OXY Options History — January 2007

In January 2007, OXY traded between $41.34 and $44.84. ATM implied volatility averaged 31.5%. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.6% (HV 20d: 32.1%). Max pain ranged from $43.19 to $45.59. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2007-01-23: Highest Volume — 47,984 contracts
  • 2007-01-25: Largest IV drop — 8.4% change
  • 2007-01-10: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.04$41.34$44.84$44.84$44.49
Max Pain$44.63$43.19$45.59$43.19$43.19
ATM IV31.5%27.1%35.6%31.0%27.1%
Expected Move9.2%7.8%10.3%8.9%7.8%
HV 20d32.1%30.9%33.6%33.6%30.9%
Term Structure-1.3%-3.8%4.1%1.9%1.8%
VWIV32.1%28.0%37.2%30.6%28.4%
Skew 25d1.7%0.6%2.9%1.8%2.8%
Skew 10d2.8%-4.3%5.8%2.9%5.2%
Call IV 25d31.6%26.5%35.5%30.6%26.5%
Put IV 25d33.3%28.6%37.4%32.4%29.3%
Bid-Ask Spread %10.576.0818.258.179.23
Gamma HHI0.180.130.470.150.13
Net GEX-4.2M-10.5M623.9K-2.3M623.9K
Net DEX27.6M-58.6M115.3M-58.6M-25.8M
Net VEX-1.8M-1.8M-1.7M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.265.350.535.35
Total Volume15,538.455,23447,9846,9878,735
Total OI312,558.4210,394392,223335,672237,388

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$44.84$43.1931.0%8.9%0.0%0.0%30.6%1.8%1.9%-2.3M-58.6M-1.7M0.538.17N/AN/A4,5812,406123,670212,002
2007-01-04$43.92$43.1930.8%8.8%0.0%0.0%31.0%0.8%4.1%-3.6M-16.4M-1.7M0.838.28N/AN/A16,07813,376124,715212,421
2007-01-05$43.62$45.5930.3%10.2%0.0%0.0%35.3%2.1%-2.5%-3.6M-10.4M-1.8M1.839.49N/AN/A8,04614,693131,790219,719
2007-01-08$43.50$45.5931.9%10.2%0.0%0.0%35.5%1.2%-2.7%-5.0M-8.7M-1.8M0.2612.66N/AN/A5,7471,478133,725228,961
2007-01-09$41.90$45.5932.7%10.2%0.0%0.0%34.9%2.9%-3.4%-7.2M88.4M-1.8M2.769.73N/AN/A5,57215,399134,501227,881
2007-01-10$41.39$45.5933.2%10.3%0.0%0.0%37.2%2.4%-3.6%-7.7M115.3M-1.8M2.718.50N/AN/A12,59234,149136,256230,893
2007-01-11$41.34$45.5935.6%10.2%0.0%0.0%35.4%2.5%-3.6%-8.1M106.3M-1.8M1.9911.77N/AN/A5,23210,392141,706237,918
2007-01-12$42.61$45.5934.0%9.7%0.0%0.0%35.1%2.3%-2.5%-6.8M25.3M-1.8M0.9411.91N/AN/A4,5024,235141,664243,012
2007-01-16$41.81$45.5935.5%10.2%0.0%0.0%34.6%2.9%-3.8%-8.5M78.9M-1.8M1.9110.93N/AN/A2,0293,882143,359245,725
2007-01-17$42.24$45.5934.4%9.9%0.0%0.0%32.8%1.2%-3.0%-7.8M43.8M-1.7M1.7414.52N/AN/A3,7866,569144,125245,830
2007-01-18$41.85$45.5934.2%9.8%0.0%0.0%34.7%1.3%-3.0%-7.8M67.0M-1.7M0.5310.67N/AN/A3,4151,819145,870246,353
2007-01-19$42.95$45.5932.1%9.2%0.0%0.0%32.4%1.4%-1.6%-10.5M19.0M-1.7M1.2818.25N/AN/A4,7236,048145,265246,702
2007-01-22$42.04$45.5931.8%9.1%0.0%0.0%32.1%0.6%-2.2%-2.8M77.7M-1.7M0.318.60N/AN/A6,7212,10575,229135,165
2007-01-23$43.27$45.5930.7%8.8%0.0%0.0%28.3%0.7%-1.2%-1.8M42.0M-1.7M3.0113.28N/AN/A11,95936,02578,342136,021
2007-01-24$44.34$43.1931.4%9.0%0.0%0.0%30.4%2.3%-1.9%-7.8K-12.8M-1.8M0.816.08N/AN/A11,8189,52384,857134,801
2007-01-25$43.57$43.1928.8%8.3%33.6%0.0%28.6%1.4%-0.4%-581.5K6.7M-1.8M1.119.98N/AN/A5,0685,64390,615137,725
2007-01-26$43.80$43.1928.0%8.0%32.6%0.0%28.0%1.1%0.8%-595.4K4.1M-1.8M1.0610.63N/AN/A2,6062,75791,671139,723
2007-01-29$43.35$43.1928.3%8.1%31.8%0.0%28.2%0.7%0.0%-633.6K13.8M-1.7M3.816.80N/AN/A1,7166,54691,968137,728
2007-01-30$44.00$43.1928.6%8.2%31.5%0.0%28.4%1.6%0.2%-98.8K-3.3M-1.8M1.4111.84N/AN/A3,6535,14592,423143,449
2007-01-31$44.49$43.1927.1%7.8%30.9%0.0%28.4%2.8%1.8%623.9K-25.8M-1.8M5.359.23N/AN/A1,3767,35993,418143,970