XOM Options History — June 2014

In June 2014, XOM traded between $99.94 and $104.38. ATM implied volatility averaged 13.2%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.6% (HV 20d: 9.6%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2014-06-05: Highest Volume — 61,007 contracts
2014-06-16: Largest IV spike — 19.1% change
2014-06-30: Highest IV Rank — 21.2%
2014-06-03: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.88	$99.94	$104.38	$99.94	$100.68
Max Pain	$87.38	$85.00	$87.50	$85.00	$87.50
ATM IV	13.2%	11.8%	15.6%	12.7%	15.6%
Expected Move	4.5%	4.4%	4.6%	4.6%	4.6%
HV 20d	9.6%	7.8%	10.8%	9.6%	10.8%
HV 60d	10.3%	9.8%	11.1%	11.1%	10.4%
IV Rank	8.7%	1.8%	21.2%	6.4%	21.2%
IV Percentile	27.0%	2.0%	78.2%	16.3%	78.2%
Term Structure	0.4%	-0.6%	1.2%	-0.1%	-0.6%
VWIV	16.1%	14.6%	17.9%	16.9%	16.7%
Skew 25d	1.3%	0.3%	2.0%	1.8%	1.1%
Skew 10d	2.9%	1.7%	5.4%	3.1%	2.8%
Call IV 25d	13.0%	11.6%	15.7%	12.1%	15.7%
Put IV 25d	14.3%	13.2%	16.8%	13.9%	16.8%
Bid-Ask Spread %	13.24	11.69	15.16	12.95	13.18
Gamma HHI	0.30	0.18	0.41	0.22	0.28
Net GEX	83.7M	18.1M	161.0M	36.5M	54.3M
Net DEX	-1.18B	-1.92B	-515.4M	-646.2M	-732.0M
Net VEX	-10.7M	-11.3M	-10.1M	-10.1M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.26	4.61	1.54	2.29
Total Volume	32,407.667	12,863	61,007	24,353	36,848
Total OI	784,548.571	698,812	861,012	698,812	758,238

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
2014-06-02	$99.94	$85.00	12.7%	4.6%	9.6%	6.4%	16.9%	1.8%	-0.1%	36.5M	-646.2M	-10.1M	1.54	12.95	9,592	14,761	383,006	315,806
2014-06-03	$100.39	$87.50	12.9%	4.6%	9.2%	7.5%	16.6%	1.5%	-0.1%	52.1M	-751.9M	-10.3M	4.61	13.87	9,325	43,025	385,075	316,846
2014-06-04	$100.04	$87.50	12.6%	4.6%	9.2%	6.0%	17.9%	1.5%	-0.1%	18.1M	-515.4M	-10.9M	1.29	13.37	7,744	9,982	388,518	352,880
2014-06-05	$100.55	$87.50	12.8%	4.6%	9.3%	6.9%	16.1%	1.3%	0.1%	37.5M	-672.8M	-11.0M	0.92	13.21	31,751	29,256	389,970	356,833
2014-06-06	$101.60	$87.50	11.8%	4.5%	9.8%	1.8%	15.8%	1.8%	0.1%	55.8M	-1.05B	-11.2M	0.47	14.06	18,603	8,825	415,727	377,717
2014-06-09	$101.52	$87.50	11.9%	4.5%	9.7%	2.2%	15.4%	1.4%	1.1%	63.5M	-1.06B	-10.9M	0.58	13.68	8,147	4,716	413,198	372,700
2014-06-10	$101.46	$87.50	12.2%	4.5%	9.7%	3.6%	14.6%	2.0%	0.4%	60.5M	-1.08B	-10.9M	0.91	13.40	7,601	6,879	416,931	374,417
2014-06-11	$101.95	$87.50	12.0%	4.6%	9.8%	3.1%	16.1%	1.5%	0.9%	85.7M	-1.24B	-10.9M	0.35	14.18	18,039	6,271	418,957	377,136
2014-06-12	$101.66	$87.50	12.9%	4.6%	9.9%	7.2%	16.1%	1.4%	1.2%	76.9M	-1.17B	-11.1M	0.77	12.99	28,014	21,633	425,043	379,410
2014-06-13	$102.65	$87.50	12.2%	4.4%	8.9%	3.8%	17.0%	2.0%	0.9%	106.6M	-1.43B	-11.3M	0.48	11.69	10,374	4,945	430,036	388,118
2014-06-16	$102.92	$87.50	14.5%	4.5%	8.9%	15.6%	16.5%	0.3%	-0.3%	112.3M	-1.55B	-11.0M	0.30	13.39	42,567	12,833	427,499	382,788
2014-06-17	$102.42	$87.50	14.3%	4.6%	9.1%	14.4%	16.4%	0.7%	-0.5%	89.0M	-1.38B	-11.2M	0.82	12.71	20,584	16,829	455,133	387,000
2014-06-18	$102.73	$87.50	13.8%	4.5%	9.1%	12.0%	14.7%	0.6%	0.5%	118.3M	-1.54B	-11.1M	0.59	14.18	13,788	8,151	462,261	393,792
2014-06-19	$102.63	$87.50	13.3%	4.4%	7.8%	9.4%	16.3%	1.2%	0.6%	102.2M	-1.46B	-11.0M	0.56	12.51	14,324	8,088	463,694	391,144
2014-06-20	$103.83	$87.50	12.9%	4.4%	8.5%	7.4%	15.9%	0.8%	0.5%	161.0M	-1.92B	-10.6M	0.26	12.21	30,946	8,154	467,180	393,832
2014-06-23	$104.38	$87.50	12.6%	4.4%	8.6%	6.0%	14.8%	0.7%	0.5%	146.1M	-1.92B	-10.1M	0.47	12.44	16,703	7,922	423,595	323,689
2014-06-24	$102.73	$87.50	13.1%	4.4%	10.6%	8.3%	16.0%	1.2%	0.9%	114.4M	-1.43B	-10.4M	0.68	13.59	19,005	12,878	426,861	327,622
2014-06-25	$102.14	$87.50	13.9%	4.6%	10.7%	12.6%	16.1%	1.2%	0.4%	96.0M	-1.20B	-10.4M	0.82	13.28	16,044	13,163	427,716	331,772
2014-06-26	$102.03	$87.50	13.9%	4.6%	10.7%	12.5%	16.6%	1.5%	0.8%	100.7M	-1.14B	-10.6M	0.77	12.05	19,165	14,725	432,471	339,107
2014-06-27	$101.21	$87.50	14.4%	4.6%	10.8%	15.1%	16.3%	1.3%	0.7%	70.0M	-908.2M	-10.4M	1.53	15.16	19,088	29,273	437,065	344,737
2014-06-30	$100.68	$87.50	15.6%	4.6%	10.8%	21.2%	16.7%	1.1%	-0.6%	54.3M	-732.0M	-10.4M	2.29	13.18	11,184	25,664	424,836	333,402