OXY Options History — April 2007

In April 2007, OXY traded between $47.58 and $50.09. ATM implied volatility averaged 24.4%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.7% (HV 20d: 17.7%). Max pain ranged from $43.19 to $47.98. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2007-04-23: Highest Volume — 37,272 contracts
  • 2007-04-12: Largest IV spike — 59.9% change
  • 2007-04-17: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.70$47.58$50.09$47.58$48.66
Max Pain$46.31$43.19$47.98$43.19$47.98
ATM IV24.4%17.4%29.9%25.1%22.5%
Expected Move7.3%5.9%8.6%7.2%6.5%
HV 20d17.7%15.9%20.9%16.9%19.5%
HV 60d21.2%19.9%23.7%23.7%20.2%
Term Structure0.7%-3.2%5.4%3.5%2.9%
VWIV26.1%20.9%31.0%25.1%23.4%
Skew 25d-0.8%-4.9%9.6%1.2%-4.9%
Skew 10d-2.5%-9.5%15.4%1.7%-9.1%
Call IV 25d26.8%16.7%31.9%26.3%25.1%
Put IV 25d26.0%19.6%30.0%27.5%20.2%
Bid-Ask Spread %7.842.8715.8611.389.25
Gamma HHI0.220.180.300.220.20
Net GEX5.1M2.9M8.2M3.4M5.1M
Net DEX-172.0M-238.8M-128.3M-132.6M-132.5M
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 Ratio1.050.162.990.310.52
Total Volume9,446.451,32537,2724,2761,325
Total OI310,628.55286,619326,064286,619323,298

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$47.58$43.1925.1%7.2%16.9%0.0%25.1%1.2%3.5%3.4M-132.6M-2.3M0.3111.38N/AN/A3,2751,001119,039167,580
2007-04-03$47.67$43.1923.6%6.8%16.5%0.0%23.6%0.8%4.4%4.0M-136.6M-2.3M2.692.87N/AN/A1,6614,463119,933167,856
2007-04-04$47.74$43.1922.3%6.4%16.2%0.0%22.4%8.5%5.4%4.2M-137.0M-2.3M0.603.06N/AN/A5,1653,074120,840170,119
2007-04-05$47.94$43.1920.9%6.0%16.2%0.0%20.9%9.6%5.4%6.0M-157.4M-2.2M0.443.61N/AN/A4,9422,153124,353170,843
2007-04-09$47.68$43.1921.9%7.8%16.4%0.0%27.9%-1.0%-1.6%6.0M-142.4M-2.2M0.585.50N/AN/A8,2144,738125,399171,580
2007-04-10$48.31$43.1917.4%7.5%16.0%0.0%26.1%-0.9%-0.6%8.2M-184.2M-2.2M2.999.30N/AN/A4,04112,099131,061174,657
2007-04-11$47.85$43.1918.1%8.1%16.2%0.0%30.7%-2.5%-2.1%2.9M-128.3M-2.3M2.887.06N/AN/A2,6967,772129,158182,542
2007-04-12$49.07$47.9829.0%8.3%17.1%0.0%28.9%-1.7%-1.9%4.6M-197.4M-2.3M0.517.88N/AN/A6,4183,282128,480184,986
2007-04-13$49.20$47.9828.6%8.2%16.1%0.0%29.6%-2.2%-1.6%4.6M-215.7M-2.3M0.587.74N/AN/A2,1921,276131,987186,131
2007-04-16$49.37$47.9829.7%8.5%15.9%0.0%31.0%-2.8%-2.6%4.8M-225.5M-2.2M0.1611.73N/AN/A4,537730132,280186,503
2007-04-17$48.90$47.9829.9%8.6%16.6%0.0%30.9%-1.3%-3.2%4.6M-202.6M-2.2M0.3812.37N/AN/A5,2692,026132,874186,572
2007-04-18$49.06$47.9829.3%8.4%16.5%0.0%27.8%-2.4%-2.3%4.6M-215.5M-2.2M1.2015.86N/AN/A1,6792,023133,649187,203
2007-04-19$48.22$47.9828.9%8.3%18.1%0.0%29.6%-2.6%-1.8%7.1M-160.5M-2.3M1.3512.86N/AN/A6,2348,408134,013188,351
2007-04-20$49.63$47.9829.0%8.3%19.4%0.0%29.5%-1.4%-1.3%4.6M-238.8M-2.3M1.566.59N/AN/A5,7338,926137,032189,032
2007-04-23$49.38$47.9826.7%7.7%19.6%0.0%27.0%-0.9%0.6%3.3M-137.7M-2.3M0.253.77N/AN/A29,8827,390116,920178,174
2007-04-24$49.37$47.9821.9%6.3%19.6%0.0%22.1%-2.2%1.6%7.5M-189.8M-2.4M0.826.24N/AN/A4,0663,318141,426183,185
2007-04-25$50.09$47.9820.9%6.0%20.0%0.0%22.1%-2.1%3.0%6.1M-206.5M-2.4M2.555.89N/AN/A2,9997,660133,044183,271
2007-04-26$49.13$47.9820.4%5.9%20.9%0.0%21.1%-4.1%2.7%5.2M-147.6M-2.4M0.285.81N/AN/A3,375938134,476184,862
2007-04-27$49.11$47.9821.9%6.3%20.6%0.0%22.7%-3.2%2.7%5.3M-151.9M-2.4M0.328.03N/AN/A3,000949135,479184,383
2007-04-30$48.66$47.9822.5%6.5%19.5%0.0%23.4%-4.9%2.9%5.1M-132.5M-2.4M0.529.25N/AN/A870455138,367184,931