OXY Options History — February 2008 In February 2008, OXY traded between $62.23 and $77.17. ATM implied volatility averaged 38.6%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.6% (HV 20d: 41.1%). Max pain ranged from $62.38 to $67.18. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.51.
Notable Days 2008-02-14 : Highest Volume — 24,538 contracts2008-02-29 : Largest IV spike — 12.7% change2008-02-05 : Highest IV Rank — 72.6%2008-02-05 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $69.13 $62.23 $77.17 $66.41 $74.25 Max Pain $64.30 $62.38 $67.18 $62.38 $67.18 ATM IV 38.6% 32.6% 44.7% 38.4% 38.4% Expected Move 11.0% 9.4% 12.2% 11.0% 11.0% HV 20d 41.1% 37.1% 44.2% 43.6% 40.1% HV 60d 39.7% 38.6% 41.3% 41.3% 40.3% IV Rank 56.3% 40.5% 72.6% 56.0% 56.0% IV Percentile 79.6% 56.0% 96.8% 83.3% 79.0% Term Structure 0.6% -1.0% 2.8% 0.4% 1.8% VWIV 38.4% 33.6% 42.2% 39.0% 37.0% Skew 25d 5.1% 3.8% 6.5% 3.8% 4.3% Skew 10d 9.5% 6.6% 11.5% 8.4% 7.6% Call IV 25d 36.1% 31.6% 39.9% 37.5% 35.8% Put IV 25d 41.2% 36.8% 44.8% 41.3% 40.1% Bid-Ask Spread % 13.67 9.68 20.47 13.17 11.04 Gamma HHI 0.17 0.13 0.23 0.14 0.20 Net GEX 7.7M 2.1M 14.4M 4.9M 12.7M Net DEX -452.4M -784.4M -167.0M -336.9M -654.1M Net VEX -3.8M -4.2M -3.5M -3.7M -4.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.16 1.38 0.72 0.43 Total Volume 11,753.75 4,401 24,538 8,588 13,184 Total OI 276,113.3 249,615 302,494 267,666 286,982
Daily Data (20 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 2008-02-01 $66.41 $62.38 38.4% 11.0% 43.6% 56.0% 39.0% 3.8% 0.4% 4.9M -336.9M -3.7M 0.72 13.17 N/A N/A 5,000 3,588 161,727 105,939 2008-02-04 $66.45 $62.38 41.2% 11.5% 42.5% 63.3% 41.7% 4.4% -0.8% 4.7M -339.7M -3.6M 1.38 17.20 N/A N/A 3,565 4,932 161,991 106,486 2008-02-05 $63.94 $62.38 44.7% 12.2% 43.8% 72.6% 42.2% 5.0% -1.0% 2.7M -238.6M -3.6M 0.40 10.91 N/A N/A 4,542 1,822 162,926 108,343 2008-02-06 $62.23 $62.38 44.2% 12.0% 44.0% 71.4% 41.1% 4.7% -0.7% 2.1M -167.0M -3.5M 0.44 14.42 N/A N/A 3,264 1,425 165,321 108,096 2008-02-07 $62.59 $62.38 42.4% 12.0% 43.2% 66.4% 41.1% 6.5% -0.3% 2.4M -183.5M -3.5M 0.64 9.92 N/A N/A 5,965 3,812 167,063 108,747 2008-02-08 $63.99 $62.38 40.6% 11.6% 42.7% 61.7% 39.4% 5.8% 0.2% 2.9M -230.9M -3.6M 0.41 13.79 N/A N/A 6,105 2,474 167,463 109,843 2008-02-11 $65.78 $62.38 41.1% 11.6% 44.2% 63.1% 40.4% 5.7% -0.0% 4.5M -322.3M -3.7M 0.47 18.23 N/A N/A 9,744 4,592 170,115 111,003 2008-02-12 $65.46 $62.38 39.4% 11.4% 41.8% 58.4% 41.5% 5.4% -0.2% 5.0M -324.3M -3.7M 1.10 17.62 N/A N/A 4,917 5,433 174,048 113,206 2008-02-13 $67.30 $62.38 35.4% 11.0% 40.4% 47.9% 39.1% 5.5% 0.4% 5.7M -411.6M -3.7M 0.51 10.19 N/A N/A 2,916 1,485 173,088 114,544 2008-02-14 $68.84 $62.38 39.8% 11.4% 40.1% 59.7% 39.2% 4.6% 0.9% 7.2M -490.2M -3.8M 0.57 9.68 N/A N/A 15,603 8,935 174,012 115,071 2008-02-15 $68.83 $62.38 38.9% 11.1% 38.6% 57.1% 37.7% 4.8% 1.2% 7.0M -500.2M -3.9M 0.37 10.70 N/A N/A 11,644 4,296 182,029 120,465 2008-02-19 $72.03 $62.38 38.9% 11.2% 41.5% 57.3% 39.0% 5.3% -0.1% 8.5M -533.6M -3.9M 0.32 13.93 N/A N/A 16,838 5,471 154,500 95,115 2008-02-20 $73.08 $67.18 37.5% 10.7% 37.4% 53.4% 38.3% 6.2% -0.1% 10.0M -574.9M -4.0M 0.16 15.97 N/A N/A 10,695 1,692 161,666 98,612 2008-02-21 $70.14 $67.18 37.8% 10.8% 40.9% 54.2% 38.1% 3.9% 0.4% 9.4M -476.0M -4.0M 0.54 10.66 N/A N/A 6,114 3,282 166,111 99,404 2008-02-22 $70.60 $67.18 37.0% 10.6% 40.7% 52.1% 36.1% 5.3% 1.0% 9.9M -493.1M -4.0M 0.24 11.38 N/A N/A 7,022 1,701 167,651 100,610 2008-02-25 $72.97 $67.18 35.4% 10.1% 41.2% 47.8% 33.6% 5.4% 1.6% 11.6M -588.0M -3.9M 0.27 14.58 N/A N/A 12,441 3,308 167,238 101,329 2008-02-26 $74.92 $67.18 32.6% 9.4% 41.4% 40.5% 34.6% 5.2% 2.1% 13.9M -684.7M -4.0M 0.33 20.47 N/A N/A 13,578 4,443 172,645 102,853 2008-02-27 $75.53 $67.18 33.4% 9.6% 37.1% 42.6% 34.1% 4.6% 2.5% 13.9M -714.1M -4.0M 0.34 14.16 N/A N/A 6,846 2,318 176,497 105,171 2008-02-28 $77.17 $67.18 34.1% 9.8% 37.4% 44.5% 35.1% 5.7% 2.8% 14.4M -784.4M -4.1M 0.47 15.42 N/A N/A 6,881 3,202 178,504 105,852 2008-02-29 $74.25 $67.18 38.4% 11.0% 40.1% 56.0% 37.0% 4.3% 1.8% 12.7M -654.1M -4.2M 0.43 11.04 N/A N/A 9,203 3,981 179,677 107,305
« Jan 2008 | All History | Mar 2008 » Home OXY History February 2008