OXY Options History — June 2008

In June 2008, OXY traded between $81.44 and $89.79. ATM implied volatility averaged 41.7%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.8% (HV 20d: 38.9%). Max pain ranged from $81.57 to $86.37. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2008-06-06: Highest Volume — 29,499 contracts
  • 2008-06-23: Largest IV drop — 8.3% change
  • 2008-06-19: Highest IV Rank — 66.3%
  • 2008-06-19: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.51$81.44$89.79$88.77$86.24
Max Pain$85.69$81.57$86.37$81.57$81.57
ATM IV41.7%38.5%44.7%39.1%38.5%
Expected Move12.0%11.0%12.8%11.2%11.0%
HV 20d38.9%34.6%42.5%34.6%41.7%
HV 60d37.5%35.0%41.2%40.4%37.1%
IV Rank56.5%45.8%66.3%48.1%45.8%
IV Percentile81.6%57.9%94.0%68.3%57.9%
Term Structure2.1%-0.5%5.0%0.9%4.9%
VWIV41.6%38.6%44.6%39.0%39.3%
Skew 25d3.5%2.3%5.1%3.7%2.4%
Skew 10d6.6%4.4%8.3%7.3%4.4%
Call IV 25d40.2%36.9%43.2%36.9%38.3%
Put IV 25d43.8%40.2%46.0%40.7%40.7%
Bid-Ask Spread %12.307.8816.759.6615.82
Gamma HHI0.140.120.190.160.15
Net GEX2.9M-1.5M8.4M5.2M8.4M
Net DEX-609.5M-820.5M-146.4M-814.4M-720.1M
Net VEX-5.0M-5.3M-2.7M-4.7M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.132.090.830.82
Total Volume14,398.0485,57929,49910,26223,685
Total OI357,873.048223,647400,687339,044354,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$88.77$81.5739.1%11.2%34.6%48.1%39.0%3.7%0.9%5.2M-814.4M-4.7M0.839.66N/AN/A5,6054,657178,902160,142
2008-06-03$86.05$81.5740.8%11.7%36.0%53.5%40.9%3.2%0.2%3.1M-682.7M-4.8M1.1210.34N/AN/A6,6597,452181,393162,815
2008-06-04$83.88$86.3741.3%11.8%34.7%55.1%40.2%2.7%-0.5%815.5K-547.3M-4.8M0.5810.07N/AN/A6,9424,024179,992165,532
2008-06-05$87.95$86.3738.7%11.1%37.2%46.7%38.6%3.2%1.0%3.4M-752.0M-4.7M2.0916.07N/AN/A8,03016,815178,168166,068
2008-06-06$88.96$86.3741.8%12.1%37.1%57.1%42.0%3.3%1.5%3.8M-772.1M-5.2M0.3112.66N/AN/A22,5536,946180,305179,872
2008-06-09$89.79$86.3741.3%11.9%37.2%55.3%42.0%3.6%1.6%4.3M-820.5M-5.1M1.1712.49N/AN/A5,7576,738185,220181,554
2008-06-10$86.25$86.3742.7%12.4%40.3%59.9%43.3%3.2%1.6%2.4M-652.8M-5.2M0.6814.21N/AN/A6,2574,239187,973180,763
2008-06-11$88.31$86.3741.6%12.2%40.2%56.4%41.9%4.0%1.8%4.1M-772.7M-5.2M0.5112.19N/AN/A8,0444,101190,857182,211
2008-06-12$84.83$86.3743.4%12.4%42.5%62.1%43.6%3.0%2.5%1.3M-579.1M-5.3M1.119.73N/AN/A6,8667,655194,342184,258
2008-06-13$84.52$86.3741.9%12.0%41.7%57.1%42.1%3.0%2.6%-53.4K-549.4M-5.3M0.6514.93N/AN/A3,3842,195196,508188,569
2008-06-16$85.93$86.3743.9%12.6%38.6%63.7%44.6%3.8%1.7%-1.5M-146.4M-2.7M1.4012.35N/AN/A6,4008,928101,841121,806
2008-06-17$87.47$86.3742.9%12.3%39.2%60.3%42.8%4.3%1.5%1.8M-752.0M-5.1M0.9414.12N/AN/A4,4714,215199,642193,257
2008-06-18$86.62$86.3742.4%12.2%37.9%58.8%42.2%4.8%2.4%-1.1M-696.6M-5.1M0.3511.59N/AN/A7,2262,528199,424195,664
2008-06-19$83.39$86.3744.7%12.8%39.7%66.3%43.2%3.7%1.1%148.0K-472.6M-5.1M0.819.25N/AN/A8,9507,274202,590194,943
2008-06-20$82.19$86.3744.2%12.7%39.8%64.8%43.6%2.3%2.1%1.9M-444.8M-5.2M1.0413.61N/AN/A7,1397,435204,582196,105
2008-06-23$84.08$86.3740.5%11.6%40.1%52.8%40.4%5.1%2.9%3.5M-550.7M-5.1M0.3111.53N/AN/A16,8865,170176,533159,817
2008-06-24$82.59$86.3742.2%12.1%39.9%58.3%40.7%3.9%2.4%3.7M-501.2M-5.1M0.138.91N/AN/A8,3551,057186,850160,989
2008-06-25$81.44$86.3742.0%12.0%39.2%57.2%41.4%3.7%2.9%3.6M-462.6M-5.2M0.5014.18N/AN/A15,7477,931190,684160,754
2008-06-26$81.52$86.3742.0%12.0%38.5%57.3%42.1%3.6%3.5%4.4M-485.4M-5.2M0.497.88N/AN/A4,6512,282195,111160,019
2008-06-27$84.88$86.3739.8%11.4%41.3%50.0%40.0%3.8%5.0%6.7M-624.3M-5.2M0.2616.75N/AN/A5,6621,448195,111160,019
2008-06-30$86.24$81.5738.5%11.0%41.7%45.8%39.3%2.4%4.9%8.4M-720.1M-5.0M0.8215.82N/AN/A12,98410,701193,969160,180