OXY Options History — November 2008

In November 2008, OXY traded between $39.08 and $55.74. ATM implied volatility averaged 88.7%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded below realized volatility by 45.4% (HV 20d: 134.1%). Max pain ranged from $47.98 to $57.58. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2008-11-12: Highest Volume — 28,491 contracts
  • 2008-11-12: Largest IV spike — 21.6% change
  • 2008-11-20: Highest IV Rank — 68.8%
  • 2008-11-20: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.31$39.08$55.74$51.03$51.96
Max Pain$50.76$47.98$57.58$57.58$47.98
ATM IV88.7%68.4%114.1%84.1%77.9%
Expected Move25.3%19.6%32.7%24.1%22.3%
HV 20d134.1%113.9%162.2%159.7%114.4%
HV 60d118.1%111.0%126.3%111.0%126.2%
IV Rank47.8%31.1%68.8%44.1%38.9%
IV Percentile91.6%85.3%98.0%91.3%85.3%
Term Structure-0.3%-4.4%6.1%-3.1%5.9%
VWIV86.1%73.0%109.2%86.9%79.3%
Skew 25d17.8%15.3%20.1%16.7%17.1%
Skew 10d33.8%27.2%38.5%27.2%33.6%
Call IV 25d79.1%64.7%104.9%78.2%70.6%
Put IV 25d97.0%80.5%123.9%95.0%87.7%
Bid-Ask Spread %14.009.8518.1213.2314.94
Gamma HHI0.130.100.170.100.13
Net GEX639.1K-532.1K1.6M942.0K1.6M
Net DEX182.6M-16.1M373.4M137.6M31.8M
Net VEX-3.5M-4.2M-2.6M-3.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.171.921.030.34
Total Volume12,014.3163,97428,4915,2363,974
Total OI491,265.158432,660528,375492,693451,094

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$51.03$57.5884.1%24.1%159.7%44.1%86.9%16.7%-3.1%942.0K137.6M-3.9M1.0313.23N/AN/A2,5752,661285,544207,149
2008-11-04$55.74$57.5868.4%19.6%159.9%31.1%73.6%15.8%0.6%1.6M-16.1M-4.2M0.5014.45N/AN/A12,8246,374285,270204,252
2008-11-05$51.77$52.7876.2%21.8%162.2%37.6%77.3%15.3%0.1%1.6M98.1M-3.9M1.5015.81N/AN/A3,0494,559293,228205,047
2008-11-06$49.43$52.7890.3%25.9%156.1%49.1%85.4%18.1%-4.4%1.2M165.2M-3.7M0.7810.49N/AN/A4,8463,772293,666206,488
2008-11-07$50.35$47.9882.0%23.5%152.3%42.3%80.6%18.7%-1.7%1.3M159.6M-3.7M0.599.85N/AN/A5,2663,085295,258207,422
2008-11-10$50.85$47.9876.9%22.4%142.2%38.1%73.0%20.1%-0.7%1.5M139.4M-3.7M0.5111.50N/AN/A4,5952,358292,895206,997
2008-11-11$48.38$47.9885.0%24.0%143.0%44.8%79.5%18.3%-2.3%896.6K220.2M-3.4M1.4110.54N/AN/A2,1443,017294,358207,716
2008-11-12$43.25$52.78103.4%27.8%128.7%60.0%90.3%16.9%-2.9%7.5K306.9M-3.0M0.3112.88N/AN/A21,7636,728294,412208,480
2008-11-13$48.11$52.7889.0%25.5%131.2%48.1%80.9%17.6%-1.7%386.3K214.6M-3.4M0.4713.08N/AN/A9,0304,211289,114210,800
2008-11-14$46.25$52.7890.5%25.9%132.1%49.3%93.1%17.5%-1.3%116.3K249.4M-3.3M1.6914.17N/AN/A3,9506,691291,957212,018
2008-11-17$45.12$52.7898.6%28.3%121.7%56.0%94.8%18.3%-3.1%-201.2K281.0M-3.1M0.3112.66N/AN/A6,9292,129292,192213,654
2008-11-18$46.67$52.7893.6%26.8%119.5%51.9%94.7%19.7%-1.7%-91.2K247.3M-3.3M0.3313.81N/AN/A7,5422,472294,259214,500
2008-11-19$44.26$47.98100.6%28.8%115.6%57.6%92.7%17.8%-2.0%-284.3K308.5M-3.0M0.1714.12N/AN/A15,4092,580295,745215,184
2008-11-20$39.08$47.98114.1%32.7%120.0%68.8%109.2%19.0%-2.7%-532.1K373.4M-2.6M1.9213.83N/AN/A5,87111,289305,165216,026
2008-11-21$45.12$47.98100.3%28.8%129.7%57.4%94.8%19.1%0.9%-122.6K278.0M-3.2M0.4916.60N/AN/A8,1333,981305,592222,783
2008-11-24$48.51$47.9890.8%26.0%128.1%49.6%87.5%17.5%3.1%291.6K137.2M-3.5M0.3517.91N/AN/A13,0064,603240,955191,705
2008-11-25$48.97$47.9886.2%24.7%113.9%45.7%85.0%17.8%4.4%644.4K123.4M-3.5M0.8218.12N/AN/A4,0983,373247,134193,578
2008-11-26$53.05$47.9877.2%22.1%117.1%38.4%77.9%17.9%6.1%1.3M14.2M-3.8M0.2418.09N/AN/A15,6093,776248,251194,150
2008-11-28$51.96$47.9877.9%22.3%114.4%38.9%79.3%17.1%5.9%1.6M31.8M-3.7M0.3414.94N/AN/A2,976998255,614195,480