OXY Options History — August 2007

In August 2007, OXY traded between $50.96 and $54.90. ATM implied volatility averaged 35.6%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.5% (HV 20d: 33.1%). Max pain ranged from $47.98 to $52.78. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2007-08-02: Highest Volume — 24,195 contracts
2007-08-17: Largest IV drop — 19.2% change
2007-08-01: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.19	$50.96	$54.90	$54.90	$54.40
Max Pain	$52.16	$47.98	$52.78	$52.78	$52.78
ATM IV	35.6%	27.4%	44.5%	39.6%	27.6%
Expected Move	9.6%	7.9%	12.6%	11.3%	7.9%
HV 20d	33.1%	27.3%	37.9%	35.6%	29.7%
HV 60d	30.2%	28.8%	31.0%	28.8%	30.6%
IV Rank	71.3%	37.0%	100.0%	100.0%	37.6%
IV Percentile	80.4%	47.5%	100.0%	100.0%	47.9%
Term Structure	1.0%	-5.8%	3.1%	-1.4%	3.1%
VWIV	33.6%	27.0%	44.7%	39.9%	29.5%
Skew 25d	2.4%	-3.4%	5.5%	0.9%	2.7%
Skew 10d	4.6%	-6.4%	11.4%	2.9%	3.9%
Call IV 25d	33.2%	25.1%	42.0%	40.3%	27.1%
Put IV 25d	35.7%	29.7%	47.4%	41.2%	29.7%
Bid-Ask Spread %	14.18	5.77	20.95	19.73	11.64
Gamma HHI	0.15	0.12	0.33	0.16	0.14
Net GEX	3.5M	-114.3K	7.5M	5.3M	1.8M
Net DEX	-153.6M	-239.5M	-39.5M	-239.5M	-188.2M
Net VEX	-3.2M	-3.3M	-2.9M	-2.9M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.17	1.88	0.48	0.40
Total Volume	8,937.087	1,542	24,195	12,004	3,542
Total OI	350,276.348	289,364	400,862	352,643	323,261

Daily Data (23 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
2007-08-01	$54.90	$52.78	39.6%	11.3%	35.6%	100.0%	39.9%	0.9%	-1.4%	5.3M	-239.5M	-2.9M	0.48	19.73	N/A	N/A	8,123	3,881	158,351	194,292
2007-08-02	$54.67	$52.78	38.0%	10.9%	35.3%	93.1%	37.3%	1.4%	-2.0%	5.8M	-237.8M	-2.9M	0.84	15.02	N/A	N/A	13,133	11,062	162,004	194,809
2007-08-03	$53.03	$52.78	37.9%	10.9%	36.6%	92.3%	40.0%	-3.4%	-1.1%	5.0M	-194.7M	-3.2M	0.68	10.78	N/A	N/A	2,596	1,761	171,780	204,366
2007-08-06	$52.10	$47.98	42.1%	10.8%	36.2%	100.0%	37.9%	1.3%	0.6%	3.8M	-110.0M	-3.2M	0.65	14.16	N/A	N/A	10,907	7,089	172,655	204,479
2007-08-07	$53.12	$47.98	40.8%	10.2%	37.1%	94.6%	33.8%	2.5%	0.9%	5.8M	-186.7M	-3.2M	0.73	15.54	N/A	N/A	3,099	2,257	175,667	205,351
2007-08-08	$54.09	$47.98	40.2%	9.6%	37.9%	92.3%	33.4%	1.8%	1.8%	6.1M	-226.7M	-3.2M	1.80	17.89	N/A	N/A	5,127	9,241	174,019	206,498
