OXY Options History — March 2007

In March 2007, OXY traded between $43.33 and $48.27. ATM implied volatility averaged 27.1%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.9% (HV 20d: 21.2%). Max pain ranged from $43.19 to $47.98. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2007-03-16: Highest Volume — 13,651 contracts
  • 2007-03-14: Largest IV drop — 28.4% change
  • 2007-03-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.16$43.33$48.27$44.64$47.32
Max Pain$45.37$43.19$47.98$43.19$43.19
ATM IV27.1%22.7%33.4%29.3%24.9%
Expected Move7.9%6.7%9.3%8.4%7.1%
HV 20d21.2%16.9%23.7%22.5%18.5%
HV 60d24.7%23.9%25.6%25.6%24.1%
Term Structure1.8%-0.1%4.2%1.7%3.3%
VWIV27.7%24.0%33.0%29.5%25.0%
Skew 25d0.8%-4.6%7.6%-4.6%1.1%
Skew 10d1.2%-8.7%13.4%-8.7%1.3%
Call IV 25d27.2%18.6%33.6%32.4%25.7%
Put IV 25d28.0%23.4%34.4%27.7%26.8%
Bid-Ask Spread %7.773.7818.236.906.30
Gamma HHI0.230.210.250.230.21
Net GEX-1.1M-3.6M3.7M-1.8M2.7M
Net DEX-13.4M-166.8M63.5M14.6M-117.4M
Net VEX-2.3M-2.4M-2.2M-2.3M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.132.020.490.47
Total Volume6,363.3181,87313,6518,8385,097
Total OI278,888.273265,194286,694274,531286,694

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$44.64$43.1929.3%8.4%22.5%0.0%29.5%-4.6%1.7%-1.8M14.6M-2.3M0.496.90N/AN/A5,9162,922111,100163,431
2007-03-02$44.05$43.1930.9%8.9%22.7%0.0%31.1%2.7%1.1%-2.0M34.0M-2.3M0.396.82N/AN/A2,403938114,261164,592
2007-03-05$43.33$47.9833.4%9.3%22.9%0.0%33.0%-1.1%-0.1%-2.9M63.5M-2.3M1.675.96N/AN/A1,8563,093114,961164,938
2007-03-06$43.96$47.9830.9%9.1%23.3%0.0%32.3%-0.8%0.4%-2.4M40.4M-2.3M0.136.00N/AN/A7,217966115,328165,716
2007-03-07$44.49$47.9829.5%8.8%23.7%0.0%30.7%-1.3%1.0%-1.6M18.1M-2.3M0.809.25N/AN/A5,0474,043113,514165,980
2007-03-08$44.46$47.9829.0%8.5%23.7%0.0%30.1%-0.8%1.2%-1.6M18.4M-2.3M0.418.22N/AN/A3,0531,248115,482166,582
2007-03-09$44.46$47.9827.2%8.3%23.2%0.0%29.3%-0.4%1.4%-1.8M18.2M-2.3M0.598.65N/AN/A1,562926117,024166,939
2007-03-12$44.02$47.9829.9%8.4%22.9%0.0%29.4%-0.6%0.9%-2.9M39.6M-2.2M2.025.91N/AN/A1,0022,028115,799166,133
2007-03-13$43.69$47.9831.8%8.5%22.7%0.0%28.2%-1.3%0.5%-3.4M50.5M-2.2M0.858.99N/AN/A3,0132,566115,876166,225
2007-03-14$44.49$47.9822.7%8.4%23.1%0.0%29.2%-0.3%0.6%-2.6M17.4M-2.3M0.7018.23N/AN/A1,7511,223116,376166,752
2007-03-15$44.01$47.9828.1%8.1%20.1%0.0%28.8%-0.9%1.5%-3.5M31.1M-2.2M0.8110.71N/AN/A1,036837116,758166,952
2007-03-16$43.91$47.9827.7%8.0%19.9%0.0%27.8%-0.5%1.2%-3.6M39.4M-2.2M0.8612.12N/AN/A7,3556,296117,120167,039
2007-03-19$44.45$43.1926.0%7.5%20.5%0.0%25.5%-1.8%1.7%-2.8M21.5M-2.2M0.164.28N/AN/A7,3791,209100,965164,229
2007-03-20$44.84$43.1925.3%7.2%20.6%0.0%25.1%0.5%1.4%-1.9M5.6M-2.2M0.863.78N/AN/A2,5122,152104,580164,592
2007-03-21$45.23$43.1924.7%7.1%20.3%0.0%24.0%0.7%0.8%-1.5M-6.3M-2.3M0.284.72N/AN/A3,7491,045105,444165,179
2007-03-22$46.14$43.1923.5%6.8%21.5%0.0%24.8%4.0%3.3%19.0K-52.5M-2.3M0.595.02N/AN/A5,8623,465107,538165,587
2007-03-23$46.33$43.1923.3%6.7%21.5%0.0%24.5%5.4%4.2%456.0K-63.7M-2.3M0.134.24N/AN/A4,932622109,213166,254
2007-03-26$46.66$43.1924.3%7.0%21.5%0.0%24.7%6.2%3.0%950.6K-73.9M-2.3M0.264.93N/AN/A3,052802110,174166,371
2007-03-27$47.01$43.1923.6%6.8%16.9%0.0%26.6%7.6%3.4%1.8M-95.2M-2.3M0.215.69N/AN/A6,2681,312111,434166,771
2007-03-28$47.76$43.1924.4%7.0%17.4%0.0%24.8%2.1%3.0%3.0M-131.3M-2.3M0.2113.41N/AN/A9,9032,104113,580167,109
2007-03-29$48.27$43.1925.1%7.2%17.5%0.0%25.2%2.5%3.5%3.7M-166.8M-2.3M0.2410.86N/AN/A8,2302,001117,731167,219
2007-03-30$47.32$43.1924.9%7.1%18.5%0.0%25.0%1.1%3.3%2.7M-117.4M-2.4M0.476.30N/AN/A3,4781,619118,848167,846