XOM Options History — March 2014

In March 2014, XOM traded between $93.47 and $97.70. ATM implied volatility averaged 15.4%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.1% (HV 20d: 17.5%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2014-03-05: Highest Volume — 90,238 contracts
2014-03-17: Largest IV drop — 10.2% change
2014-03-14: Highest IV Rank — 31.6%
2014-03-13: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.90	$93.47	$97.70	$95.50	$97.68
Max Pain	$77.14	$75.00	$77.50	$75.00	$77.50
ATM IV	15.4%	14.3%	17.1%	16.2%	15.2%
Expected Move	5.0%	4.9%	5.1%	5.0%	4.9%
HV 20d	17.5%	15.3%	19.6%	17.7%	17.1%
HV 60d	17.7%	16.8%	18.7%	17.6%	17.0%
IV Rank	22.6%	15.6%	31.6%	28.9%	20.0%
IV Percentile	63.9%	45.2%	86.5%	78.2%	58.7%
Term Structure	0.1%	-1.0%	0.9%	-0.3%	0.6%
VWIV	17.6%	16.5%	18.8%	17.4%	17.4%
Skew 25d	2.2%	1.8%	2.9%	2.4%	2.4%
Skew 10d	4.7%	3.6%	6.6%	5.4%	4.3%
Call IV 25d	14.8%	14.0%	16.1%	15.2%	14.8%
Put IV 25d	17.0%	16.1%	19.0%	17.6%	17.2%
Bid-Ask Spread %	8.89	7.52	9.95	8.08	9.30
Gamma HHI	0.16	0.13	0.22	0.18	0.22
Net GEX	86.5M	28.6M	174.2M	91.4M	166.2M
Net DEX	-783.4M	-1.85B	-290.3M	-945.7M	-1.66B
Net VEX	-10.8M	-11.2M	-10.4M	-11.1M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.20	1.30	0.70	0.51
Total Volume	43,180.095	15,041	90,238	39,335	43,693
Total OI	812,581.143	755,522	873,047	755,522	806,318

Daily Data (21 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
2014-03-03	$95.50	$75.00	16.2%	5.0%	17.7%	28.9%	17.4%	2.4%	-0.3%	91.4M	-945.7M	-11.1M	0.70	8.08	23,070	16,265	448,639	306,883
2014-03-04	$96.52	$75.00	14.9%	4.9%	15.3%	22.9%	16.6%	2.1%	0.0%	114.8M	-1.23B	-11.0M	0.85	8.68	17,926	15,217	455,978	313,076
2014-03-05	$93.80	$75.00	16.0%	5.0%	19.0%	27.9%	18.4%	2.5%	-0.0%	52.9M	-450.1M	-10.7M	0.71	9.36	52,712	37,526	459,304	318,614
2014-03-06	$93.76	$77.50	15.6%	5.0%	18.9%	26.2%	16.9%	2.1%	0.0%	50.6M	-389.9M	-10.8M	0.75	8.88	21,592	16,103	475,143	334,595
2014-03-07	$94.99	$77.50	15.3%	4.9%	19.3%	25.0%	17.8%	2.0%	0.1%	28.6M	-788.1M	-11.2M	0.82	7.52	28,672	23,437	478,224	338,800
2014-03-10	$95.50	$77.50	15.6%	5.0%	19.2%	26.1%	17.8%	2.2%	-0.5%	89.4M	-932.6M	-11.1M	1.03	8.30	11,942	12,336	467,482	337,446
2014-03-11	$94.01	$77.50	15.9%	5.0%	19.6%	25.9%	18.2%	2.2%	-1.0%	48.7M	-440.2M	-10.6M	1.24	8.12	17,170	21,290	470,111	342,152
2014-03-12	$94.21	$77.50	15.8%	4.9%	19.1%	25.6%	16.7%	2.3%	-0.9%	57.3M	-498.9M	-10.8M	0.56	8.73	22,876	12,810	474,190	342,646
2014-03-13	$93.64	$77.50	16.4%	5.1%	19.3%	28.2%	18.8%	2.4%	0.1%	51.7M	-374.2M	-10.9M	1.13	8.69	18,148	20,577	482,254	347,223
2014-03-14	$93.47	$77.50	17.1%	5.1%	19.3%	31.6%	17.5%	2.9%	-0.4%	50.7M	-290.3M	-10.9M	0.84	8.57	23,482	19,698	486,778	353,027
2014-03-17	$94.32	$77.50	15.4%	5.0%	16.6%	23.0%	17.2%	2.8%	0.9%	77.8M	-564.8M	-10.6M	0.39	8.31	21,987	8,579	479,842	342,874
2014-03-18	$94.71	$77.50	14.7%	5.0%	16.6%	17.8%	17.3%	2.3%	0.7%	94.4M	-730.7M	-10.8M	0.20	8.91	44,760	8,814	488,772	344,217
2014-03-19	$93.73	$77.50	15.4%	5.1%	17.1%	21.4%	18.5%	2.3%	-0.3%	73.7M	-457.9M	-10.4M	0.64	9.79	23,257	14,973	518,459	344,935
2014-03-20	$94.58	$77.50	14.4%	5.0%	16.5%	16.0%	17.7%	2.3%	0.5%	116.4M	-712.1M	-10.6M	0.30	8.51	50,771	15,294	523,484	343,957
2014-03-21	$94.31	$77.50	14.3%	4.9%	16.5%	15.6%	18.7%	2.0%	0.7%	84.5M	-634.2M	-10.6M	0.38	9.45	24,077	9,203	524,709	348,338
2014-03-24	$94.64	$77.50	14.6%	4.9%	15.6%	17.1%	17.5%	1.9%	0.7%	84.2M	-731.9M	-10.4M	1.12	9.75	10,391	11,678	459,738	313,126
2014-03-25	$94.91	$77.50	14.5%	4.9%	15.6%	16.4%	17.7%	1.8%	0.6%	95.0M	-829.1M	-10.5M	0.64	8.86	9,164	5,877	463,468	318,376
2014-03-26	$94.70	$77.50	14.7%	4.9%	15.5%	17.5%	17.3%	2.1%	0.4%	88.5M	-735.4M	-10.4M	1.30	9.20	13,523	17,639	466,982	320,664
2014-03-27	$96.24	$77.50	15.8%	5.0%	16.6%	22.9%	17.7%	2.1%	-0.1%	124.7M	-1.21B	-10.9M	0.31	9.95	56,202	17,359	467,954	327,890
2014-03-28	$97.70	$77.50	15.0%	4.9%	17.4%	19.3%	16.5%	2.0%	0.4%	174.2M	-1.85B	-11.2M	0.60	9.73	41,764	24,928	495,521	332,015
2014-03-31	$97.68	$77.50	15.2%	4.9%	17.1%	20.0%	17.4%	2.4%	0.6%	166.2M	-1.66B	-10.8M	0.51	9.30	29,005	14,688	481,442	324,876