OXY Options History — August 2008 In August 2008, OXY traded between $71.24 and $80.78. ATM implied volatility averaged 41.6%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 8.3% (HV 20d: 49.8%). Max pain ranged from $67.18 to $76.78. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.12.
Notable Days 2008-08-08 : Highest Volume — 21,884 contracts2008-08-04 : Largest IV spike — 18.1% change2008-08-04 : Highest IV Rank — 86.0%2008-08-04 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $75.38 $71.24 $80.78 $76.11 $76.16 Max Pain $71.52 $67.18 $76.78 $76.78 $71.98 ATM IV 41.6% 36.3% 51.1% 43.3% 38.6% Expected Move 12.0% 10.4% 13.6% 12.4% 11.1% HV 20d 49.8% 41.8% 56.3% 51.6% 44.4% HV 60d 44.2% 42.3% 45.4% 42.3% 44.3% IV Rank 51.3% 31.8% 86.0% 57.6% 40.4% IV Percentile 65.5% 32.9% 97.2% 81.3% 48.0% Term Structure 1.3% -0.7% 3.1% 1.4% 2.7% VWIV 42.1% 37.7% 47.1% 44.3% 38.6% Skew 25d 3.7% 2.2% 5.3% 2.2% 3.6% Skew 10d 6.6% 3.3% 10.8% 4.5% 6.3% Call IV 25d 40.1% 34.7% 46.1% 43.1% 37.0% Put IV 25d 43.8% 39.6% 48.8% 45.3% 40.6% Bid-Ask Spread % 13.63 6.61 19.46 6.61 14.10 Gamma HHI 0.14 0.10 0.30 0.13 0.12 Net GEX 2.0M -3.1M 7.2M 619.7K 5.0M Net DEX -305.1M -563.2M -66.6M -309.3M -376.6M Net VEX -4.6M -4.8M -4.3M -4.8M -4.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.17 5.59 0.38 0.71 Total Volume 11,074.238 4,088 21,884 5,055 5,332 Total OI 365,888.286 305,638 403,356 387,052 344,095
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 2008-08-01 $76.11 $76.78 43.3% 12.4% 51.6% 57.6% 44.3% 2.2% 1.4% 619.7K -309.3M -4.8M 0.38 6.61 N/A N/A 3,651 1,404 208,478 178,574 2008-08-04 $71.24 $67.18 51.1% 13.6% 55.2% 86.0% 47.1% 2.7% -0.7% -2.3M -66.6M -4.6M 0.80 13.32 N/A N/A 7,324 5,883 209,640 179,034 2008-08-05 $72.56 $67.18 47.5% 13.3% 55.5% 72.9% 45.6% 3.7% -0.6% -2.0M -119.1M -4.6M 0.44 14.91 N/A N/A 10,395 4,583 211,273 179,046 2008-08-06 $74.48 $67.18 44.9% 12.8% 56.3% 63.5% 45.4% 4.0% -0.1% -458.1K -229.3M -4.8M 0.54 13.69 N/A N/A 3,044 1,656 216,218 181,755 2008-08-07 $73.29 $71.98 44.2% 13.0% 55.0% 61.0% 45.0% 2.7% -0.1% -1.6M -172.2M -4.7M 5.59 14.50 N/A N/A 1,700 9,506 216,631 182,404 2008-08-08 $73.02 $71.98 40.5% 12.7% 54.9% 47.6% 44.5% 3.2% 0.4% -3.1M -136.9M -4.6M 1.23 13.66 N/A N/A 9,806 12,078 216,750 184,388 2008-08-11 $72.83 $71.98 44.3% 13.1% 54.9% 61.3% 45.0% 3.0% -0.3% -964.9K -149.9M -4.5M 0.58 19.46 N/A N/A 7,162 4,154 220,734 181,284 2008-08-12 $72.44 $71.98 41.9% 13.0% 52.6% 52.6% 45.1% 2.2% 0.6% -1.8M -130.3M -4.5M 0.55 17.05 N/A N/A 5,019 2,777 217,863 180,455 2008-08-13 $74.98 $71.98 40.5% 12.2% 52.2% 47.4% 42.1% 3.8% 1.7% 2.3M -286.7M -4.5M 0.51 13.00 N/A N/A 6,517 3,313 219,621 181,421 2008-08-14 $74.30 $71.98 44.2% 12.7% 51.5% 60.9% 43.6% 3.8% 0.9% 1.4M -248.6M -4.5M 0.91 15.33 N/A N/A 5,491 5,023 220,915 181,692 2008-08-15 $72.66 $71.98 43.3% 12.4% 50.8% 57.6% 43.5% 2.8% 1.4% -3.1M -205.9M -4.4M 1.44 12.43 N/A N/A 6,812 9,781 221,967 181,389 2008-08-18 $72.57 $71.98 42.8% 12.3% 49.4% 55.7% 43.2% 2.8% 0.5% 3.0M -259.4M -4.3M 1.31 13.00 N/A N/A 4,614 6,064 170,326 135,312 2008-08-19 $74.60 $71.98 39.0% 11.2% 48.7% 42.0% 39.5% 4.0% 1.8% 3.8M -326.8M -4.3M 1.05 17.18 N/A N/A 10,649 11,213 172,192 139,865 2008-08-20 $77.93 $71.98 39.3% 11.3% 44.6% 42.9% 39.7% 4.9% 1.6% 5.2M -447.9M -4.6M 0.84 8.69 N/A N/A 7,614 6,365 177,016 147,730 2008-08-21 $80.43 $71.98 37.8% 10.8% 45.4% 37.8% 39.5% 4.8% 1.8% 6.3M -553.7M -4.7M 0.39 15.29 N/A N/A 8,246 3,186 180,004 150,935 2008-08-22 $78.48 $71.98 38.6% 11.1% 45.7% 40.5% 37.7% 4.9% 1.8% 5.7M -476.5M -4.7M 0.54 10.13 N/A N/A 2,651 1,437 181,809 151,653 2008-08-25 $77.58 $71.98 39.6% 11.3% 46.0% 44.0% 40.0% 4.8% 2.7% 5.4M -436.1M -4.6M 4.02 11.54 N/A N/A 2,368 9,511 182,843 152,155 2008-08-26 $79.18 $71.98 37.0% 10.6% 46.4% 34.7% 39.0% 5.3% 3.0% 5.9M -489.9M -4.8M 0.75 15.42 N/A N/A 3,199 2,411 183,246 160,434 2008-08-27 $80.78 $71.98 36.3% 10.4% 41.8% 31.8% 38.5% 4.9% 3.1% 7.2M -563.2M -4.7M 0.17 8.70 N/A N/A 6,962 1,214 184,681 155,995 2008-08-28 $77.32 $71.98 38.1% 10.9% 44.0% 38.2% 37.7% 4.3% 2.7% 5.8M -421.3M -4.6M 0.77 18.19 N/A N/A 7,045 5,399 186,943 154,888 2008-08-29 $76.16 $71.98 38.6% 11.1% 44.4% 40.4% 38.6% 3.6% 2.7% 5.0M -376.6M -4.6M 0.71 14.10 N/A N/A 3,123 2,209 187,664 156,431
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