OXY Options History — February 2007 In February 2007, OXY traded between $44.14 and $46.31. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.5% (HV 20d: 24.9%). Max pain ranged from $38.39 to $43.19. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.54.
Notable Days 2007-02-16 : Highest Volume — 51,203 contracts2007-02-21 : Largest IV spike — 19.6% change2007-02-21 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $45.21 $44.14 $46.31 $44.91 $44.26 Max Pain $41.17 $38.39 $43.19 $43.19 $43.19 ATM IV 27.4% 23.7% 31.4% 27.2% 27.4% Expected Move 8.0% 7.4% 9.0% 7.8% 7.9% HV 20d 24.9% 19.1% 30.3% 30.3% 22.7% Term Structure -0.0% -2.2% 2.6% 1.6% 2.6% VWIV 27.8% 24.8% 30.7% 28.2% 28.3% Skew 25d -1.0% -7.3% 3.1% 2.4% -7.3% Skew 10d -3.3% -16.3% 9.9% 7.5% -13.3% Call IV 25d 28.1% 24.3% 33.9% 26.7% 32.0% Put IV 25d 27.1% 24.7% 29.1% 29.1% 24.7% Bid-Ask Spread % 8.59 3.69 14.49 6.52 5.81 Gamma HHI 0.20 0.14 0.41 0.14 0.24 Net GEX 1.4M -2.5M 12.8M 1.1M -2.5M Net DEX -38.1M -95.2M 28.9M -40.8M 28.9M Net VEX -1.9M -2.3M -1.7M -1.8M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.54 0.16 6.54 0.56 0.38 Total Volume 15,241.158 4,191 51,203 4,783 7,611 Total OI 256,580.842 237,422 274,976 237,422 270,292
Daily Data (19 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $44.91 $43.19 27.2% 7.8% 30.3% 0.0% 28.2% 2.4% 1.6% 1.1M -40.8M -1.8M 0.56 6.52 N/A N/A 3,067 1,716 92,430 144,992 2007-02-02 $45.38 $38.39 26.0% 8.2% 29.4% 0.0% 29.2% 2.5% -0.6% 1.8M -60.0M -1.8M 2.45 14.49 N/A N/A 2,616 6,417 93,604 145,797 2007-02-05 $44.78 $38.39 25.8% 8.2% 29.8% 0.0% 28.0% 2.3% -0.3% 524.9K -24.8M -1.8M 0.16 7.74 N/A N/A 7,964 1,247 93,814 149,934 2007-02-06 $44.77 $38.39 25.0% 8.0% 29.7% 0.0% 27.7% 3.1% 0.0% 2.2M -38.2M -1.8M 6.54 7.48 N/A N/A 1,701 11,121 97,370 150,058 2007-02-07 $44.75 $43.19 23.7% 7.8% 26.0% 0.0% 25.5% 2.4% 0.3% 151.5K -28.1M -1.7M 3.63 12.88 N/A N/A 2,814 10,212 92,650 150,328 2007-02-08 $45.33 $38.39 27.3% 7.8% 25.5% 0.0% 26.7% 2.8% 0.5% 1.2M -48.9M -1.8M 0.59 13.29 N/A N/A 3,508 2,085 93,730 153,502 2007-02-09 $44.64 $38.39 26.3% 7.5% 26.4% 0.0% 26.2% 2.7% 0.3% 243.0K -26.5M -1.7M 2.26 5.83 N/A N/A 4,240 9,599 94,794 154,731 2007-02-12 $44.14 $38.39 25.8% 7.4% 25.0% 0.0% 24.8% 2.2% 0.6% -1.3M -1.4M -1.7M 0.76 14.30 N/A N/A 4,517 3,454 95,803 156,665 2007-02-13 $44.72 $38.39 25.9% 7.4% 24.0% 0.0% 25.4% 2.2% 0.6% 495.0K -29.2M -1.7M 4.60 4.20 N/A N/A 2,845 13,092 97,727 157,461 2007-02-14 $46.16 $38.39 29.4% 8.4% 26.0% 0.0% 29.8% -3.0% -1.5% 3.0M -93.1M -1.7M 0.17 5.86 N/A N/A 40,126 6,624 98,336 153,609 2007-02-15 $45.70 $43.19 28.6% 8.2% 26.0% 0.0% 28.1% -1.6% -1.1% 5.4M -95.2M -1.9M 0.85 7.28 N/A N/A 10,239 8,725 117,330 157,214 2007-02-16 $45.60 $43.19 29.7% 8.5% 24.9% 0.0% 29.1% -3.4% -0.4% 12.8M -85.4M -1.8M 1.70 8.94 N/A N/A 18,955 32,248 116,320 154,300 2007-02-20 $45.25 $43.19 26.3% 7.5% 23.6% 0.0% 27.9% -1.8% 0.3% -876.8K -8.0M -2.1M 0.27 3.69 N/A N/A 4,685 1,279 93,844 156,280 2007-02-21 $45.84 $43.19 31.4% 9.0% 21.9% 0.0% 29.6% -6.0% -2.0% 212.2K -31.1M -2.2M 0.17 6.43 N/A N/A 25,359 4,242 96,676 156,978 2007-02-22 $46.07 $43.19 30.2% 8.6% 20.4% 0.0% 29.6% -5.1% -2.2% 1.6M -56.8M -2.3M 1.41 9.00 N/A N/A 5,621 7,922 108,128 159,207 2007-02-23 $46.31 $43.19 27.1% 7.8% 19.1% 0.0% 26.6% -3.7% 0.6% 1.6M -59.9M -2.3M 1.13 9.07 N/A N/A 5,368 6,053 107,156 164,956 2007-02-26 $46.01 $43.19 28.8% 8.2% 19.4% 0.0% 26.7% -3.7% -1.2% 679.8K -47.1M -2.3M 0.26 6.58 N/A N/A 3,330 861 108,396 165,648 2007-02-27 $44.42 $43.19 29.2% 8.4% 23.2% 0.0% 30.7% -6.7% 1.9% -2.0M 21.7M -2.3M 1.32 13.84 N/A N/A 3,498 4,621 109,382 165,594 2007-02-28 $44.26 $43.19 27.4% 7.9% 22.7% 0.0% 28.3% -7.3% 2.6% -2.5M 28.9M -2.3M 0.38 5.81 N/A N/A 5,527 2,084 108,080 162,212
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