OXY Options History — September 2007

In September 2007, OXY traded between $55.68 and $62.09. ATM implied volatility averaged 30.4%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.1% (HV 20d: 26.3%). Max pain ranged from $52.78 to $57.58. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2007-09-11: Highest Volume — 15,168 contracts
  • 2007-09-11: Largest IV drop — 8.7% change
  • 2007-09-10: Highest IV Rank — 56.0%
  • 2007-09-10: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.29$55.68$62.09$55.68$61.50
Max Pain$53.04$52.78$57.58$52.78$57.58
ATM IV30.4%28.3%32.5%28.3%31.4%
Expected Move8.8%8.1%9.7%8.1%9.0%
HV 20d26.3%22.8%29.8%29.8%23.5%
HV 60d30.8%30.2%31.5%31.0%30.7%
IV Rank48.2%40.2%56.0%40.2%51.7%
IV Percentile67.6%53.0%78.5%53.0%73.7%
Term Structure0.1%-1.1%2.7%1.5%-0.6%
VWIV31.5%29.8%33.4%31.6%31.2%
Skew 25d2.0%-1.4%7.6%2.9%0.6%
Skew 10d4.9%-1.3%18.3%7.9%6.6%
Call IV 25d30.4%25.4%33.2%28.8%31.7%
Put IV 25d32.3%30.2%36.5%31.7%32.3%
Bid-Ask Spread %12.185.6919.1210.076.90
Gamma HHI0.190.140.250.150.25
Net GEX5.9M3.0M7.9M3.0M7.8M
Net DEX-448.4M-611.3M-261.7M-261.7M-516.8M
Net VEX-3.1M-3.2M-2.9M-3.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.185.034.430.49
Total Volume7,623.6842,26815,16812,3712,647
Total OI330,932.211317,124348,455322,647326,931

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$55.68$52.7828.3%8.1%29.8%40.2%31.6%2.9%1.5%3.0M-261.7M-3.2M4.4310.07N/AN/A2,27910,092146,110176,537
2007-09-05$56.02$52.7829.1%8.4%29.2%43.4%31.0%7.6%1.7%3.3M-272.1M-3.2M0.5013.20N/AN/A2,1941,097146,674177,358
2007-09-06$56.72$52.7828.6%8.2%28.9%41.4%32.5%5.1%2.7%4.1M-331.6M-3.1M5.0311.93N/AN/A1,9629,867144,998174,695
2007-09-07$56.65$52.7830.8%9.2%26.0%49.6%33.4%3.3%0.1%3.8M-295.3M-3.2M1.019.97N/AN/A2,6522,684145,764176,991
2007-09-10$56.31$52.7832.5%9.7%25.6%56.0%33.4%3.3%0.2%3.5M-294.6M-3.2M0.8217.48N/AN/A1,7401,433147,105178,091
2007-09-11$57.49$52.7829.7%9.3%26.4%45.6%32.5%4.0%0.2%4.9M-361.1M-3.1M0.4816.00N/AN/A10,2544,914147,522177,451
2007-09-12$58.40$52.7829.6%9.0%26.4%45.0%31.1%2.8%-0.0%6.0M-438.1M-3.1M2.5912.33N/AN/A3,2888,507156,525179,754
2007-09-13$59.60$52.7831.7%9.1%25.3%52.8%32.3%2.2%0.1%6.4M-496.1M-3.1M0.6619.12N/AN/A3,3262,200157,212182,391
2007-09-14$58.65$52.7830.5%8.7%24.8%48.5%30.6%2.2%0.1%6.2M-441.4M-3.1M0.1811.45N/AN/A6,0841,116157,707181,887
2007-09-17$58.57$52.7831.1%8.9%24.2%50.6%31.2%1.5%0.6%7.3M-456.7M-3.1M0.1910.16N/AN/A2,567493162,130182,204
2007-09-18$61.20$52.7829.4%8.4%27.7%44.3%30.3%0.3%0.2%7.8M-598.2M-3.0M1.2915.02N/AN/A5,8087,494162,445182,044
2007-09-19$61.70$52.7831.4%9.0%27.0%51.8%31.5%-1.4%-0.8%7.9M-611.3M-2.9M0.1910.54N/AN/A11,6552,218162,333183,751
2007-09-20$61.31$52.7831.2%9.0%27.5%51.2%31.6%1.0%-1.1%7.6M-584.0M-3.0M0.5914.82N/AN/A4,8332,840163,654184,801
2007-09-21$61.81$52.7830.8%8.8%27.4%49.6%30.8%0.0%-0.9%7.9M-595.6M-3.0M0.4313.39N/AN/A3,6391,556161,293185,720
2007-09-24$61.12$52.7831.1%8.9%26.9%50.7%31.1%-0.5%-0.7%6.2M-483.1M-3.0M0.785.69N/AN/A2,5141,954146,657170,467
2007-09-25$60.40$52.7829.6%8.5%27.3%45.3%30.0%0.4%0.3%6.0M-459.1M-3.0M0.7614.03N/AN/A2,0871,585147,416170,963
2007-09-26$61.30$52.7829.7%8.5%23.9%45.4%29.8%1.3%0.3%6.4M-493.3M-3.0M0.456.01N/AN/A1,569699148,098171,833
2007-09-27$62.09$52.7831.8%9.1%22.8%53.4%31.9%0.5%-1.1%6.4M-530.2M-2.9M0.3613.28N/AN/A9,5963,407148,068172,132
2007-09-28$61.50$57.5831.4%9.0%23.5%51.7%31.2%0.6%-0.6%7.8M-516.8M-2.9M0.496.90N/AN/A1,780867153,613173,318