OXY Options History — March 2009 In March 2009, OXY traded between $46.81 and $58.51. ATM implied volatility averaged 57.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 6.7% (HV 20d: 64.3%). Max pain ranged from $52.78 to $52.78. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2009-03-19 : Highest Volume — 37,879 contracts2009-03-05 : Largest IV spike — 17.5% change2009-03-09 : Highest IV Rank — 29.8%2009-03-05 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $52.73 $46.81 $58.51 $46.90 $53.41 Max Pain $52.78 $52.78 $52.78 $52.78 $52.78 ATM IV 57.6% 50.8% 68.7% 67.5% 57.4% Expected Move 16.4% 14.6% 19.4% 19.4% 16.5% HV 20d 64.3% 55.7% 68.7% 55.7% 61.4% HV 60d 60.6% 58.5% 65.4% 65.4% 59.3% IV Rank 20.5% 14.8% 29.8% 28.9% 20.4% IV Percentile 59.9% 48.4% 73.8% 73.0% 58.3% Term Structure 2.5% -5.0% 5.8% -4.3% 3.8% VWIV 58.0% 49.5% 73.5% 68.9% 57.1% Skew 25d 10.1% 6.4% 13.7% 13.6% 6.4% Skew 10d 19.7% 12.3% 26.6% 25.6% 12.3% Call IV 25d 52.7% 46.1% 62.4% 62.4% 53.8% Put IV 25d 62.7% 54.8% 76.0% 76.0% 60.2% Bid-Ask Spread % 11.75 5.48 17.56 11.90 5.48 Gamma HHI 0.27 0.19 0.47 0.20 0.24 Net GEX 5.8M 911.0K 14.2M 1.5M 5.9M Net DEX -174.3M -413.2M 65.8M 50.2M -165.0M Net VEX -3.0M -3.2M -2.6M -2.6M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.25 2.44 1.17 0.25 Total Volume 16,271.364 5,888 37,879 28,671 25,732 Total OI 333,424.091 296,288 375,216 306,826 319,778
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 2009-03-02 $46.90 $52.78 67.5% 19.4% 55.7% 28.9% 68.9% 13.6% -4.3% 1.5M 50.2M -2.6M 1.17 11.90 N/A N/A 13,206 15,465 170,680 136,146 2009-03-03 $46.81 $52.78 63.7% 18.3% 55.7% 25.7% 63.9% 13.7% -1.9% 911.0K 65.8M -2.6M 0.35 15.98 N/A N/A 7,044 2,496 176,182 143,452 2009-03-04 $50.69 $52.78 57.7% 16.5% 62.8% 20.6% 62.2% 13.5% -0.4% 3.5M -71.1M -2.9M 0.50 7.93 N/A N/A 12,999 6,453 178,941 141,710 2009-03-05 $48.02 $52.78 67.8% 19.4% 65.2% 29.2% 73.5% 13.1% -5.0% 2.5M 12.8M -2.8M 1.31 15.26 N/A N/A 9,209 12,062 184,817 143,588 2009-03-06 $48.50 $52.78 67.4% 18.2% 65.3% 28.8% 64.6% 12.6% 2.7% 2.7M -19.3M -2.9M 0.86 10.73 N/A N/A 4,764 4,121 189,870 150,786 2009-03-09 $48.36 $52.78 68.7% 18.4% 65.0% 29.8% 64.7% 13.3% 2.3% 2.5M -10.8M -2.8M 1.00 14.86 N/A N/A 2,939 2,949 191,105 151,131 2009-03-10 $51.40 $52.78 60.3% 16.8% 68.0% 22.9% 59.0% 12.4% 3.5% 5.2M -138.0M -3.0M 0.67 13.21 N/A N/A 10,781 7,197 191,669 151,515 2009-03-11 $51.65 $52.78 56.3% 16.2% 65.3% 19.4% 58.4% 10.7% 3.8% 5.7M -142.8M -3.0M 0.62 9.06 N/A N/A 6,394 3,964 194,772 153,756 2009-03-12 $54.18 $52.78 53.7% 15.4% 67.6% 17.3% 51.6% 9.0% 5.1% 8.1M -247.9M -3.1M 0.44 12.68 N/A N/A 10,933 4,812 192,792 153,515 2009-03-13 $52.49 $52.78 53.8% 15.4% 68.6% 17.4% 55.6% 9.6% 4.0% 7.0M -170.4M -3.0M 1.06 13.30 N/A N/A 5,129 5,412 195,808 153,055 2009-03-16 $51.43 $52.78 53.0% 15.2% 68.7% 16.7% 54.3% 10.3% 4.2% 5.4M -113.5M -2.8M 0.41 11.00 N/A N/A 11,393 4,702 194,833 155,673 2009-03-17 $53.35 $52.78 50.8% 14.6% 64.0% 14.8% 49.5% 8.8% 5.3% 9.2M -215.7M -2.9M 0.74 17.56 N/A N/A 7,965 5,862 197,948 155,428 2009-03-18 $54.55 $52.78 52.2% 15.0% 64.0% 16.0% 50.3% 8.9% 5.8% 10.4M -285.5M -3.0M 0.34 12.59 N/A N/A 17,097 5,797 199,487 158,742 2009-03-19 $56.60 $52.78 54.1% 15.5% 64.8% 17.6% 54.4% 9.6% 3.3% 14.2M -413.2M -3.1M 0.96 13.38 N/A N/A 19,327 18,552 205,721 161,767 2009-03-20 $54.45 $52.78 57.8% 16.6% 65.9% 20.7% 56.4% 8.6% 4.6% 4.5M -293.0M -3.1M 0.26 8.65 N/A N/A 22,200 5,800 208,317 166,899 2009-03-23 $58.51 $52.78 55.6% 16.0% 66.2% 18.9% 55.6% 9.4% 1.8% 5.5M -353.1M -3.2M 0.68 14.58 N/A N/A 12,400 8,391 168,409 127,879 2009-03-24 $56.41 $52.78 53.9% 15.5% 65.9% 17.4% 55.6% 7.5% 2.9% 6.1M -287.1M -3.2M 0.97 7.53 N/A N/A 3,571 3,448 176,097 130,715 2009-03-25 $56.39 $52.78 53.5% 15.3% 65.8% 17.1% 54.4% 7.6% 3.3% 6.2M -282.7M -3.2M 0.91 10.01 N/A N/A 7,422 6,755 176,141 133,013 2009-03-26 $56.41 $52.78 51.8% 14.9% 64.2% 15.7% 55.2% 8.2% 3.6% 6.9M -292.8M -3.2M 2.44 9.48 N/A N/A 1,738 4,240 181,510 135,637 2009-03-27 $55.62 $52.78 51.8% 14.8% 64.3% 15.6% 52.8% 7.6% 3.6% 6.6M -260.7M -3.2M 1.06 10.66 N/A N/A 3,619 3,835 180,739 135,941 2009-03-30 $53.93 $52.78 58.2% 16.7% 61.2% 21.1% 57.6% 7.1% 3.6% 6.3M -200.1M -3.1M 0.98 12.75 N/A N/A 4,942 4,853 182,829 136,537 2009-03-31 $53.41 $52.78 57.4% 16.5% 61.4% 20.4% 57.1% 6.4% 3.8% 5.9M -165.0M -3.0M 0.25 5.48 N/A N/A 20,648 5,084 181,168 138,610
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