OXY Options History — December 2007

In December 2007, OXY traded between $66.10 and $74.95. ATM implied volatility averaged 34.0%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.0% (HV 20d: 38.0%). Max pain ranged from $55.18 to $62.38. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2007-12-19: Highest Volume — 18,939 contracts
  • 2007-12-06: Largest IV drop — 11.9% change
  • 2007-12-03: Highest IV Rank — 59.1%
  • 2007-12-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.12$66.10$74.95$67.71$73.89
Max Pain$56.62$55.18$62.38$62.38$55.18
ATM IV34.0%30.7%39.5%39.5%33.5%
Expected Move9.7%8.8%11.3%11.3%9.6%
HV 20d38.0%33.4%44.9%44.9%34.0%
HV 60d39.1%38.0%40.4%38.0%39.6%
IV Rank44.4%35.5%59.1%59.1%43.0%
IV Percentile71.3%51.8%91.8%91.8%71.6%
Term Structure2.2%-1.6%4.2%-1.6%2.7%
VWIV34.1%31.9%38.7%38.7%32.2%
Skew 25d3.8%2.5%5.7%5.3%2.8%
Skew 10d6.9%4.9%10.1%9.2%5.1%
Call IV 25d32.3%29.8%37.0%36.8%31.6%
Put IV 25d36.0%33.3%42.1%42.1%34.4%
Bid-Ask Spread %13.546.6420.6612.546.64
Gamma HHI0.270.230.320.250.27
Net GEX18.4M14.9M23.0M17.9M16.3M
Net DEX-865.2M-1.07B-610.8M-763.2M-1.02B
Net VEX-3.6M-4.0M-3.3M-4.0M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.120.820.400.25
Total Volume8,660.551,85618,93911,2483,885
Total OI412,984.1389,702428,010415,883395,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$67.71$62.3839.5%11.3%44.9%59.1%38.7%5.3%-1.6%17.9M-763.2M-4.0M0.4012.54N/AN/A8,0143,234227,281188,602
2007-12-04$66.56$62.3837.7%10.8%44.1%54.3%37.1%3.8%-0.8%17.1M-693.1M-4.0M0.3915.99N/AN/A4,5951,812231,349190,339
2007-12-05$67.47$62.3836.6%10.5%41.7%51.3%37.5%5.2%-0.3%17.9M-742.0M-4.0M0.1220.66N/AN/A5,695670228,185191,316
2007-12-06$69.62$62.3832.2%9.2%41.0%39.7%34.0%5.7%1.4%20.8M-861.1M-3.9M0.1817.24N/AN/A4,889897224,076191,489
2007-12-07$69.39$55.1834.7%9.8%40.7%46.2%33.8%4.0%2.0%21.3M-853.1M-3.7M0.2511.76N/AN/A6,7681,721225,117191,369
2007-12-10$69.10$55.1835.7%9.7%40.3%49.0%32.4%4.0%1.9%22.2M-848.9M-3.7M0.8214.46N/AN/A4,6593,823227,381191,090
2007-12-11$67.09$55.1836.6%10.0%37.1%51.4%35.3%3.6%1.7%19.0M-716.3M-3.7M0.3513.93N/AN/A9,1713,177229,739192,799
2007-12-12$69.54$55.1835.5%10.0%38.8%48.4%35.5%3.6%1.7%23.0M-884.1M-3.7M0.2711.05N/AN/A9,7692,602228,800193,843
2007-12-13$70.24$55.1832.1%9.2%38.9%39.2%32.9%4.1%3.2%21.8M-897.8M-3.7M0.2614.22N/AN/A4,7271,239227,260195,605
2007-12-14$68.14$55.1834.3%9.8%38.4%45.3%34.7%3.0%3.3%20.0M-771.3M-3.7M0.2210.88N/AN/A5,4621,193226,333195,929
2007-12-17$66.10$55.1835.2%10.1%38.1%47.7%35.5%3.7%2.3%15.9M-610.8M-3.7M0.1411.78N/AN/A12,2331,704225,781195,607
2007-12-18$67.52$55.1835.3%10.1%38.6%47.9%34.9%2.5%2.6%18.0M-713.5M-3.6M0.1915.59N/AN/A9,1161,695222,404195,280
2007-12-19$69.05$55.1833.7%9.6%35.7%43.5%32.1%2.7%3.1%16.8M-821.7M-3.5M0.1814.55N/AN/A16,1092,830221,477196,104
2007-12-20$69.73$55.1830.9%8.9%35.3%36.2%33.1%3.8%4.2%22.1M-878.7M-3.6M0.5015.53N/AN/A1,789899231,247196,763
2007-12-21$72.77$55.1831.6%9.1%37.4%38.0%31.9%3.5%3.5%16.8M-1.03B-3.5M0.2911.53N/AN/A13,5733,877218,902197,016
2007-12-24$73.69$55.1832.1%9.2%33.9%39.3%33.0%3.7%2.8%15.1M-1.01B-3.3M0.467.76N/AN/A1,274582201,011188,691
2007-12-26$74.91$55.1830.8%8.8%33.6%36.0%32.6%3.8%3.4%14.9M-1.06B-3.3M0.1914.41N/AN/A6,9071,303200,958188,868
2007-12-27$74.88$55.1831.0%8.9%33.4%36.5%32.1%3.2%3.5%15.2M-1.07B-3.3M0.3114.78N/AN/A4,3881,347203,388189,207
2007-12-28$74.95$55.1830.7%8.8%33.4%35.5%32.9%3.4%4.0%15.5M-1.06B-3.3M0.1615.54N/AN/A4,794789204,049189,351
2007-12-31$73.89$55.1833.5%9.6%34.0%43.0%32.2%2.8%2.7%16.3M-1.02B-3.3M0.256.64N/AN/A3,112773206,143189,533