OXY Options History — October 2008 In October 2008, OXY traded between $40.38 and $64.70. ATM implied volatility averaged 105.0%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 28.5% (HV 20d: 133.5%). Max pain ranged from $57.58 to $76.78. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.75.
Notable Days 2008-10-28 : Highest Volume — 53,559 contracts2008-10-15 : Largest IV spike — 30.0% change2008-10-02 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 35.7%Monthly Statistics Metric Avg Min Max Open Close Price $49.43 $40.38 $64.70 $64.70 $53.30 Max Pain $65.09 $57.58 $76.78 $67.18 $57.58 ATM IV 105.0% 74.0% 151.9% 74.0% 85.4% Expected Move 27.9% 21.2% 35.7% 21.2% 24.5% HV 20d 133.5% 100.2% 159.8% 100.2% 159.8% HV 60d 90.8% 69.2% 110.7% 69.2% 110.7% IV Rank 72.5% 42.3% 100.0% 75.6% 45.1% IV Percentile 97.4% 91.7% 100.0% 99.6% 91.7% Term Structure -11.3% -20.7% -0.8% -8.1% -0.8% VWIV 93.4% 72.2% 111.4% 72.2% 84.0% Skew 25d 17.4% 9.2% 25.4% 10.5% 17.1% Skew 10d 30.0% 14.5% 48.6% 16.7% 33.6% Call IV 25d 87.2% 66.2% 111.0% 66.2% 76.9% Put IV 25d 104.6% 76.7% 125.1% 76.7% 94.0% Bid-Ask Spread % 18.31 11.68 48.00 13.77 13.32 Gamma HHI 0.11 0.09 0.12 0.11 0.10 Net GEX -41.0K -1.4M 1.3M 742.6K 1.3M Net DEX 263.2M -1.9M 445.7M -1.9M 48.7M Net VEX -3.5M -4.5M -2.6M -4.5M -4.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.25 3.61 0.80 0.39 Total Volume 20,682.783 7,423 53,559 7,423 7,888 Total OI 445,197.043 389,407 490,092 389,407 490,092
Daily Data (23 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 2008-10-01 $64.70 $67.18 74.0% 21.2% 100.2% 75.6% 72.2% 10.5% -8.1% 742.6K -1.9M -4.5M 0.80 13.77 N/A N/A 4,120 3,303 215,349 174,058 2008-10-02 $59.40 $67.18 90.5% 26.0% 104.0% 100.0% 85.4% 11.1% -11.0% -395.4K 146.2M -4.2M 0.51 12.24 N/A N/A 15,975 8,119 216,129 175,356 2008-10-03 $59.05 $67.18 86.8% 24.9% 104.0% 93.8% 81.5% 9.2% -8.4% -188.4K 150.9M -4.2M 1.31 14.05 N/A N/A 6,961 9,132 225,718 179,734 2008-10-06 $56.44 $76.78 109.3% 25.3% 104.8% 100.0% 87.9% 19.8% -16.6% -693.1K 216.5M -4.1M 1.21 12.50 N/A N/A 10,584 12,782 226,850 186,755 2008-10-07 $51.71 $71.98 110.9% 26.9% 105.2% 100.0% 88.5% 11.0% -16.3% -1.4M 334.7M -3.6M 1.35 14.45 N/A N/A 9,221 12,462 229,394 191,991 2008-10-08 $52.35 $71.98 113.9% 27.2% 102.8% 100.0% 91.7% 13.7% -15.2% -1.0M 332.2M -3.7M 0.62 17.30 N/A N/A 20,619 12,845 231,475 192,247 2008-10-09 $46.07 $71.98 129.0% 31.9% 110.5% 100.0% 100.4% 14.7% -20.1% -645.0K 358.9M -3.2M 0.67 24.75 N/A N/A 6,877 4,630 240,679 194,007 2008-10-10 $42.13 $71.98 151.9% 35.7% 111.1% 100.0% 111.4% 14.2% -20.7% -564.7K 373.3M -2.9M 0.64 48.00 N/A N/A 18,924 12,026 241,221 194,548 2008-10-13 $49.20 $67.18 123.2% 29.1% 126.8% 76.3% 97.8% 21.2% -14.2% -559.7K 376.9M -3.4M 0.65 24.46 N/A N/A 10,833 7,056 248,504 198,156 2008-10-14 $50.44 $67.18 114.1% 26.7% 126.5% 68.8% 89.3% 19.5% -12.5% -460.8K 357.1M -3.5M 0.25 16.52 N/A N/A 17,687 4,506 250,213 198,660 2008-10-15 $41.11 $67.18 148.3% 33.0% 143.4% 97.0% 109.8% 17.6% -19.9% -619.6K 445.7M -2.6M 0.63 25.37 N/A N/A 10,647 6,695 253,000 199,457 2008-10-16 $44.47 $67.18 114.9% 32.9% 146.9% 69.4% 103.3% 25.4% -18.7% -456.1K 410.5M -2.9M 0.27 17.79 N/A N/A 28,861 7,723 255,906 196,763 2008-10-17 $44.63 $67.18 103.7% 29.7% 136.7% 60.2% 97.7% 20.4% -11.9% 1.8K 353.2M -3.2M 0.30 20.04 N/A N/A 12,653 3,815 279,999 199,113 2008-10-20 $51.37 $62.38 82.0% 23.5% 148.8% 42.3% 83.2% 21.0% -4.1% 434.1K 197.0M -3.7M 0.31 19.62 N/A N/A 10,883 3,357 256,242 185,698 2008-10-21 $47.53 $62.38 87.7% 25.2% 149.8% 47.1% 84.9% 14.6% -6.9% 341.6K 267.4M -3.3M 0.31 19.03 N/A N/A 14,785 4,583 261,922 187,088 2008-10-22 $43.09 $62.38 102.8% 29.5% 152.0% 59.4% 98.3% 18.9% -10.3% 58.6K 325.3M -2.9M 0.84 15.51 N/A N/A 9,712 8,204 261,234 186,767 2008-10-23 $46.63 $62.38 97.3% 27.9% 156.0% 55.0% 93.4% 18.5% -7.5% 292.1K 245.3M -3.4M 0.45 15.78 N/A N/A 14,680 6,671 263,742 191,431 2008-10-24 $43.85 $57.58 106.5% 30.5% 156.4% 62.6% 104.8% 21.6% -9.8% 252.9K 287.7M -3.1M 0.54 15.00 N/A N/A 4,896 2,664 269,113 192,573 2008-10-27 $40.38 $57.58 111.9% 32.1% 148.1% 67.0% 105.6% 20.0% -11.7% -21.2K 353.6M -2.6M 0.65 18.83 N/A N/A 9,400 6,133 269,803 193,369 2008-10-28 $47.70 $57.58 90.4% 25.9% 158.8% 49.3% 93.2% 20.8% -5.1% 480.0K 241.2M -3.4M 3.61 15.02 N/A N/A 11,609 41,950 273,146 195,793 2008-10-29 $48.83 $57.58 93.5% 26.8% 159.1% 51.8% 92.3% 18.5% -6.4% 855.7K 165.7M -3.7M 0.44 16.21 N/A N/A 19,327 8,542 279,786 199,961 2008-10-30 $52.52 $57.58 87.5% 25.1% 159.6% 46.8% 91.3% 19.8% -4.1% 1.3M 67.1M -4.1M 0.52 11.68 N/A N/A 7,474 3,890 282,290 204,200 2008-10-31 $53.30 $57.58 85.4% 24.5% 159.8% 45.1% 84.0% 17.1% -0.8% 1.3M 48.7M -4.2M 0.39 13.32 N/A N/A 5,678 2,210 283,449 206,643
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