%	2.3%	1.2%	-13.5M	318.8M	-8.1M	0.44	4.33	20,241	8,841	499,202	437,696
2013-09-30	$86.04	$80.00	17.0%	5.4%	10.1%	32.9%	18.0%	2.5%	0.9%	-27.1M	509.1M	-7.6M	1.04	4.20	27,752	29,001	494,464	434,210