OXY Options History — July 2008 In July 2008, OXY traded between $69.31 and $87.75. ATM implied volatility averaged 47.2%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 4.7% (HV 20d: 42.5%). Max pain ranged from $76.78 to $86.37. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2008-07-16 : Highest Volume — 37,262 contracts2008-07-03 : Largest IV spike — 9.6% change2008-07-17 : Highest IV Rank — 93.7%2008-07-17 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $77.06 $69.31 $87.75 $87.75 $75.65 Max Pain $80.92 $76.78 $86.37 $86.37 $76.78 ATM IV 47.2% 38.4% 53.3% 38.4% 45.6% Expected Move 13.6% 11.0% 15.3% 11.0% 13.1% HV 20d 42.5% 36.0% 52.1% 40.7% 51.5% HV 60d 40.0% 37.2% 43.1% 37.2% 42.6% IV Rank 72.5% 44.9% 93.7% 44.9% 66.1% IV Percentile 92.3% 56.7% 99.2% 56.7% 90.1% Term Structure -1.5% -4.6% 6.1% 5.9% -0.8% VWIV 47.5% 38.2% 52.7% 38.2% 46.5% Skew 25d 3.1% 2.2% 4.7% 3.0% 2.4% Skew 10d 5.2% 2.6% 8.5% 6.0% 4.4% Call IV 25d 46.3% 37.5% 51.8% 37.5% 45.0% Put IV 25d 49.4% 40.5% 55.0% 40.5% 47.4% Bid-Ask Spread % 13.32 6.55 22.86 10.50 8.43 Gamma HHI 0.14 0.11 0.18 0.15 0.12 Net GEX 1.7M -2.3M 9.5M 9.5M 517.7K Net DEX -299.4M -787.7M 15.0M -787.7M -286.5M Net VEX -4.9M -5.2M -4.5M -5.1M -4.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.15 1.35 0.15 0.59 Total Volume 15,179.773 4,840 37,262 9,752 7,208 Total OI 378,332.136 361,683 409,278 363,279 386,881
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 2008-07-01 $87.75 $86.37 38.4% 11.0% 40.7% 44.9% 38.2% 3.0% 5.9% 9.5M -787.7M -5.1M 0.15 10.50 N/A N/A 8,484 1,268 197,989 165,290 2008-07-02 $84.86 $86.37 40.8% 11.7% 41.5% 52.8% 41.4% 4.4% 6.1% 7.7M -639.7M -5.2M 0.66 18.61 N/A N/A 3,554 2,357 200,010 162,950 2008-07-03 $83.73 $86.37 44.7% 12.8% 37.8% 65.8% 44.2% 3.8% 4.6% 6.4M -583.3M -5.1M 1.01 14.58 N/A N/A 3,728 3,784 198,614 163,069 2008-07-07 $81.02 $81.57 48.4% 14.5% 38.9% 78.0% 50.2% 4.7% -2.9% 3.9M -445.4M -5.1M 0.45 11.99 N/A N/A 9,442 4,259 199,654 164,046 2008-07-08 $79.20 $81.57 46.5% 13.9% 39.0% 70.5% 49.3% 4.0% -2.7% 2.4M -350.1M -5.0M 0.63 12.68 N/A N/A 20,174 12,637 202,249 164,976 2008-07-09 $77.73 $81.57 44.6% 13.9% 37.3% 64.2% 47.8% 2.6% -2.7% 1.2M -298.6M -5.1M 0.34 15.32 N/A N/A 9,340 3,145 209,252 172,004 2008-07-10 $80.23 $81.57 47.2% 13.5% 38.2% 73.1% 47.3% 4.1% -2.2% 3.7M -428.7M -5.2M 0.40 15.67 N/A N/A 6,708 2,675 208,650 172,380 2008-07-11 $80.66 $81.57 48.8% 14.0% 36.0% 77.5% 48.9% 2.7% -2.7% 4.2M -458.9M -5.2M 1.35 16.22 N/A N/A 4,837 6,529 209,693 173,135 2008-07-14 $80.67 $81.57 49.2% 14.1% 36.0% 79.0% 49.6% 3.3% -3.1% 3.7M -452.6M -5.1M 1.03 16.51 N/A N/A 2,382 2,458 209,037 174,551 2008-07-15 $76.97 $81.57 52.3% 15.0% 38.5% 90.2% 51.6% 3.2% -4.6% 88.1K -252.3M -5.0M 0.60 22.86 N/A N/A 16,430 9,854 209,952 174,497 2008-07-16 $73.90 $81.57 52.0% 14.9% 39.4% 89.0% 51.6% 3.3% -4.0% -1.6M -93.6M -4.9M 0.79 14.28 N/A N/A 20,775 16,487 218,951 177,212 2008-07-17 $72.07 $81.57 53.3% 15.3% 39.9% 93.7% 52.7% 3.3% -4.4% -2.3M -33.5M -4.9M 0.46 16.86 N/A N/A 13,386 6,138 222,395 181,383 2008-07-18 $74.46 $81.57 49.1% 14.1% 41.0% 78.7% 49.8% 2.5% -3.5% -131.1K -128.4M -4.9M 0.82 12.16 N/A N/A 11,394 9,332 225,365 183,913 2008-07-21 $76.75 $81.57 46.4% 13.3% 42.7% 68.8% 46.6% 2.8% -1.3% 1.5M -323.4M -5.0M 0.73 12.44 N/A N/A 7,204 5,273 197,511 168,459 2008-07-22 $73.90 $81.57 45.6% 13.1% 43.2% 65.8% 45.6% 2.4% -1.4% -591.8K -176.4M -4.8M 0.31 12.31 N/A N/A 12,261 3,836 198,719 170,384 2008-07-23 $69.31 $81.57 49.1% 14.1% 47.7% 78.6% 47.9% 2.4% -3.9% -2.2M 15.0M -4.5M 0.77 12.16 N/A N/A 12,229 9,386 200,378 171,714 2008-07-24 $70.38 $76.78 49.8% 14.3% 48.4% 81.2% 49.9% 2.7% -2.6% -1.6M -39.8M -4.7M 0.56 10.25 N/A N/A 12,277 6,879 199,272 172,050 2008-07-25 $72.66 $76.78 48.1% 13.8% 50.3% 75.2% 48.0% 3.1% -2.7% -444.1K -147.2M -4.8M 0.25 12.77 N/A N/A 9,337 2,360 203,303 173,793 2008-07-28 $73.01 $76.78 46.9% 13.5% 47.5% 70.7% 46.8% 2.2% -1.2% -773.6K -157.8M -4.7M 0.29 6.55 N/A N/A 5,359 1,564 204,511 174,224 2008-07-29 $72.89 $76.78 46.2% 13.2% 46.7% 68.0% 46.2% 3.1% -1.3% -621.7K -142.9M -4.7M 0.71 10.79 N/A N/A 6,002 4,269 205,544 174,218 2008-07-30 $77.44 $76.78 44.9% 12.9% 52.1% 63.5% 45.9% 3.1% -0.7% 1.9M -375.5M -4.8M 0.57 9.10 N/A N/A 10,816 6,138 205,450 175,679 2008-07-31 $75.65 $76.78 45.6% 13.1% 51.5% 66.1% 46.5% 2.4% -0.8% 517.7K -286.5M -4.9M 0.59 8.43 N/A N/A 4,542 2,666 208,871 178,010
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