OXY Options History — June 2007

In June 2007, OXY traded between $53.64 and $56.99. ATM implied volatility averaged 26.8%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.7% (HV 20d: 25.2%). Max pain ranged from $47.98 to $52.78. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-06-05: Highest Volume — 38,474 contracts
  • 2007-06-13: Largest IV spike — 48.1% change
  • 2007-06-08: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.39$53.64$56.99$54.06$55.55
Max Pain$52.55$47.98$52.78$47.98$52.78
ATM IV26.8%24.3%38.4%24.5%24.5%
Expected Move7.5%7.0%8.1%7.0%7.0%
HV 20d25.2%20.9%29.7%20.9%28.6%
HV 60d21.0%18.9%23.2%18.9%23.2%
Term Structure2.3%0.4%4.4%0.4%4.4%
VWIV26.2%24.3%28.5%25.6%25.3%
Skew 25d0.3%-0.6%2.4%-0.0%0.3%
Skew 10d0.4%-7.0%11.3%4.1%-5.2%
Call IV 25d26.5%24.7%28.9%26.8%25.3%
Put IV 25d26.8%24.8%28.9%26.8%25.7%
Bid-Ask Spread %10.777.1715.568.7613.47
Gamma HHI0.220.180.330.280.20
Net GEX9.2M7.3M12.8M9.6M8.3M
Net DEX-361.3M-456.2M-243.8M-349.0M-339.3M
Net VEX-2.2M-2.5M-1.2M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.042.341.240.58
Total Volume8,811.7141,46338,47410,2862,899
Total OI285,086.429159,405308,417287,035307,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$54.06$47.9824.5%7.0%20.9%0.0%25.6%-0.0%0.4%9.6M-349.0M-2.2M1.248.76N/AN/A4,5915,695131,526155,509
2007-06-04$56.03$52.7832.0%7.7%23.4%0.0%26.9%0.0%1.2%9.4M-430.9M-2.2M0.1315.41N/AN/A17,1372,222132,773155,778
2007-06-05$55.96$52.7830.1%8.0%23.4%0.0%27.8%-0.2%1.1%10.4M-438.8M-2.2M0.0415.56N/AN/A37,0381,436139,536151,453
2007-06-06$55.33$52.7829.9%7.8%23.7%0.0%27.1%0.6%1.7%10.0M-381.4M-2.2M0.2314.97N/AN/A3,211733132,898151,246
2007-06-07$54.39$52.7826.1%7.9%25.1%0.0%27.4%-0.4%2.3%9.9M-337.8M-2.3M0.4115.04N/AN/A2,8241,150133,666151,676
2007-06-08$54.64$52.7825.4%8.1%23.9%0.0%28.1%1.4%2.2%9.8M-346.4M-2.3M2.349.78N/AN/A1,3543,167135,451152,011
2007-06-11$54.70$52.7826.7%8.0%22.5%0.0%28.5%-0.5%2.1%8.3M-243.8M-1.2M0.379.69N/AN/A2,19381188,92870,477
2007-06-12$54.31$52.7825.9%7.9%22.8%0.0%28.0%0.1%2.9%10.1M-343.3M-2.2M0.7211.95N/AN/A1,068765136,718150,748
2007-06-13$55.37$52.7838.4%7.9%23.3%0.0%27.5%0.7%1.8%10.3M-383.8M-2.2M0.4711.04N/AN/A993470137,008151,352
2007-06-14$56.36$52.7826.7%7.6%23.6%0.0%25.1%-0.2%2.1%10.5M-429.4M-2.2M0.248.90N/AN/A3,295795137,295151,323
2007-06-15$56.92$52.7825.9%7.4%23.2%0.0%25.9%0.3%2.8%12.8M-456.2M-2.1M0.068.88N/AN/A6,553380138,330151,684
2007-06-18$56.99$52.7825.8%7.4%23.0%0.0%25.4%0.2%1.8%9.1M-422.1M-2.1M1.367.17N/AN/A5,1397,015126,872144,701
2007-06-19$56.72$52.7825.2%7.2%23.2%0.0%24.9%-0.2%2.3%8.7M-410.4M-2.1M1.217.39N/AN/A6,8948,318127,700150,115
2007-06-20$54.81$52.7824.5%7.0%26.7%0.0%24.8%-0.3%2.0%8.5M-322.4M-2.3M1.357.20N/AN/A7,71710,393133,173153,872
2007-06-21$56.16$52.7824.9%7.1%27.9%0.0%25.1%-0.6%2.7%8.8M-384.6M-2.3M0.738.85N/AN/A5,0423,661136,960159,171
2007-06-22$56.43$52.7825.2%7.2%27.2%0.0%25.3%-0.5%2.2%8.2M-383.6M-2.4M0.498.32N/AN/A1,239609134,995162,011
2007-06-25$55.40$52.7824.3%7.0%27.8%0.0%24.3%0.2%3.8%7.8M-328.4M-2.4M0.108.29N/AN/A7,546783135,028162,171
2007-06-26$53.64$52.7826.4%7.6%29.7%0.0%26.2%2.4%2.0%7.3M-251.6M-2.5M1.348.94N/AN/A4,8516,516138,689162,461
2007-06-27$54.52$52.7826.0%7.5%29.6%0.0%25.0%2.1%3.5%7.4M-288.4M-2.5M0.8513.27N/AN/A2,9822,529139,982165,883
2007-06-28$54.97$52.7825.2%7.2%29.6%0.0%25.1%-0.0%2.8%8.1M-315.7M-2.5M0.3313.35N/AN/A2,282750141,382167,035
2007-06-29$55.55$52.7824.5%7.0%28.6%0.0%25.3%0.3%4.4%8.3M-339.3M-2.4M0.5813.47N/AN/A1,8301,069140,455166,773