OXY Options History — July 2007 In July 2007, OXY traded between $54.43 and $61.04. ATM implied volatility averaged 31.3%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.3% (HV 20d: 30.0%). Max pain ranged from $52.78 to $52.78. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.75.
Notable Days 2007-07-13 : Highest Volume — 30,738 contracts2007-07-12 : Largest IV spike — 18.4% change2007-07-31 : Highest IV Rank — 96.1%2007-07-31 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $57.62 $54.43 $61.04 $56.35 $54.43 Max Pain $52.78 $52.78 $52.78 $52.78 $52.78 ATM IV 31.3% 24.9% 37.6% 25.5% 37.6% Expected Move 9.2% 7.2% 10.8% 7.3% 10.8% HV 20d 30.0% 25.0% 35.7% 26.1% 35.5% HV 60d 25.2% 22.7% 28.8% 23.3% 28.8% IV Rank 69.1% 35.9% 96.1% 36.1% 96.1% IV Percentile 78.2% 26.8% 99.3% 27.8% 99.3% Term Structure -0.9% -3.3% 3.9% 3.2% -1.4% VWIV 32.5% 24.8% 40.6% 26.0% 40.6% Skew 25d -0.2% -4.3% 1.7% 0.2% -4.3% Skew 10d -0.3% -8.5% 4.4% -3.5% -8.5% Call IV 25d 32.8% 26.1% 42.0% 27.0% 42.0% Put IV 25d 32.6% 26.4% 37.7% 27.3% 37.7% Bid-Ask Spread % 11.63 5.98 17.56 7.89 15.84 Gamma HHI 0.19 0.15 0.23 0.20 0.16 Net GEX 8.3M 4.7M 10.2M 8.6M 5.6M Net DEX -429.8M -626.0M -228.0M -374.4M -228.0M Net VEX -2.5M -2.9M -2.3M -2.4M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.13 3.20 0.13 0.56 Total Volume 10,456.048 2,223 30,738 10,524 7,767 Total OI 331,086.524 307,793 351,339 307,793 351,339
Daily Data (21 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 2007-07-02 $56.35 $52.78 25.5% 7.3% 26.1% 0.0% 26.0% 0.2% 3.2% 8.6M -374.4M -2.4M 0.13 7.89 N/A N/A 9,284 1,240 140,917 166,876 2007-07-03 $56.43 $52.78 26.0% 7.5% 26.1% 0.0% 26.0% 0.4% 3.0% 9.3M -392.4M -2.4M 0.52 8.07 N/A N/A 1,772 913 144,121 167,459 2007-07-05 $57.06 $52.78 25.0% 7.2% 26.0% 36.1% 24.8% 0.4% 3.9% 9.8M -416.8M -2.3M 0.25 13.62 N/A N/A 8,038 1,999 145,067 168,190 2007-07-06 $57.36 $52.78 24.9% 8.3% 25.0% 35.9% 29.3% -0.1% -0.1% 9.8M -437.2M -2.3M 0.59 10.79 N/A N/A 1,401 822 146,916 169,175 2007-07-09 $58.20 $52.78 25.9% 8.5% 25.4% 40.7% 30.2% -0.3% -0.9% 10.1M -483.4M -2.3M 0.33 5.98 N/A N/A 11,686 3,906 147,190 169,592 2007-07-10 $57.38 $52.78 26.7% 8.8% 26.1% 44.3% 30.8% -1.8% -1.4% 9.8M -438.8M -2.3M 0.40 7.41 N/A N/A 5,349 2,163 148,341 172,392 2007-07-11 $57.30 $52.78 26.0% 8.8% 25.9% 41.2% 31.4% -0.9% -1.1% 10.0M -434.3M -2.4M 1.04 13.83 N/A N/A 5,903 6,115 151,101 172,827 2007-07-12 $59.26 $52.78 30.8% 8.8% 27.6% 64.0% 31.0% 0.4% -0.7% 10.2M -539.9M -2.5M 0.59 7.48 N/A N/A 3,007 1,788 154,432 178,074 2007-07-13 $61.04 $52.78 32.8% 9.4% 28.7% 73.4% 33.2% 1.1% -2.2% 9.5M -626.0M -2.4M 0.55 6.24 N/A N/A 19,873 10,865 154,286 178,040 2007-07-16 $59.06 $52.78 35.2% 10.1% 31.4% 84.5% 35.1% 0.5% -2.9% 9.8M -516.2M -2.5M 0.86 13.05 N/A N/A 9,831 8,413 156,789 181,903 2007-07-17 $57.84 $52.78 34.4% 9.9% 32.4% 81.1% 35.0% -1.7% -2.3% 10.0M -467.2M -2.7M 0.59 12.18 N/A N/A 2,475 1,469 160,448 184,837 2007-07-18 $59.43 $52.78 35.7% 10.2% 33.7% 86.8% 35.6% 1.2% -3.0% 9.5M -546.4M -2.6M 0.30 13.24 N/A N/A 4,966 1,472 160,810 185,080 2007-07-19 $59.73 $52.78 35.7% 10.2% 30.8% 87.2% 37.9% 0.4% -3.3% 9.2M -563.9M -2.6M 0.67 13.67 N/A N/A 4,482 3,018 161,154 185,341 2007-07-20 $59.60 $52.78 35.1% 10.1% 29.9% 84.1% 35.4% 0.5% -2.8% 7.4M -564.8M -2.6M 3.20 6.57 N/A N/A 1,612 5,165 161,243 185,684 2007-07-23 $58.90 $52.78 33.2% 9.5% 30.3% 75.0% 33.6% -1.1% -2.2% 6.9M -447.5M -2.6M 1.31 9.41 N/A N/A 3,670 4,790 144,250 179,811 2007-07-24 $56.79 $52.78 30.1% 8.6% 32.6% 60.7% 30.0% 1.2% -0.3% 6.3M -358.7M -2.6M 1.14 14.84 N/A N/A 7,196 8,172 144,880 181,499 2007-07-25 $58.27 $52.78 30.0% 8.6% 31.1% 60.2% 29.9% 1.7% -0.2% 6.2M -415.6M -2.6M 0.46 12.91 N/A N/A 5,989 2,773 145,733 186,508 2007-07-26 $55.83 $52.78 34.4% 9.8% 34.9% 80.6% 34.3% -0.5% -1.0% 5.5M -299.5M -2.8M 0.96 17.56 N/A N/A 6,555 6,293 147,835 187,085 2007-07-27 $54.61 $52.78 36.0% 10.3% 35.7% 88.3% 36.0% -0.7% -1.4% 4.7M -228.1M -2.9M 1.25 16.14 N/A N/A 4,343 5,417 149,963 190,696 2007-07-30 $55.10 $52.78 37.0% 10.6% 35.7% 93.2% 37.1% -0.0% -2.1% 5.0M -247.1M -2.9M 0.14 17.44 N/A N/A 15,393 2,192 152,148 192,785 2007-07-31 $54.43 $52.78 37.6% 10.8% 35.5% 96.1% 40.6% -4.3% -1.4% 5.6M -228.0M -2.9M 0.56 15.84 N/A N/A 4,994 2,773 158,233 193,106
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