OXY Options History — January 2009

In January 2009, OXY traded between $48.83 and $59.65. ATM implied volatility averaged 62.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 2.6% (HV 20d: 59.9%). Max pain ranged from $52.78 to $57.58. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2009-01-15: Highest Volume — 51,620 contracts
2009-01-12: Largest IV spike — 17.6% change
2009-01-12: Highest IV Rank — 34.9%
2009-01-20: Largest Expected Move — 20.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.28	$48.83	$59.65	$59.65	$52.35
Max Pain	$55.42	$52.78	$57.58	$57.58	$52.78
ATM IV	62.5%	50.7%	74.2%	61.5%	53.2%
Expected Move	18.1%	14.5%	20.7%	17.6%	15.3%
HV 20d	59.9%	52.2%	75.8%	75.8%	63.3%
HV 60d	105.5%	92.3%	123.4%	123.4%	92.7%
IV Rank	25.1%	15.2%	34.9%	24.9%	17.3%
IV Percentile	71.2%	60.7%	77.4%	74.2%	62.7%
Term Structure	-0.4%	-4.3%	2.7%	2.7%	1.9%
VWIV	62.9%	51.9%	72.3%	63.3%	53.6%
Skew 25d	13.1%	9.2%	14.7%	14.3%	11.5%
Skew 10d	25.2%	16.9%	29.6%	29.6%	21.5%
Call IV 25d	56.1%	47.4%	63.7%	53.7%	48.0%
Put IV 25d	69.2%	57.1%	77.5%	68.0%	59.5%
Bid-Ask Spread %	7.55	4.73	9.72	4.73	7.46
Gamma HHI	0.23	0.13	0.36	0.30	0.24
Net GEX	2.3M	295.0K	4.3M	4.2M	2.7M
Net DEX	-58.6M	-255.5M	157.4M	-255.5M	-49.8M
Net VEX	-2.9M	-3.3M	-2.5M	-3.3M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.43	1.47	1.12	0.95
Total Volume	21,104.4	5,167	51,620	16,309	24,415
Total OI	393,814.95	241,402	517,631	479,095	297,468

Daily Data (20 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
2009-01-02	$59.65	$57.58	61.5%	17.6%	75.8%	24.9%	63.3%	14.3%	2.7%	4.2M	-255.5M	-3.3M	1.12	4.73	N/A	N/A	7,689	8,620	272,842	206,253
2009-01-05	$59.25	$57.58	63.4%	18.4%	66.4%	26.2%	62.8%	14.2%	-1.4%	4.3M	-238.1M	-3.2M	0.58	7.63	N/A	N/A	21,050	12,174	274,611	208,107
2009-01-06	$59.16	$57.58	64.3%	18.7%	65.5%	26.6%	62.0%	14.7%	-2.2%	3.9M	-223.6M	-3.2M	1.16	5.21	N/A	N/A	6,575	7,627	272,605	209,711
2009-01-07	$55.77	$57.58	63.2%	19.1%	61.7%	25.7%	66.1%	14.3%	-3.0%	2.1M	-47.6M	-3.0M	0.80	7.01	N/A	N/A	19,490	15,674	273,378	212,232
2009-01-08	$56.62	$57.58	59.8%	18.9%	61.8%	22.8%	67.7%	14.4%	-1.9%	2.9M	-97.1M	-3.0M	0.73	7.98	N/A	N/A	6,506	4,746	275,505	212,347
2009-01-09	$54.03	$57.58	63.1%	19.6%	52.5%	25.5%	65.2%	13.1%	-3.0%	1.5M	28.3M	-2.9M	0.47	8.51	N/A	N/A	14,210	6,693	278,347	213,757
2009-01-12	$52.18	$57.58	74.2%	20.2%	53.7%	34.9%	70.1%	13.2%	-4.3%	295.0K	126.2M	-2.7M	0.75	6.23	N/A	N/A	7,800	5,815	277,870	213,889
2009-01-13	$54.04	$57.58	68.7%	18.9%	52.6%	30.3%	64.2%	12.8%	-1.2%	1.4M	23.1M	-2.7M	0.56	8.33	N/A	N/A	16,419	9,200	278,895	212,297
2009-01-14	$51.57	$57.58	69.0%	19.7%	55.2%	30.5%	72.3%	13.6%	-2.1%	589.2K	125.8M	-2.7M	1.30	7.07	N/A	N/A	9,942	12,930	285,733	215,680
2009-01-15	$51.37	$57.58	67.9%	19.5%	52.2%	29.6%	71.5%	13.8%	0.3%	1.5M	111.3M	-2.6M	1.47	8.14	N/A	N/A	20,928	30,692	286,619	215,700
2009-01-16	$51.37	$57.58	63.5%	18.2%	52.2%	25.9%	64.6%	13.0%	2.0%	1.1M	157.4M	-2.7M	0.43	8.03	N/A	N/A	8,672	3,687	296,289	221,342
2009-01-20	$48.83	$52.78	72.1%	20.7%	52.8%	33.1%	70.7%	14.3%	-1.2%	438.3K	20.7M	-2.5M	0.55	8.90	N/A	N/A	12,258	6,724	129,334	112,068
2009-01-21	$53.54	$52.78	62.0%	17.8%	61.9%	24.6%	61.7%	14.0%	0.1%	1.7M	-87.6M	-2.8M	0.54	7.67	N/A	N/A	17,358	9,354	137,240	115,386
2009-01-22	$51.98	$52.78	60.7%	17.4%	61.2%	23.5%	61.2%	14.0%	1.4%	1.8M	-65.9M	-2.8M	0.78	8.66	N/A	N/A	11,098	8,608	147,256	119,324
2009-01-23	$53.30	$52.78	58.6%	16.8%	61.7%	21.8%	58.1%	12.6%	2.0%	2.4M	-102.1M	-2.9M	0.72	8.32	N/A	N/A	8,428	6,089	151,600	121,730
2009-01-26	$54.53	$52.78	61.5%	17.6%	61.8%	24.2%	57.6%	12.3%	0.5%	2.7M	-132.1M	-3.0M	0.45	5.94	N/A	N/A	10,609	4,745	151,931	122,930
2009-01-27	$54.44	$52.78	58.8%	16.9%	61.4%	21.9%	60.4%	12.6%	0.1%	3.3M	-131.6M	-3.0M	1.29	9.72	N/A	N/A	2,254	2,913	156,912	123,971
2009-01-28	$56.99	$52.78	50.7%	14.5%	61.9%	15.2%	52.4%	9.7%	0.6%	4.2M	-203.3M	-3.0M	1.02	9.60	N/A	N/A	13,242	13,529	156,538	123,757
2009-01-29	$54.53	$52.78	54.6%	15.7%	62.7%	18.4%	51.9%	9.2%	1.4%	3.7M	-129.9M	-3.0M	0.82	5.93	N/A	N/A	7,328	5,997	164,244	130,601
2009-01-30	$52.35	$52.78	53.2%	15.3%	63.3%	17.3%	53.6%	11.5%	1.9%	2.7M	-49.8M	-2.9M	0.95	7.46	N/A	N/A	12,491	11,924	166,216	131,252