OXY Options History — September 2008 In September 2008, OXY traded between $62.38 and $77.97. ATM implied volatility averaged 55.0%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 6.7% (HV 20d: 61.7%). Max pain ranged from $67.18 to $71.98. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2008-09-18 : Highest Volume — 39,628 contracts2008-09-29 : Largest IV spike — 57.6% change2008-09-09 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 25.4%Monthly Statistics Metric Avg Min Max Open Close Price $70.00 $62.38 $77.97 $72.29 $67.61 Max Pain $68.78 $67.18 $71.98 $71.98 $67.18 ATM IV 55.0% 44.1% 88.4% 45.1% 66.7% Expected Move 15.6% 12.7% 25.4% 12.9% 19.1% HV 20d 61.7% 40.7% 99.2% 41.8% 99.2% HV 60d 52.2% 44.0% 68.8% 45.3% 68.8% IV Rank 81.5% 59.4% 100.0% 63.9% 63.2% IV Percentile 95.8% 82.1% 100.0% 87.7% 99.6% Term Structure -2.3% -16.0% 2.4% -1.1% -5.0% VWIV 54.3% 44.0% 84.2% 44.8% 65.7% Skew 25d 4.9% 1.6% 7.9% 3.3% 7.8% Skew 10d 8.9% 1.3% 15.5% 4.4% 11.1% Call IV 25d 52.0% 42.6% 83.0% 43.2% 63.1% Put IV 25d 56.9% 46.2% 90.1% 46.5% 70.9% Bid-Ask Spread % 14.94 7.61 35.02 14.50 20.84 Gamma HHI 0.13 0.10 0.33 0.10 0.11 Net GEX 2.5M -1.9M 18.1M 2.1M 1.8M Net DEX -174.1M -601.7M 103.3M -206.2M -92.9M Net VEX -4.5M -5.0M -3.9M -4.4M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.33 0.98 0.57 0.53 Total Volume 15,330.048 7,005 39,628 10,144 17,334 Total OI 367,358.476 346,103 405,821 346,103 385,156
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 2008-09-02 $72.29 $71.98 45.1% 12.9% 41.8% 63.9% 44.8% 3.3% -1.1% 2.1M -206.2M -4.4M 0.57 14.50 N/A N/A 6,481 3,663 188,296 157,807 2008-09-03 $72.45 $71.98 44.1% 12.7% 41.3% 59.4% 44.0% 3.6% 0.1% 2.0M -207.5M -4.5M 0.36 9.77 N/A N/A 9,499 3,377 187,615 159,055 2008-09-04 $70.62 $71.98 46.3% 13.3% 41.0% 66.9% 47.2% 2.9% -2.0% 729.9K -129.3M -4.4M 0.33 14.37 N/A N/A 8,352 2,719 187,752 160,025 2008-09-05 $70.32 $71.98 45.6% 13.0% 40.7% 64.3% 45.8% 3.9% 0.1% 781.2K -126.3M -4.4M 0.98 11.15 N/A N/A 4,694 4,598 189,325 160,551 2008-09-08 $69.03 $71.98 49.3% 13.5% 41.1% 77.7% 46.9% 4.0% -0.2% -119.9K -78.2M -4.2M 0.82 12.19 N/A N/A 4,240 3,460 189,901 161,752 2008-09-09 $63.50 $71.98 58.6% 15.0% 50.1% 100.0% 51.7% 2.6% -1.1% -1.9M 103.3M -3.9M 0.74 7.61 N/A N/A 9,723 7,199 191,115 160,899 2008-09-10 $67.04 $71.98 52.9% 14.5% 54.6% 80.7% 50.3% 4.6% -1.7% -524.1K -16.7M -4.1M 0.42 13.94 N/A N/A 11,708 4,904 193,117 161,096 2008-09-11 $67.04 $67.18 51.8% 14.9% 52.7% 76.9% 51.8% 4.7% -1.1% 218.1K -29.0M -4.2M 0.82 10.09 N/A N/A 8,035 6,625 196,140 160,758 2008-09-12 $69.54 $67.18 50.5% 14.5% 54.8% 72.3% 49.4% 4.3% -0.8% 1.4M -134.6M -4.4M 0.34 11.03 N/A N/A 5,224 1,781 198,113 164,443 2008-09-15 $64.93 $67.18 54.1% 15.5% 59.2% 84.5% 53.8% 4.5% -2.2% -860.5K 37.0M -4.0M 0.78 14.83 N/A N/A 11,191 8,758 199,651 164,509 2008-09-16 $67.00 $67.18 55.7% 16.0% 60.6% 90.2% 55.9% 5.5% -2.9% -292.9K -21.0M -4.2M 0.80 11.04 N/A N/A 16,693 13,273 203,740 169,615 2008-09-17 $66.27 $67.18 58.7% 16.8% 59.5% 100.0% 58.0% 4.9% -4.6% -480.5K -16.8M -4.2M 0.64 18.04 N/A N/A 14,371 9,207 205,207 172,557 2008-09-18 $68.09 $67.18 59.2% 17.0% 57.9% 100.0% 58.9% 1.6% -4.9% 871.9K -88.5M -4.5M 0.49 35.02 N/A N/A 26,568 13,060 212,344 175,753 2008-09-19 $77.26 $67.18 52.9% 15.2% 73.8% 78.9% 54.7% 5.9% -1.6% 18.1M -601.7M -5.0M 0.34 21.19 N/A N/A 12,979 4,399 226,430 179,391 2008-09-22 $77.97 $67.18 54.3% 15.6% 73.4% 83.8% 54.6% 5.7% -1.3% 6.8M -550.8M -4.9M 0.67 10.43 N/A N/A 9,189 6,158 203,548 164,340 2008-09-23 $74.05 $67.18 58.0% 16.6% 75.6% 96.0% 56.9% 5.8% -1.8% 4.9M -377.9M -4.9M 0.55 16.22 N/A N/A 4,859 2,688 206,297 167,599 2008-09-24 $73.56 $67.18 57.6% 16.5% 75.1% 94.6% 56.8% 6.5% -1.1% 4.6M -346.4M -4.9M 0.73 18.57 N/A N/A 7,272 5,305 206,713 168,043 2008-09-25 $74.74 $67.18 49.8% 14.3% 74.9% 68.8% 51.6% 6.1% 2.4% 5.4M -385.0M -4.9M 0.66 13.52 N/A N/A 4,603 3,015 208,506 167,738 2008-09-26 $74.21 $67.18 56.1% 16.1% 73.5% 89.8% 56.6% 7.9% -0.5% 5.3M -373.4M -4.9M 0.93 12.21 N/A N/A 6,178 5,766 210,682 167,942 2008-09-29 $62.38 $67.18 88.4% 25.4% 95.5% 100.0% 84.2% 7.0% -16.0% 1.0M -14.0M -4.5M 0.75 17.24 N/A N/A 7,301 5,482 209,906 171,101 2008-09-30 $67.61 $67.18 66.7% 19.1% 99.2% 63.2% 65.7% 7.8% -5.0% 1.8M -92.9M -4.7M 0.53 20.84 N/A N/A 11,345 5,989 212,768 172,388
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