OXY Options History — December 2008

In December 2008, OXY traded between $42.17 and $57.57. ATM implied volatility averaged 82.8%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded below realized volatility by 32.5% (HV 20d: 115.3%). Max pain ranged from $47.98 to $57.58. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2008-12-11: Highest Volume — 28,277 contracts
2008-12-30: Largest IV drop — 15.1% change
2008-12-01: Highest IV Rank — 57.0%
2008-12-01: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.28	$42.17	$57.57	$44.04	$57.57
Max Pain	$55.84	$47.98	$57.58	$47.98	$57.58
ATM IV	82.8%	61.0%	99.8%	99.8%	61.0%
Expected Move	23.9%	17.5%	28.6%	28.6%	17.5%
HV 20d	115.3%	75.3%	135.2%	128.3%	75.3%
HV 60d	129.8%	124.6%	133.6%	130.4%	124.6%
IV Rank	42.9%	24.5%	57.0%	57.0%	24.5%
IV Percentile	83.6%	74.2%	93.3%	93.3%	74.2%
Term Structure	-0.9%	-5.1%	4.7%	-1.5%	3.8%
VWIV	81.6%	64.7%	97.3%	97.3%	68.5%
Skew 25d	16.0%	12.3%	19.5%	13.7%	14.0%
Skew 10d	30.5%	24.9%	36.0%	29.6%	29.3%
Call IV 25d	74.8%	55.3%	91.8%	91.8%	55.3%
Put IV 25d	90.8%	69.3%	105.5%	105.5%	69.3%
Bid-Ask Spread %	9.78	4.56	15.32	14.71	5.93
Gamma HHI	0.16	0.13	0.25	0.13	0.25
Net GEX	1.4M	-46.2K	3.1M	222.1K	3.1M
Net DEX	78.7M	-128.8M	332.5M	242.5M	-128.8M
Net VEX	-3.3M	-3.8M	-2.7M	-3.0M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.25	2.05	2.05	0.69
Total Volume	12,690.136	4,263	28,277	19,545	16,129
Total OI	477,000.955	451,400	508,348	451,400	474,653

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
2008-12-01	$44.04	$47.98	99.8%	28.6%	128.3%	57.0%	97.3%	13.7%	-1.5%	222.1K	242.5M	-3.0M	2.05	14.71	N/A	N/A	6,406	13,139	255,185	196,215
2008-12-02	$45.42	$47.98	96.3%	27.6%	128.4%	54.1%	88.7%	17.0%	-0.3%	361.6K	257.2M	-3.1M	0.37	15.32	N/A	N/A	5,728	2,141	256,244	206,148
2008-12-03	$46.03	$47.98	86.4%	24.8%	123.8%	45.9%	83.8%	15.3%	4.7%	583.2K	247.8M	-3.1M	0.25	14.80	N/A	N/A	4,266	1,071	259,735	206,396
2008-12-04	$42.17	$47.98	94.2%	27.0%	124.8%	52.4%	92.2%	14.6%	2.2%	-46.2K	332.5M	-2.7M	0.35	13.36	N/A	N/A	5,286	1,856	260,145	206,727
2008-12-05	$44.33	$57.58	94.2%	27.8%	125.8%	52.4%	90.9%	15.6%	-3.6%	321.2K	274.9M	-2.9M	0.33	13.00	N/A	N/A	10,191	3,391	260,880	206,554
2008-12-08	$49.12	$57.58	90.4%	26.2%	131.3%	49.3%	79.7%	15.9%	-2.7%	1.2M	147.4M	-3.3M	1.14	11.57	N/A	N/A	9,305	10,570	260,040	207,175
2008-12-09	$49.49	$57.58	88.6%	26.5%	131.3%	47.7%	89.8%	16.9%	-3.4%	1.0M	136.5M	-3.3M	1.30	9.75	N/A	N/A	2,490	3,244	260,816	207,127
2008-12-10	$54.97	$57.58	84.5%	25.3%	135.2%	44.4%	81.2%	19.2%	-3.8%	2.4M	-69.4M	-3.7M	0.84	10.62	N/A	N/A	10,786	9,062	263,541	207,353
2008-12-11	$55.50	$57.58	85.0%	24.4%	127.7%	44.8%	86.9%	19.5%	-2.6%	2.3M	-91.9M	-3.8M	0.92	8.10	N/A	N/A	14,731	13,546	267,114	212,097
2008-12-12	$52.90	$57.58	89.4%	25.6%	124.4%	48.5%	88.4%	18.3%	-3.9%	1.6M	15.2M	-3.7M	1.14	8.49	N/A	N/A	4,890	5,553	272,243	217,184
2008-12-15	$52.56	$57.58	92.2%	26.4%	123.4%	50.8%	91.6%	19.2%	-5.1%	1.8M	18.3M	-3.6M	0.86	8.83	N/A	N/A	7,484	6,427	273,688	217,548
2008-12-16	$55.12	$57.58	87.8%	25.2%	123.6%	47.1%	88.9%	19.1%	-4.0%	2.9M	-65.9M	-3.7M	1.43	8.75	N/A	N/A	5,377	7,678	276,280	218,874
2008-12-17	$55.14	$57.58	85.6%	24.5%	123.3%	45.3%	82.7%	16.8%	-2.6%	3.1M	-78.4M	-3.7M	0.97	9.40	N/A	N/A	7,261	7,066	278,193	221,208
2008-12-18	$52.71	$57.58	83.7%	24.0%	122.8%	43.7%	82.1%	13.9%	-1.9%	1.6M	49.1M	-3.5M	0.43	9.20	N/A	N/A	10,623	4,573	282,107	224,448
2008-12-19	$54.27	$57.58	77.5%	22.2%	112.4%	38.6%	74.4%	12.3%	1.0%	1.5M	-44.8M	-3.5M	0.50	8.65	N/A	N/A	8,280	4,128	284,184	224,164
2008-12-22	$52.19	$57.58	75.5%	21.7%	103.3%	37.0%	75.5%	16.3%	0.1%	945.1K	97.8M	-3.3M	0.72	10.05	N/A	N/A	9,868	7,082	259,673	204,049
2008-12-23	$51.59	$57.58	71.4%	20.5%	100.5%	33.6%	73.1%	14.4%	1.1%	1.0M	122.5M	-3.2M	0.98	9.85	N/A	N/A	4,969	4,881	264,647	206,870
2008-12-24	$50.81	$57.58	71.8%	20.6%	100.7%	33.9%	76.6%	13.1%	-0.5%	624.0K	161.9M	-3.1M	1.12	7.82	N/A	N/A	2,011	2,252	265,287	208,544
2008-12-26	$51.96	$57.58	69.9%	20.0%	96.8%	32.4%	71.5%	14.5%	1.4%	869.1K	130.6M	-3.1M	0.89	6.59	N/A	N/A	3,125	2,769	264,689	208,019
2008-12-29	$54.09	$57.58	73.4%	21.0%	97.6%	35.2%	67.4%	16.8%	-1.8%	1.5M	41.6M	-3.2M	0.30	5.88	N/A	N/A	8,709	2,586	265,166	208,449
2008-12-30	$56.08	$57.58	62.3%	17.9%	75.4%	25.6%	64.7%	15.7%	3.8%	2.6M	-64.6M	-3.3M	0.56	4.56	N/A	N/A	5,281	2,972	269,385	204,977
2008-12-31	$57.57	$57.58	61.0%	17.5%	75.3%	24.5%	68.5%	14.0%	3.8%	3.1M	-128.8M	-3.3M	0.69	5.93	N/A	N/A	9,521	6,608	269,481	205,172