OXY Options History — January 2008 In January 2008, OXY traded between $61.97 and $77.26. ATM implied volatility averaged 42.0%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 2.6% (HV 20d: 39.4%). Max pain ranged from $55.18 to $67.18. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2008-01-02 : Highest Volume — 23,072 contracts2008-01-07 : Largest IV spike — 14.6% change2008-01-23 : Highest IV Rank — 100.0%2008-01-23 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $68.21 $61.97 $77.26 $75.19 $65.07 Max Pain $65.12 $55.18 $67.18 $55.18 $62.38 ATM IV 42.0% 31.5% 55.0% 32.5% 39.6% Expected Move 12.2% 9.0% 15.8% 9.3% 11.3% HV 20d 39.4% 34.0% 45.0% 34.2% 44.2% HV 60d 41.5% 39.7% 42.9% 39.7% 41.5% IV Rank 65.7% 37.7% 100.0% 40.5% 59.0% IV Percentile 89.1% 58.7% 100.0% 64.9% 88.1% Term Structure -2.6% -7.5% 3.4% 3.0% -1.4% VWIV 43.0% 31.7% 55.2% 34.9% 40.1% Skew 25d 5.0% 2.5% 7.1% 4.2% 6.5% Skew 10d 9.5% 5.2% 13.6% 9.6% 12.5% Call IV 25d 40.7% 30.6% 51.7% 31.8% 38.4% Put IV 25d 45.7% 33.1% 58.3% 36.0% 45.0% Bid-Ask Spread % 12.39 8.27 18.35 8.27 16.18 Gamma HHI 0.21 0.13 0.34 0.26 0.14 Net GEX 10.6M 1.9M 19.6M 16.1M 3.9M Net DEX -612.8M -1.18B -159.9M -1.08B -271.3M Net VEX -3.4M -3.6M -3.2M -3.3M -3.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.18 1.26 0.18 0.34 Total Volume 11,608.571 2,938 23,072 23,072 11,509 Total OI 347,142 221,533 418,361 396,536 268,350
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 2008-01-02 $75.19 $55.18 32.5% 9.3% 34.2% 40.5% 34.9% 4.2% 3.0% 16.1M -1.08B -3.3M 0.18 8.27 N/A N/A 19,564 3,508 206,716 189,820 2008-01-03 $77.26 $55.18 31.5% 9.0% 34.0% 37.7% 31.7% 2.5% 3.4% 15.6M -1.18B -3.2M 0.34 13.19 N/A N/A 4,490 1,513 208,339 191,327 2008-01-04 $74.63 $67.18 31.9% 10.3% 37.1% 38.7% 36.1% 4.3% -0.7% 16.2M -1.05B -3.3M 0.30 8.79 N/A N/A 16,823 5,132 208,993 191,823 2008-01-07 $73.32 $67.18 36.5% 11.0% 36.5% 51.1% 37.8% 4.8% -1.8% 17.1M -979.3M -3.4M 0.37 15.66 N/A N/A 6,648 2,449 213,725 192,463 2008-01-08 $71.50 $67.18 36.8% 11.2% 37.8% 51.8% 38.9% 4.4% -1.8% 16.7M -883.4M -3.5M 0.21 12.52 N/A N/A 4,764 988 215,301 193,056 2008-01-09 $72.85 $67.18 36.2% 11.1% 38.2% 50.3% 37.8% 4.7% -1.2% 18.3M -968.7M -3.5M 0.32 12.09 N/A N/A 3,257 1,056 217,690 192,950 2008-01-10 $70.06 $67.18 39.8% 11.4% 39.4% 60.0% 40.9% 4.3% -2.5% 16.4M -794.7M -3.5M 0.55 11.49 N/A N/A 9,475 5,216 218,280 193,252 2008-01-11 $69.79 $67.18 39.6% 11.4% 37.4% 59.4% 40.1% 3.7% -2.0% 16.4M -791.1M -3.6M 1.18 11.11 N/A N/A 1,350 1,588 220,711 194,838 2008-01-14 $72.31 $67.18 39.5% 11.3% 39.3% 59.2% 38.9% 4.1% -2.1% 19.6M -937.0M -3.4M 0.24 9.04 N/A N/A 5,506 1,346 219,707 195,582 2008-01-15 $69.08 $67.18 42.0% 12.1% 41.3% 65.9% 41.4% 3.6% -3.1% 14.9M -739.9M -3.4M 0.29 13.01 N/A N/A 5,253 1,499 220,877 196,015 2008-01-16 $67.25 $67.18 43.6% 12.5% 41.0% 70.0% 43.8% 4.0% -3.6% 12.4M -640.1M -3.5M 0.93 13.07 N/A N/A 5,020 4,650 221,740 196,212 2008-01-17 $65.40 $67.18 46.3% 13.3% 41.4% 77.2% 47.1% 3.4% -5.1% 9.9M -542.6M -3.4M 1.07 13.93 N/A N/A 2,264 2,426 221,502 196,334 2008-01-18 $65.30 $67.18 46.3% 13.3% 40.5% 77.3% 46.9% 5.1% -4.2% 9.4M -544.7M -3.4M 1.06 12.50 N/A N/A 7,166 7,595 221,780 196,581 2008-01-22 $62.53 $67.18 53.0% 15.2% 42.6% 95.1% 52.3% 5.6% -4.7% 1.9M -168.0M -3.3M 0.52 9.74 N/A N/A 10,718 5,600 133,343 88,190 2008-01-23 $61.97 $67.18 55.0% 15.8% 38.6% 100.0% 55.2% 6.7% -7.5% 2.1M -161.3M -3.4M 0.94 12.90 N/A N/A 4,898 4,588 137,291 90,196 2008-01-24 $63.00 $67.18 51.0% 14.6% 38.9% 89.4% 51.2% 6.9% -6.3% 2.4M -187.5M -3.3M 0.28 10.12 N/A N/A 9,895 2,760 138,636 91,635 2008-01-25 $62.20 $67.18 51.5% 14.8% 37.9% 90.8% 51.6% 7.1% -5.6% 2.7M -176.1M -3.4M 0.57 10.79 N/A N/A 10,243 5,807 146,377 92,943 2008-01-28 $61.97 $62.38 48.9% 14.0% 37.8% 83.7% 50.3% 6.9% -5.3% 2.5M -159.9M -3.4M 1.26 14.82 N/A N/A 8,534 10,729 152,280 96,659 2008-01-29 $65.73 $62.38 41.8% 12.0% 44.9% 64.9% 46.6% 6.1% -1.4% 4.5M -306.2M -3.5M 1.01 12.57 N/A N/A 6,803 6,845 156,406 100,774 2008-01-30 $66.08 $62.38 39.5% 11.3% 45.0% 58.7% 39.6% 5.4% -0.6% 4.3M -303.1M -3.5M 0.69 18.35 N/A N/A 8,478 5,827 158,070 103,218 2008-01-31 $65.07 $62.38 39.6% 11.3% 44.2% 59.0% 40.1% 6.5% -1.4% 3.9M -271.3M -3.6M 0.34 16.18 N/A N/A 8,604 2,905 162,899 105,451
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