2007-08-09	$52.40	$52.78	42.7%	10.0%	36.7%	100.0%	34.8%	1.9%	1.8%	4.3M	-124.4M	-3.2M	0.64	19.07	N/A	N/A	4,471	2,851	175,767	212,922
2007-08-10	$53.40	$52.78	42.5%	10.2%	35.5%	99.3%	36.0%	1.8%	1.9%	4.8M	-179.0M	-3.3M	0.25	20.95	N/A	N/A	3,732	927	176,699	214,319
2007-08-13	$53.36	$52.78	44.5%	10.0%	34.1%	100.0%	34.9%	1.4%	1.1%	5.1M	-179.2M	-3.2M	0.31	16.95	N/A	N/A	1,433	439	176,874	214,492
2007-08-14	$53.01	$52.78	40.8%	10.0%	33.6%	86.6%	34.8%	0.6%	1.6%	5.4M	-160.3M	-3.1M	0.17	18.11	N/A	N/A	7,149	1,214	177,010	214,417
2007-08-15	$52.00	$52.78	38.3%	10.3%	31.8%	77.3%	36.0%	0.3%	0.4%	5.1M	-69.3M	-3.1M	0.93	14.92	N/A	N/A	3,502	3,245	179,524	214,382
2007-08-16	$50.96	$52.78	44.1%	12.6%	31.9%	98.6%	44.7%	5.5%	-5.8%	3.3M	-39.5M	-3.1M	1.74	14.90	N/A	N/A	7,049	12,262	178,156	214,595
2007-08-17	$52.14	$52.78	35.6%	10.2%	33.7%	67.4%	35.9%	4.3%	0.6%	7.5M	-66.4M	-3.2M	1.88	18.85	N/A	N/A	5,602	10,516	180,709	220,153
2007-08-20	$52.82	$52.78	34.6%	9.9%	34.3%	63.5%	34.6%	4.8%	1.0%	758.8K	-128.1M	-3.1M	1.00	14.27	N/A	N/A	6,506	6,479	129,575	159,789
2007-08-21	$52.36	$52.78	33.4%	9.6%	32.3%	59.1%	34.2%	3.1%	0.5%	282.8K	-102.3M	-3.2M	1.33	18.76	N/A	N/A	3,606	4,802	133,153	164,298
2007-08-22	$52.74	$52.78	29.3%	8.4%	30.7%	44.0%	29.6%	3.8%	2.4%	-114.3K	-107.9M	-3.2M	0.28	5.77	N/A	N/A	8,205	2,273	134,835	167,987
2007-08-23	$52.84	$52.78	28.2%	8.1%	27.3%	40.1%	28.9%	3.0%	2.8%	1.3M	-133.0M	-3.2M	0.45	13.50	N/A	N/A	1,867	833	141,074	168,538
2007-08-24	$54.44	$52.78	27.4%	7.9%	28.6%	37.0%	27.2%	5.0%	2.7%	2.2M	-200.6M	-3.2M	0.47	8.26	N/A	N/A	3,930	1,855	141,415	168,681
2007-08-27	$54.09	$52.78	27.5%	7.9%	28.5%	37.5%	27.7%	2.9%	2.6%	1.7M	-184.3M	-3.2M	0.31	8.10	N/A	N/A	1,176	366	141,527	169,854
2007-08-28	$52.48	$52.78	28.5%	8.2%	30.1%	41.3%	27.0%	2.9%	2.8%	705.7K	-111.4M	-3.1M	1.11	9.05	N/A	N/A	1,359	1,513	141,523	169,873
2007-08-29	$53.97	$52.78	27.6%	7.9%	31.7%	37.8%	27.8%	3.0%	2.7%	1.6M	-174.3M	-3.2M	0.17	9.57	N/A	N/A	2,928	501	142,080	170,737
2007-08-30	$54.11	$52.78	28.2%	8.1%	31.7%	40.1%	27.9%	4.3%	2.3%	1.9M	-188.8M	-3.1M	1.55	10.35	N/A	N/A	4,366	6,778	143,085	170,781
2007-08-31	$54.40	$52.78	27.6%	7.9%	29.7%	37.6%	29.5%	2.7%	3.1%	1.8M	-188.2M	-3.3M	0.40	11.64	N/A	N/A	2,538	1,004	146,127	177,134