OXY Options History — October 2007 In October 2007, OXY traded between $61.52 and $67.92. ATM implied volatility averaged 33.5%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.5% (HV 20d: 30.0%). Max pain ranged from $57.58 to $57.58. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.59.
Notable Days 2007-10-31 : Highest Volume — 37,912 contracts2007-10-24 : Largest IV drop — 14.4% change2007-10-19 : Highest IV Rank — 71.8%2007-10-19 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $64.93 $61.52 $67.92 $63.48 $66.27 Max Pain $57.58 $57.58 $57.58 $57.58 $57.58 ATM IV 33.5% 29.3% 36.8% 32.6% 34.8% Expected Move 9.6% 8.9% 10.6% 9.3% 10.0% HV 20d 30.0% 25.1% 38.5% 25.2% 38.5% HV 60d 30.3% 28.8% 31.8% 31.3% 31.4% IV Rank 59.5% 44.0% 71.8% 56.3% 64.3% IV Percentile 80.9% 55.4% 92.5% 80.2% 86.1% Term Structure -1.4% -3.2% 1.6% -0.8% -0.0% VWIV 33.5% 30.4% 36.6% 32.1% 35.5% Skew 25d 2.3% -1.9% 4.1% 3.2% 1.6% Skew 10d 5.7% -4.0% 14.2% 6.5% 4.5% Call IV 25d 32.5% 29.7% 36.0% 31.1% 35.1% Put IV 25d 34.9% 31.8% 38.0% 34.2% 36.7% Bid-Ask Spread % 9.63 4.61 14.56 4.61 10.19 Gamma HHI 0.24 0.17 0.32 0.26 0.21 Net GEX 10.7M 7.4M 12.8M 8.3M 11.8M Net DEX -688.6M -893.8M -507.9M -618.3M -709.4M Net VEX -3.0M -3.3M -2.7M -2.7M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.20 1.56 0.20 0.47 Total Volume 13,425.826 4,538 37,912 12,825 37,912 Total OI 357,961.261 327,440 384,893 327,440 384,893
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 2007-10-01 $63.48 $57.58 32.6% 9.3% 25.2% 56.3% 32.1% 3.2% -0.8% 8.3M -618.3M -2.7M 0.20 4.61 N/A N/A 10,662 2,163 154,213 173,227 2007-10-02 $62.63 $57.58 32.8% 9.4% 25.5% 57.0% 32.3% 1.7% -1.2% 9.6M -584.4M -2.9M 0.43 8.22 N/A N/A 6,646 2,854 160,496 173,568 2007-10-03 $61.52 $57.58 33.0% 9.5% 26.9% 57.6% 32.7% -1.9% -1.8% 10.0M -536.4M -3.0M 0.47 8.63 N/A N/A 3,863 1,804 164,665 174,413 2007-10-04 $63.18 $57.58 32.7% 9.4% 27.9% 56.6% 32.0% 1.1% -1.2% 11.1M -623.9M -2.9M 1.01 5.81 N/A N/A 2,932 2,970 166,937 175,030 2007-10-05 $63.73 $57.58 32.0% 8.9% 27.8% 54.1% 30.4% 2.6% -2.4% 11.5M -663.3M -2.8M 0.81 11.13 N/A N/A 2,539 2,060 168,061 175,977 2007-10-08 $62.54 $57.58 34.1% 9.0% 28.9% 61.9% 31.3% 2.0% -1.8% 10.7M -579.2M -2.9M 0.68 10.42 N/A N/A 2,695 1,843 166,543 176,719 2007-10-09 $64.20 $57.58 29.3% 9.1% 29.4% 44.0% 30.8% 3.1% -2.8% 11.9M -681.8M -2.7M 0.75 11.26 N/A N/A 7,991 5,982 168,194 177,394 2007-10-10 $64.48 $57.58 30.1% 9.2% 29.1% 46.8% 31.4% 2.7% -2.3% 11.7M -689.8M -2.7M 0.33 11.18 N/A N/A 4,549 1,497 171,666 181,090 2007-10-11 $65.03 $57.58 32.6% 9.3% 28.6% 56.3% 34.2% 2.2% -1.9% 11.5M -720.7M -2.8M 0.41 11.37 N/A N/A 11,711 4,836 171,318 180,631 2007-10-12 $66.42 $57.58 32.5% 9.3% 28.1% 55.9% 33.0% 2.6% -2.2% 11.7M -797.3M -2.7M 0.63 7.43 N/A N/A 9,529 5,966 174,224 181,364 2007-10-15 $66.33 $57.58 34.5% 9.9% 28.1% 63.4% 35.1% 2.6% -2.9% 11.7M -796.6M -2.7M 0.54 12.10 N/A N/A 15,373 8,261 177,017 183,039 2007-10-16 $67.79 $57.58 35.2% 10.1% 25.1% 65.8% 36.1% 4.1% -2.5% 11.9M -893.8M -2.9M 0.78 11.76 N/A N/A 9,184 7,121 186,714 188,509 2007-10-17 $66.98 $57.58 35.0% 10.0% 25.8% 65.1% 35.2% 3.3% -2.6% 11.7M -840.0M -2.9M 0.38 5.19 N/A N/A 7,942 3,044 186,728 193,104 2007-10-18 $67.31 $57.58 34.7% 10.0% 25.5% 64.0% 34.3% 3.8% -2.2% 12.8M -852.2M -3.0M 0.40 7.60 N/A N/A 3,531 1,400 187,480 194,387 2007-10-19 $64.02 $57.58 36.8% 10.6% 32.0% 71.8% 36.6% 1.4% -3.2% 8.4M -680.8M -3.2M 0.76 13.60 N/A N/A 8,743 6,649 188,573 194,805 2007-10-22 $62.57 $57.58 36.1% 10.3% 32.9% 69.1% 36.1% 1.7% -1.7% 7.4M -507.9M -3.2M 0.60 8.70 N/A N/A 7,429 4,421 167,491 182,602 2007-10-23 $64.06 $57.58 36.4% 10.4% 33.4% 70.1% 35.4% 2.6% -1.8% 8.8M -575.2M -3.2M 0.86 12.22 N/A N/A 7,704 6,619 170,430 183,964 2007-10-24 $65.10 $57.58 31.1% 8.9% 33.5% 50.7% 32.3% 3.8% 1.2% 9.8M -630.6M -3.2M 0.44 14.56 N/A N/A 8,684 3,803 172,526 186,582 2007-10-25 $66.27 $57.58 32.5% 9.3% 33.7% 55.8% 33.1% 3.6% 0.7% 10.9M -718.3M -3.1M 1.56 7.73 N/A N/A 4,321 6,751 176,981 187,625 2007-10-26 $67.92 $57.58 31.8% 9.1% 34.2% 53.3% 31.8% 2.3% 1.6% 11.0M -787.2M -3.0M 0.25 14.16 N/A N/A 13,896 3,477 175,563 188,354 2007-10-29 $67.40 $57.58 33.0% 9.5% 32.9% 57.7% 33.2% 2.0% -0.3% 12.0M -764.1M -3.0M 0.21 5.42 N/A N/A 10,359 2,133 179,826 189,180 2007-10-30 $64.11 $57.58 36.4% 10.4% 37.6% 70.2% 36.4% 2.1% -0.6% 9.8M -586.0M -3.3M 0.67 8.21 N/A N/A 14,912 10,033 181,170 189,836 2007-10-31 $66.27 $57.58 34.8% 10.0% 38.5% 64.3% 35.5% 1.6% -0.0% 11.8M -709.4M -3.3M 0.47 10.19 N/A N/A 25,792 12,120 188,878 196,015
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