OXY Options History — March 2008 In March 2008, OXY traded between $66.38 and $75.42. ATM implied volatility averaged 42.3%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 7.8% (HV 20d: 50.1%). Max pain ranged from $67.18 to $76.78. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.74.
Notable Days 2008-03-20 : Highest Volume — 24,232 contracts2008-03-11 : Largest IV drop — 16.8% change2008-03-17 : Highest IV Rank — 85.7%2008-03-17 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $71.17 $66.38 $75.42 $75.09 $70.22 Max Pain $69.82 $67.18 $76.78 $67.18 $67.18 ATM IV 42.3% 36.2% 49.6% 36.2% 43.1% Expected Move 12.2% 10.4% 14.2% 10.4% 12.4% HV 20d 50.1% 39.8% 58.7% 39.8% 54.3% HV 60d 44.1% 40.2% 47.3% 40.2% 46.7% IV Rank 66.2% 50.0% 85.7% 50.0% 68.5% IV Percentile 88.5% 70.6% 98.0% 70.6% 90.9% Term Structure 0.3% -1.5% 2.7% 2.7% 0.5% VWIV 42.8% 36.8% 48.7% 36.8% 44.9% Skew 25d 4.8% 3.0% 5.9% 5.6% 5.2% Skew 10d 8.7% 4.8% 13.1% 10.5% 9.5% Call IV 25d 40.3% 34.9% 47.1% 34.9% 41.5% Put IV 25d 45.0% 39.6% 51.3% 40.5% 46.7% Bid-Ask Spread % 12.18 6.95 17.43 15.91 13.95 Gamma HHI 0.19 0.15 0.24 0.21 0.17 Net GEX 9.4M 3.6M 13.8M 13.4M 6.9M Net DEX -480.6M -704.9M -211.0M -689.3M -416.5M Net VEX -4.1M -4.2M -4.0M -4.2M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.18 2.23 0.18 0.59 Total Volume 12,586.15 5,216 24,232 11,765 15,949 Total OI 292,912.3 273,540 318,404 287,758 285,266
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 2008-03-03 $75.09 $67.18 36.2% 10.4% 39.8% 50.0% 36.8% 5.6% 2.7% 13.4M -689.3M -4.2M 0.18 15.91 N/A N/A 9,984 1,781 179,508 108,250 2008-03-04 $72.78 $67.18 38.8% 11.1% 42.0% 57.0% 37.7% 4.8% 1.8% 12.3M -588.7M -4.2M 0.53 16.54 N/A N/A 5,392 2,881 181,574 108,620 2008-03-05 $75.30 $67.18 36.7% 10.5% 40.0% 51.3% 38.6% 4.2% 1.7% 13.8M -704.9M -4.2M 0.38 6.95 N/A N/A 11,165 4,212 181,833 109,280 2008-03-06 $72.42 $67.18 39.9% 11.4% 41.5% 59.9% 41.0% 3.0% 1.6% 11.5M -561.9M -4.2M 0.61 11.57 N/A N/A 7,564 4,633 178,372 110,729 2008-03-07 $71.30 $76.78 40.8% 12.2% 42.3% 62.1% 43.0% 4.6% 0.4% 10.3M -501.6M -4.2M 0.69 8.28 N/A N/A 7,169 4,950 178,728 112,466 2008-03-10 $70.51 $71.98 45.5% 12.8% 42.4% 74.8% 45.1% 4.3% -0.6% 9.3M -463.9M -4.2M 2.23 9.04 N/A N/A 5,204 11,584 178,168 113,662 2008-03-11 $75.42 $71.98 37.9% 11.6% 47.3% 54.5% 41.3% 5.3% 0.4% 13.8M -693.0M -4.1M 0.95 8.02 N/A N/A 5,127 4,851 179,032 112,115 2008-03-12 $73.33 $71.98 39.8% 11.9% 48.7% 59.7% 41.8% 3.8% 0.7% 12.6M -605.9M -4.1M 1.15 9.31 N/A N/A 3,021 3,488 179,551 113,493 2008-03-13 $74.25 $71.98 42.8% 12.3% 48.1% 67.6% 42.0% 4.4% -0.4% 13.0M -634.7M -4.1M 0.55 10.84 N/A N/A 10,134 5,579 179,314 114,896 2008-03-14 $72.24 $71.98 44.8% 12.9% 48.9% 73.0% 46.0% 5.4% -0.7% 10.4M -537.9M -4.2M 2.00 13.96 N/A N/A 5,353 10,696 183,676 118,656 2008-03-17 $67.82 $71.98 49.6% 14.2% 54.2% 85.7% 48.7% 4.2% -1.5% 5.5M -306.2M -4.1M 0.91 17.43 N/A N/A 12,610 11,523 184,140 123,566 2008-03-18 $70.98 $71.98 43.0% 12.3% 54.2% 68.0% 42.8% 5.4% 0.1% 7.9M -448.5M -4.1M 0.42 16.04 N/A N/A 11,264 4,715 186,662 127,981 2008-03-19 $66.38 $71.98 44.7% 12.8% 58.7% 72.6% 44.1% 4.1% -0.9% 3.6M -211.0M -4.0M 0.47 10.91 N/A N/A 6,921 3,266 187,978 128,554 2008-03-20 $67.12 $71.98 46.5% 13.3% 57.3% 77.5% 46.2% 4.7% -1.0% 10.2M -247.2M -4.0M 0.55 12.68 N/A N/A 15,651 8,581 190,057 128,347 2008-03-24 $67.89 $67.18 45.2% 12.9% 57.4% 73.9% 44.4% 4.3% -0.8% 5.1M -323.1M -4.0M 0.23 12.30 N/A N/A 7,013 1,632 164,012 109,528 2008-03-25 $68.87 $67.18 44.1% 12.6% 56.3% 70.9% 44.0% 5.2% 0.2% 5.8M -364.0M -4.0M 0.43 13.66 N/A N/A 3,795 1,641 165,378 109,987 2008-03-26 $70.97 $67.18 42.0% 12.0% 56.6% 65.4% 42.4% 5.7% 0.2% 7.7M -458.4M -4.0M 0.30 11.73 N/A N/A 6,896 2,049 169,276 110,785 2008-03-27 $70.25 $67.18 42.4% 12.1% 56.5% 66.4% 42.1% 4.7% 0.8% 7.2M -434.3M -4.0M 0.66 11.96 N/A N/A 4,954 3,279 169,739 111,416 2008-03-28 $70.27 $67.18 41.7% 12.0% 55.7% 64.7% 43.3% 5.9% 0.8% 7.0M -420.9M -4.0M 0.88 12.61 N/A N/A 2,776 2,440 170,141 113,510 2008-03-31 $70.22 $67.18 43.1% 12.4% 54.3% 68.5% 44.9% 5.2% 0.5% 6.9M -416.5M -4.0M 0.59 13.95 N/A N/A 10,004 5,945 170,817 114,449
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