OXY Options History — April 2008 In April 2008, OXY traded between $71.86 and $83.37. ATM implied volatility averaged 39.0%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.3% (HV 20d: 37.6%). Max pain ranged from $62.38 to $67.18. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.95.
Notable Days 2008-04-22 : Highest Volume — 21,821 contracts2008-04-24 : Largest IV drop — 13.2% change2008-04-01 : Highest IV Rank — 66.4%2008-04-01 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $77.39 $71.86 $83.37 $71.86 $79.86 Max Pain $65.87 $62.38 $67.18 $67.18 $67.18 ATM IV 39.0% 34.7% 42.4% 42.4% 34.7% Expected Move 11.2% 9.9% 12.1% 12.1% 9.9% HV 20d 37.6% 23.2% 54.9% 54.9% 32.3% HV 60d 43.9% 41.7% 46.6% 46.6% 43.0% IV Rank 54.6% 39.4% 66.4% 66.4% 39.4% IV Percentile 72.1% 46.8% 88.1% 88.1% 46.8% Term Structure -1.1% -3.5% 1.6% 1.0% 0.9% VWIV 39.8% 35.0% 45.2% 45.2% 35.0% Skew 25d 5.4% 2.9% 7.0% 6.2% 3.8% Skew 10d 9.8% 3.3% 12.3% 11.5% 12.3% Call IV 25d 36.9% 32.5% 40.0% 40.0% 33.8% Put IV 25d 42.3% 37.5% 46.1% 46.1% 37.5% Bid-Ask Spread % 12.41 7.86 15.80 14.18 11.76 Gamma HHI 0.23 0.19 0.28 0.19 0.28 Net GEX 12.7M 8.8M 17.5M 8.9M 16.3M Net DEX -733.0M -972.9M -503.1M -509.3M -802.2M Net VEX -4.0M -4.1M -3.8M -4.1M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.24 2.61 0.24 2.61 Total Volume 10,785.591 3,605 21,821 8,876 19,960 Total OI 308,930.273 283,417 329,819 295,477 329,819
Daily Data (22 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 2008-04-01 $71.86 $67.18 42.4% 12.1% 54.9% 66.4% 45.2% 6.2% 1.0% 8.9M -509.3M -4.1M 0.24 14.18 N/A N/A 7,148 1,728 177,414 118,063 2008-04-02 $71.87 $67.18 40.7% 11.7% 53.8% 61.9% 41.6% 6.2% 1.6% 8.8M -503.1M -4.1M 2.45 11.72 N/A N/A 1,268 3,103 175,980 118,043 2008-04-03 $72.49 $67.18 40.0% 11.5% 52.3% 60.1% 43.0% 7.0% 1.6% 9.3M -527.6M -4.1M 2.52 7.86 N/A N/A 2,301 5,791 176,277 120,237 2008-04-04 $73.66 $62.38 40.6% 11.9% 50.8% 61.9% 39.6% 5.3% -2.4% 10.4M -577.0M -4.1M 1.11 15.01 N/A N/A 2,516 2,793 177,424 124,204 2008-04-07 $73.47 $62.38 40.5% 11.7% 50.4% 61.5% 41.0% 5.7% -2.2% 10.3M -564.7M -4.0M 0.26 12.73 N/A N/A 4,247 1,084 177,446 124,375 2008-04-08 $74.07 $62.38 40.2% 11.8% 50.3% 60.7% 41.2% 5.7% -2.4% 11.2M -597.5M -4.1M 0.95 14.59 N/A N/A 1,851 1,754 179,193 124,421 2008-04-09 $75.67 $62.38 36.5% 11.4% 44.7% 50.8% 40.8% 5.3% -2.1% 12.3M -676.6M -4.0M 0.45 8.16 N/A N/A 8,153 3,639 178,232 125,095 2008-04-10 $75.42 $62.38 38.6% 11.1% 43.5% 55.6% 38.5% 5.5% -1.0% 13.1M -675.6M -4.0M 0.67 12.80 N/A N/A 3,583 2,409 180,345 126,484 2008-04-11 $74.12 $62.38 41.8% 12.0% 43.8% 61.8% 40.5% 5.5% -2.8% 11.6M -601.2M -4.0M 1.34 10.39 N/A N/A 6,196 8,280 179,792 127,544 2008-04-14 $75.02 $67.18 40.6% 11.6% 42.7% 58.2% 42.6% 6.4% -2.7% 12.3M -648.5M -4.1M 0.55 9.04 N/A N/A 3,026 1,665 182,218 132,809 2008-04-15 $76.27 $67.18 40.0% 11.5% 35.4% 56.6% 40.8% 5.8% -2.3% 13.8M -715.7M -4.0M 1.03 12.88 N/A N/A 3,563 3,674 182,175 133,347 2008-04-16 $79.84 $67.18 37.1% 10.6% 35.5% 48.2% 38.7% 5.9% -0.7% 15.1M -894.5M -3.9M 0.73 13.52 N/A N/A 8,610 6,324 182,971 134,326 2008-04-17 $79.53 $67.18 38.2% 10.9% 23.2% 51.3% 39.5% 6.0% -1.6% 14.2M -884.3M -3.9M 0.75 15.80 N/A N/A 6,609 4,988 184,008 136,529 2008-04-18 $79.52 $67.18 37.7% 10.8% 23.4% 50.1% 38.5% 5.8% -1.8% 11.3M -881.9M -3.9M 0.63 14.58 N/A N/A 5,269 3,294 185,271 138,366 2008-04-21 $81.39 $67.18 41.4% 11.9% 24.0% 60.8% 41.4% 6.0% -3.5% 10.9M -829.5M -3.8M 0.26 12.75 N/A N/A 16,551 4,373 166,395 117,022 2008-04-22 $82.59 $67.18 41.3% 11.8% 24.0% 60.4% 41.3% 5.2% -2.8% 11.1M -879.8M -3.8M 0.40 14.78 N/A N/A 15,592 6,229 166,395 117,022 2008-04-23 $81.08 $67.18 40.6% 11.6% 24.6% 58.3% 40.5% 5.2% -2.6% 14.0M -857.0M -4.0M 0.68 15.33 N/A N/A 7,992 5,456 182,772 122,796 2008-04-24 $79.49 $67.18 35.2% 10.1% 25.6% 42.8% 35.6% 4.2% 1.0% 14.5M -784.4M -4.0M 1.78 9.11 N/A N/A 6,405 11,376 185,615 125,379 2008-04-25 $83.37 $67.18 35.5% 10.2% 29.4% 43.7% 36.6% 5.3% 0.9% 17.5M -972.9M -4.0M 0.35 10.43 N/A N/A 12,288 4,298 191,967 132,353 2008-04-28 $82.09 $67.18 37.2% 10.7% 30.5% 46.9% 36.5% 5.0% -0.3% 17.4M -930.6M -4.0M 0.71 14.95 N/A N/A 4,215 2,972 195,060 132,667 2008-04-29 $79.89 $67.18 36.3% 10.4% 32.3% 44.2% 36.8% 2.9% 0.2% 15.6M -811.6M -4.1M 0.37 10.71 N/A N/A 3,449 1,261 194,588 134,027 2008-04-30 $79.86 $67.18 34.7% 9.9% 32.3% 39.4% 35.0% 3.8% 0.9% 16.3M -802.2M -4.0M 2.61 11.76 N/A N/A 5,532 14,428 195,701 134,118
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