OXY Options History — February 2009 In February 2009, OXY traded between $45.64 and $56.25. ATM implied volatility averaged 54.3%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 2.8% (HV 20d: 57.1%). Max pain ranged from $52.78 to $52.78. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.76.
Notable Days 2009-02-24 : Highest Volume — 29,431 contracts2009-02-17 : Largest IV spike — 22.4% change2009-02-23 : Highest IV Rank — 25.9%2009-02-23 : Largest Expected Move — 18.2%Monthly Statistics Metric Avg Min Max Open Close Price $51.43 $45.64 $56.25 $51.97 $49.78 Max Pain $52.78 $52.78 $52.78 $52.78 $52.78 ATM IV 54.3% 44.6% 63.5% 54.7% 57.4% Expected Move 15.8% 13.7% 18.2% 15.7% 16.4% HV 20d 57.1% 49.5% 62.9% 61.5% 53.6% HV 60d 81.7% 64.5% 90.9% 90.9% 64.5% IV Rank 18.2% 10.0% 25.9% 18.5% 20.3% IV Percentile 61.0% 44.8% 71.8% 64.3% 61.9% Term Structure 2.3% -0.9% 5.4% 1.7% 0.9% VWIV 53.6% 45.9% 66.7% 56.0% 57.3% Skew 25d 11.9% 9.1% 13.8% 11.5% 12.4% Skew 10d 23.1% 19.9% 25.5% 24.2% 23.4% Call IV 25d 49.0% 43.3% 59.8% 50.9% 50.1% Put IV 25d 60.8% 54.0% 73.2% 62.4% 62.5% Bid-Ask Spread % 10.76 6.30 18.66 7.51 14.45 Gamma HHI 0.29 0.15 0.58 0.24 0.23 Net GEX 3.0M -5.6M 6.6M 2.7M 3.6M Net DEX -38.8M -198.1M 93.2M -42.9M -31.9M Net VEX -2.8M -3.1M -2.3M -2.8M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.19 1.44 0.77 0.62 Total Volume 15,140.789 6,884 29,431 16,218 6,884 Total OI 312,512.368 256,146 337,943 303,601 315,562
Daily Data (19 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 2009-02-02 $51.97 $52.78 54.7% 15.7% 61.5% 18.5% 56.0% 11.5% 1.7% 2.7M -42.9M -2.8M 0.77 7.51 N/A N/A 9,180 7,038 170,050 133,551 2009-02-03 $53.05 $52.78 52.4% 15.0% 62.2% 16.5% 50.9% 10.8% 1.3% 3.9M -78.7M -2.9M 0.62 10.27 N/A N/A 8,326 5,157 173,155 133,491 2009-02-04 $53.48 $52.78 51.0% 14.6% 62.4% 15.4% 51.1% 9.7% 1.7% 4.7M -97.6M -3.0M 0.72 7.84 N/A N/A 6,508 4,690 177,333 136,263 2009-02-05 $53.89 $52.78 49.3% 14.1% 59.2% 14.0% 47.9% 9.1% 2.9% 4.8M -106.3M -3.0M 0.99 7.01 N/A N/A 4,258 4,213 176,602 137,446 2009-02-06 $54.48 $52.78 46.2% 14.6% 59.0% 11.3% 45.9% 11.0% 4.2% 5.2M -121.5M -3.0M 0.55 13.12 N/A N/A 7,427 4,100 176,927 139,345 2009-02-09 $56.25 $52.78 44.6% 13.7% 57.7% 10.0% 48.3% 10.7% 4.9% 6.6M -198.1M -3.1M 0.49 18.66 N/A N/A 9,574 4,705 176,983 140,823 2009-02-10 $53.21 $52.78 51.6% 15.4% 59.9% 15.9% 50.9% 12.7% 3.1% 4.2M -75.0M -2.9M 0.57 9.60 N/A N/A 9,074 5,138 180,157 142,912 2009-02-11 $53.54 $52.78 49.8% 15.4% 58.6% 14.4% 53.0% 11.7% 3.2% 3.9M -76.8M -2.9M 0.94 12.51 N/A N/A 6,230 5,866 179,803 143,773 2009-02-12 $53.59 $52.78 52.8% 15.1% 56.0% 16.9% 50.9% 11.2% 3.9% 5.0M -93.7M -2.9M 0.66 13.87 N/A N/A 7,071 4,651 180,638 143,321 2009-02-13 $54.30 $52.78 49.5% 14.2% 56.0% 14.1% 48.3% 10.8% 5.4% 6.2M -121.9M -2.9M 0.93 12.70 N/A N/A 5,251 4,908 182,679 143,558 2009-02-17 $50.25 $52.78 60.6% 17.4% 62.9% 23.4% 55.9% 13.2% 1.2% 1.6M 34.9M -2.6M 0.64 7.07 N/A N/A 14,630 9,290 183,600 144,552 2009-02-18 $49.46 $52.78 58.8% 16.8% 60.4% 21.9% 55.2% 12.8% 3.1% 722.3K 65.4M -2.6M 0.86 10.68 N/A N/A 8,425 7,278 188,972 146,963 2009-02-19 $49.24 $52.78 57.6% 16.5% 49.8% 20.9% 54.2% 12.0% 2.9% 103.6K 62.7M -2.6M 0.56 12.63 N/A N/A 5,968 3,323 192,034 145,909 2009-02-20 $48.04 $52.78 58.6% 16.8% 49.5% 21.8% 56.7% 12.9% 4.2% -5.6M 93.2M -2.5M 0.80 14.43 N/A N/A 9,948 8,002 191,476 146,192 2009-02-23 $45.64 $52.78 63.5% 18.2% 50.9% 25.9% 66.7% 13.4% -0.2% 1.0M 67.0M -2.3M 1.35 7.32 N/A N/A 7,853 10,610 142,448 113,698 2009-02-24 $48.44 $52.78 58.4% 16.7% 55.3% 21.6% 53.8% 12.6% 0.4% 1.2M 27.4M -2.5M 0.19 8.59 N/A N/A 24,781 4,650 145,493 121,580 2009-02-25 $48.11 $52.78 57.6% 16.5% 55.3% 20.9% 58.4% 13.2% 0.6% 2.4M 15.0M -2.6M 0.72 9.83 N/A N/A 9,824 7,103 166,214 123,942 2009-02-26 $50.38 $52.78 58.3% 16.7% 55.4% 21.1% 57.2% 13.8% -0.9% 4.1M -59.1M -2.8M 1.44 6.30 N/A N/A 10,540 15,201 173,026 127,264 2009-02-27 $49.78 $52.78 57.4% 16.4% 53.6% 20.3% 57.3% 12.4% 0.9% 3.6M -31.9M -2.8M 0.62 14.45 N/A N/A 4,251 2,633 179,376 136,186
« Jan 2009 | All History | Mar 2009 » Home OXY History February 2009