OXY Options History — May 2007

In May 2007, OXY traded between $48.45 and $52.87. ATM implied volatility averaged 26.1%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.7% (HV 20d: 19.5%). Max pain ranged from $47.98 to $47.98. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-05-18: Highest Volume — 18,392 contracts
  • 2007-05-10: Largest IV spike — 22.9% change
  • 2007-05-18: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.80$48.45$52.87$48.71$52.75
Max Pain$47.98$47.98$47.98$47.98$47.98
ATM IV26.1%21.5%33.3%22.8%23.6%
Expected Move7.7%6.5%9.5%6.5%6.8%
HV 20d19.5%17.2%21.1%19.5%19.6%
HV 60d19.4%18.1%20.1%20.1%18.4%
Term Structure0.5%-2.9%3.0%2.2%1.5%
VWIV27.0%22.5%33.8%22.5%24.1%
Skew 25d-0.6%-4.5%1.6%-4.5%-0.9%
Skew 10d-1.5%-8.6%8.9%-8.6%-1.5%
Call IV 25d27.8%23.9%34.6%25.0%26.9%
Put IV 25d27.1%20.5%34.2%20.5%26.0%
Bid-Ask Spread %11.136.5119.466.777.00
Gamma HHI0.240.180.540.200.28
Net GEX7.5M4.9M21.6M4.9M9.1M
Net DEX-220.7M-340.5M-118.5M-124.9M-278.4M
Net VEX-2.4M-2.4M-2.3M-2.4M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.124.890.400.60
Total Volume5,303.95589418,3928943,058
Total OI312,944.409271,541346,032322,799286,376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$48.71$47.9822.8%6.5%19.5%0.0%22.5%-4.5%2.2%4.9M-124.9M-2.4M0.406.77N/AN/A640254137,855184,944
2007-05-02$49.25$47.9822.8%6.5%19.8%0.0%23.1%-2.4%2.5%5.6M-151.6M-2.4M4.899.87N/AN/A6072,972138,020184,994
2007-05-03$49.77$47.9823.0%6.6%20.0%0.0%23.4%-0.7%3.0%6.3M-189.4M-2.4M0.357.77N/AN/A3,6281,284138,112185,050
2007-05-04$49.57$47.9822.2%7.4%20.1%0.0%25.5%0.6%1.3%6.4M-179.9M-2.4M0.3914.08N/AN/A3,2051,257140,451186,117
2007-05-07$49.42$47.9823.4%7.6%20.0%0.0%26.4%0.4%0.9%6.4M-169.7M-2.4M0.1213.39N/AN/A1,472175141,750186,958
2007-05-08$49.06$47.9823.2%7.7%19.8%0.0%26.5%0.9%0.4%6.2M-153.6M-2.4M0.618.61N/AN/A1,440880141,631186,976
2007-05-09$49.18$47.9821.5%7.5%19.4%0.0%26.3%0.1%1.3%6.2M-161.8M-2.4M0.417.57N/AN/A1,633673141,805187,422
2007-05-10$48.45$47.9826.4%7.6%18.1%0.0%26.4%0.1%1.2%5.8M-118.5M-2.3M0.757.50N/AN/A1,5431,157142,282187,958
2007-05-11$49.84$47.9826.7%7.6%20.8%0.0%26.3%0.7%1.3%6.3M-202.6M-2.3M0.4519.37N/AN/A2,142956142,902188,440
2007-05-14$49.76$47.9827.2%7.8%20.8%0.0%27.3%0.5%1.0%5.7M-199.0M-2.3M0.1419.46N/AN/A6,109835143,731189,106
2007-05-15$50.22$47.9827.2%7.8%20.7%0.0%27.1%0.6%0.9%6.8M-224.0M-2.3M0.2312.32N/AN/A4,7791,085145,016189,748
2007-05-16$50.86$47.9826.1%7.5%21.1%0.0%26.5%1.4%1.4%7.1M-263.5M-2.3M0.277.24N/AN/A3,053824147,099190,433
2007-05-17$51.81$47.9828.2%8.1%20.6%0.0%29.2%1.6%-0.3%10.9M-313.3M-2.3M0.147.44N/AN/A10,7971,469147,359190,943
2007-05-18$52.47$47.9833.3%9.5%18.7%0.0%33.8%-0.4%-2.8%21.6M-340.5M-2.4M0.3111.76N/AN/A14,0204,372154,189191,843
2007-05-21$52.58$47.9832.8%9.4%18.5%0.0%32.3%-3.0%-2.9%5.6M-253.6M-2.4M0.6013.52N/AN/A4,8922,951121,022150,519
2007-05-22$52.32$47.9831.8%9.1%18.7%0.0%32.4%-2.3%-2.1%5.7M-250.1M-2.4M0.2013.34N/AN/A8,5191,687123,375152,605
2007-05-23$52.41$47.9829.8%8.5%18.2%0.0%29.9%-1.8%-1.5%6.5M-256.4M-2.4M0.1714.28N/AN/A4,604797126,784153,292
2007-05-24$51.76$47.9828.2%8.1%17.2%0.0%28.6%-1.3%-0.4%6.7M-229.9M-2.4M0.619.96N/AN/A1,430875128,865153,864
2007-05-25$52.74$47.9826.3%7.5%18.1%0.0%26.9%-3.1%0.0%7.5M-277.4M-2.4M1.4314.64N/AN/A1,8402,631128,961154,258
2007-05-29$51.89$47.9824.6%7.1%18.9%0.0%24.7%-0.5%0.7%7.3M-232.4M-2.3M0.306.51N/AN/A4,8931,457129,237155,628
2007-05-30$52.87$47.9823.6%6.8%19.7%0.0%23.9%0.7%1.0%9.3M-284.6M-2.3M0.5512.56N/AN/A2,4521,340131,348155,509
2007-05-31$52.75$47.9823.6%6.8%19.6%0.0%24.1%-0.9%1.5%9.1M-278.4M-2.3M0.607.00N/AN/A1,9061,152130,876155,500