OXY Options History — May 2008 In May 2008, OXY traded between $77.75 and $93.91. ATM implied volatility averaged 37.2%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 0.6% (HV 20d: 37.8%). Max pain ranged from $67.18 to $81.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2008-05-06 : Highest Volume — 34,732 contracts2008-05-21 : Largest IV spike — 14.5% change2008-05-27 : Highest IV Rank — 58.5%2008-05-27 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $86.90 $77.75 $93.91 $77.75 $88.22 Max Pain $79.75 $67.18 $81.57 $67.18 $81.57 ATM IV 37.2% 33.2% 42.0% 38.4% 37.0% Expected Move 10.7% 10.0% 12.0% 11.0% 10.6% HV 20d 37.8% 34.2% 39.7% 34.2% 36.0% HV 60d 42.5% 41.3% 43.4% 42.6% 41.3% IV Rank 44.5% 30.7% 58.5% 50.3% 42.8% IV Percentile 59.7% 37.7% 85.7% 66.7% 57.5% Term Structure 1.0% -1.3% 2.1% -1.3% 2.1% VWIV 38.4% 35.2% 42.0% 37.6% 37.9% Skew 25d 4.6% 2.4% 6.4% 2.4% 3.2% Skew 10d 8.9% 5.2% 13.9% 5.7% 6.5% Call IV 25d 35.5% 33.2% 39.1% 36.9% 35.7% Put IV 25d 40.1% 37.5% 44.5% 39.4% 38.9% Bid-Ask Spread % 12.47 8.02 16.42 11.19 10.05 Gamma HHI 0.23 0.15 0.75 0.25 0.16 Net GEX 12.1M 4.5M 48.3M 12.4M 5.1M Net DEX -956.7M -1.42B -665.7M -665.7M -781.2M Net VEX -4.4M -4.8M -4.0M -4.2M -4.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.30 2.53 0.43 0.92 Total Volume 16,435.429 6,792 34,732 27,710 6,792 Total OI 349,364.81 297,159 393,384 340,082 338,757
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 2008-05-01 $77.75 $67.18 38.4% 11.0% 34.2% 50.3% 37.6% 2.4% -1.3% 12.4M -665.7M -4.2M 0.43 11.19 N/A N/A 19,340 8,370 195,117 144,965 2008-05-02 $80.36 $67.18 34.8% 10.0% 35.5% 39.8% 35.5% 3.6% 0.2% 13.9M -799.6M -4.2M 0.42 8.02 N/A N/A 11,912 4,994 193,192 147,065 2008-05-05 $82.38 $76.78 37.6% 10.4% 36.2% 48.0% 35.2% 4.2% 0.2% 15.8M -927.2M -4.1M 0.30 13.43 N/A N/A 10,190 3,038 198,194 150,000 2008-05-06 $85.58 $76.78 36.4% 10.1% 37.9% 44.5% 36.1% 3.8% 0.9% 16.5M -1.11B -4.0M 1.29 11.71 N/A N/A 15,151 19,581 200,037 151,046 2008-05-07 $83.26 $81.57 41.0% 10.8% 39.4% 58.3% 38.1% 4.1% 0.6% 14.0M -966.1M -4.3M 1.87 14.31 N/A N/A 8,225 15,377 205,169 162,885 2008-05-08 $84.38 $81.57 35.5% 10.4% 39.4% 41.7% 38.5% 4.3% 1.5% 14.4M -1.02B -4.4M 2.53 15.68 N/A N/A 3,727 9,412 207,018 168,053 2008-05-09 $84.31 $81.57 34.2% 10.4% 38.6% 33.7% 39.1% 3.9% 1.8% 14.1M -1.01B -4.5M 1.06 10.59 N/A N/A 4,582 4,856 206,792 171,972 2008-05-12 $84.46 $81.57 37.0% 10.6% 38.5% 42.8% 40.5% 4.7% 0.8% 13.7M -1.02B -4.3M 1.34 14.69 N/A N/A 3,450 4,615 206,431 172,347 2008-05-13 $86.51 $81.57 34.8% 10.4% 38.9% 35.7% 35.5% 5.1% 1.8% 13.4M -1.14B -4.2M 0.99 13.68 N/A N/A 7,312 7,203 206,971 174,057 2008-05-14 $85.22 $81.57 33.2% 10.6% 36.6% 30.7% 37.7% 4.6% 1.0% 15.2M -1.08B -4.3M 0.78 16.42 N/A N/A 11,188 8,713 209,795 174,458 2008-05-15 $87.17 $81.57 36.2% 10.4% 37.2% 40.2% 36.8% 4.5% 1.9% 11.2M -1.20B -4.3M 0.44 13.17 N/A N/A 6,209 2,725 211,801 177,255 2008-05-16 $91.16 $81.57 35.5% 10.2% 39.7% 37.9% 40.8% 6.3% 2.1% 48.3M -1.42B -4.2M 1.06 11.15 N/A N/A 13,752 14,590 215,197 178,187 2008-05-19 $91.61 $81.57 36.5% 10.5% 39.3% 41.2% 36.7% 5.7% 0.6% 6.0M -925.3M -4.2M 0.78 14.05 N/A N/A 8,694 6,759 156,456 140,703 2008-05-20 $93.91 $81.57 35.9% 10.3% 39.7% 39.4% 39.4% 6.4% 1.3% 6.6M -1.00B -4.2M 0.70 13.58 N/A N/A 13,284 9,272 159,689 141,750 2008-05-21 $92.56 $81.57 41.1% 11.8% 39.4% 55.9% 42.0% 5.7% 0.5% 6.1M -955.6M -4.5M 0.81 11.56 N/A N/A 12,534 10,174 166,961 148,111 2008-05-22 $92.16 $81.57 39.3% 11.3% 38.4% 50.0% 39.4% 5.3% 1.7% 5.9M -923.8M -4.6M 0.45 12.44 N/A N/A 10,728 4,853 169,947 152,824 2008-05-23 $89.58 $81.57 38.1% 10.9% 37.3% 46.2% 38.6% 5.4% 1.6% 5.5M -828.7M -4.8M 0.43 12.28 N/A N/A 11,470 4,928 175,327 154,027 2008-05-27 $87.68 $81.57 42.0% 12.0% 37.8% 58.5% 41.2% 4.6% 0.3% 5.0M -753.7M -4.8M 0.81 15.26 N/A N/A 4,814 3,910 177,719 154,866 2008-05-28 $89.37 $81.57 37.5% 10.8% 36.4% 44.4% 39.3% 4.3% 1.3% 5.8M -828.4M -4.7M 1.00 9.17 N/A N/A 5,481 5,469 177,390 156,484 2008-05-29 $87.26 $81.57 39.8% 11.4% 37.8% 51.7% 40.0% 3.6% 0.1% 4.5M -735.2M -4.8M 0.80 9.45 N/A N/A 4,154 3,316 179,097 158,549 2008-05-30 $88.22 $81.57 37.0% 10.6% 36.0% 42.8% 37.9% 3.2% 2.1% 5.1M -781.2M -4.8M 0.92 10.05 N/A N/A 3,545 3,247 179,304 159,453
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