OXY Options History — November 2007 In November 2007, OXY traded between $63.32 and $70.72. ATM implied volatility averaged 40.5%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 6.6% (HV 20d: 47.1%). Max pain ranged from $57.58 to $62.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.72.
Notable Days 2007-11-06 : Highest Volume — 22,143 contracts2007-11-12 : Largest IV spike — 41.2% change2007-11-12 : Highest IV Rank — 100.0%2007-11-12 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $66.75 $63.32 $70.72 $64.07 $66.96 Max Pain $61.92 $57.58 $62.38 $57.58 $62.38 ATM IV 40.5% 35.4% 54.8% 39.4% 39.4% Expected Move 11.3% 10.0% 12.6% 11.3% 11.3% HV 20d 47.1% 39.7% 51.9% 39.7% 45.9% HV 60d 35.6% 31.8% 38.1% 32.2% 38.0% IV Rank 68.7% 51.5% 100.0% 81.3% 58.8% IV Percentile 94.4% 86.9% 100.0% 95.7% 91.3% Term Structure -0.0% -2.6% 1.6% -2.6% -0.7% VWIV 39.6% 35.4% 45.5% 38.6% 37.5% Skew 25d 3.0% 1.0% 5.8% 1.0% 5.8% Skew 10d 5.4% 0.0% 10.3% 0.2% 9.6% Call IV 25d 38.2% 33.8% 43.0% 38.6% 36.5% Put IV 25d 41.2% 36.6% 46.2% 39.6% 42.3% Bid-Ask Spread % 15.68 7.86 20.46 7.86 12.14 Gamma HHI 0.25 0.21 0.31 0.21 0.23 Net GEX 14.1M 10.2M 17.8M 12.0M 16.1M Net DEX -716.1M -1.02B -527.7M -597.3M -708.4M Net VEX -3.8M -4.1M -3.4M -3.7M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.03 2.19 2.04 0.14 Total Volume 12,031.333 3,560 22,143 16,798 10,120 Total OI 419,919.762 382,199 455,719 414,405 414,532
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 2007-11-01 $64.07 $57.58 39.4% 11.3% 39.7% 81.3% 38.6% 1.0% -2.6% 12.0M -597.3M -3.7M 2.04 7.86 N/A N/A 5,521 11,277 210,331 204,074 2007-11-02 $65.97 $57.58 35.5% 10.2% 40.9% 67.0% 35.4% 3.4% 0.8% 13.4M -702.1M -3.7M 0.45 9.20 N/A N/A 5,422 2,459 209,665 209,025 2007-11-05 $67.89 $62.38 38.0% 10.6% 41.2% 76.0% 36.8% 1.9% -0.1% 15.4M -837.8M -3.5M 0.80 17.00 N/A N/A 4,369 3,485 212,338 209,315 2007-11-06 $70.72 $62.38 35.4% 10.0% 42.5% 66.7% 35.4% 2.8% 0.2% 15.6M -1.02B -3.4M 0.30 16.78 N/A N/A 17,061 5,082 212,862 211,470 2007-11-07 $68.02 $62.38 38.5% 10.8% 45.3% 77.9% 38.6% 1.6% -0.2% 15.3M -838.6M -3.6M 1.01 16.38 N/A N/A 10,513 10,587 215,633 212,045 2007-11-08 $69.02 $62.38 39.5% 11.0% 45.4% 81.8% 37.3% 2.6% 0.1% 16.1M -896.6M -3.7M 0.16 17.69 N/A N/A 17,132 2,794 219,586 213,057 2007-11-09 $67.93 $62.38 38.8% 11.2% 45.4% 79.1% 39.0% 2.2% -0.1% 17.8M -852.1M -3.7M 0.88 12.13 N/A N/A 2,591 2,281 226,809 213,533 2007-11-12 $64.52 $62.38 54.8% 12.6% 49.1% 100.0% 43.8% 2.8% -1.1% 13.6M -609.8M -3.8M 0.74 13.53 N/A N/A 8,562 6,344 226,901 214,029 2007-11-13 $65.45 $62.38 43.4% 11.0% 48.7% 69.5% 39.7% 3.7% 0.9% 16.8M -674.9M -3.7M 0.97 20.26 N/A N/A 11,151 10,856 228,614 216,948 2007-11-14 $65.51 $62.38 44.1% 11.3% 48.5% 71.4% 39.3% 1.4% 0.2% 16.7M -696.9M -3.9M 0.44 17.01 N/A N/A 3,176 1,386 232,093 223,556 2007-11-15 $63.32 $62.38 41.1% 11.8% 49.8% 63.3% 41.1% 3.8% -0.0% 10.8M -527.7M -3.9M 0.67 20.46 N/A N/A 7,501 5,002 228,958 224,008 2007-11-16 $65.74 $62.38 38.2% 11.0% 48.5% 55.8% 38.0% 4.2% 1.0% 12.6M -666.4M -3.9M 0.19 19.32 N/A N/A 8,056 1,558 230,017 225,702 2007-11-19 $65.27 $62.38 39.1% 11.2% 47.8% 58.1% 39.2% 2.5% 0.9% 10.2M -556.5M -3.9M 0.24 14.89 N/A N/A 2,873 687 194,587 187,612 2007-11-20 $68.43 $62.38 36.6% 10.5% 49.9% 51.5% 36.3% 3.2% 1.6% 13.2M -716.1M -3.8M 0.45 15.25 N/A N/A 7,264 3,247 195,608 187,825 2007-11-21 $67.45 $62.38 39.3% 11.3% 50.1% 58.6% 40.5% 1.1% 1.2% 12.5M -684.9M -3.9M 0.39 20.04 N/A N/A 7,514 2,934 199,570 189,432 2007-11-23 $69.19 $62.38 40.0% 11.5% 50.5% 60.5% 40.4% 2.7% 0.4% 13.7M -764.5M -3.8M 0.03 19.29 N/A N/A 13,431 339 201,545 189,749 2007-11-26 $66.48 $62.38 43.4% 12.5% 51.8% 69.6% 43.5% 1.8% -1.3% 12.7M -656.1M -4.0M 1.02 18.57 N/A N/A 3,970 4,034 212,979 189,877 2007-11-27 $65.76 $62.38 42.9% 12.3% 51.9% 68.2% 44.3% 3.5% 0.2% 12.2M -619.1M -4.0M 2.19 11.07 N/A N/A 3,592 7,871 214,096 191,477 2007-11-28 $66.98 $62.38 42.2% 12.1% 49.0% 66.4% 45.5% 5.8% -1.3% 14.0M -688.4M -4.0M 1.76 14.04 N/A N/A 4,223 7,448 214,651 190,162 2007-11-29 $67.16 $62.38 40.6% 11.6% 47.6% 62.1% 41.2% 5.5% -0.4% 15.2M -727.6M -4.1M 0.35 16.32 N/A N/A 6,614 2,331 223,128 190,916 2007-11-30 $66.96 $62.38 39.4% 11.3% 45.9% 58.8% 37.5% 5.8% -0.7% 16.1M -708.4M -4.1M 0.14 12.14 N/A N/A 8,902 1,218 226,168 188,364
« Oct 2007 | All History | Dec 2007 » Home OXY History November 2007