OXY Options History — April 2009 In April 2009, OXY traded between $52.56 and $57.96. ATM implied volatility averaged 48.5%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 0.6% (HV 20d: 49.1%). Max pain ranged from $47.98 to $52.78. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.
Notable Days 2009-04-23 : Highest Volume — 36,407 contracts2009-04-23 : Largest IV drop — 16.5% change2009-04-01 : Highest IV Rank — 18.7%2009-04-07 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $54.96 $52.56 $57.96 $55.02 $54.02 Max Pain $49.58 $47.98 $52.78 $52.78 $52.78 ATM IV 48.5% 42.1% 55.4% 55.4% 42.1% Expected Move 14.3% 12.1% 16.7% 15.9% 12.1% HV 20d 49.1% 41.6% 56.6% 55.8% 44.1% HV 60d 56.9% 53.2% 60.5% 59.7% 54.0% IV Rank 12.9% 7.5% 18.7% 18.7% 7.5% IV Percentile 38.3% 19.4% 56.0% 56.0% 19.4% Term Structure 1.6% -1.2% 5.9% 5.9% 3.5% VWIV 49.9% 40.5% 58.5% 53.9% 41.6% Skew 25d 8.0% 4.9% 10.0% 4.9% 6.4% Skew 10d 14.5% 8.6% 18.6% 8.8% 8.6% Call IV 25d 45.9% 36.6% 52.4% 52.0% 38.2% Put IV 25d 53.9% 44.1% 62.2% 57.0% 44.6% Bid-Ask Spread % 7.14 4.47 11.73 11.55 4.57 Gamma HHI 0.29 0.20 0.71 0.25 0.24 Net GEX 5.8M -272.1K 22.5M 8.0M 1.7M Net DEX -173.2M -358.3M 1.0M -259.6M -89.8M Net VEX -2.8M -3.2M -2.4M -3.2M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.22 2.61 0.88 0.71 Total Volume 13,838.19 7,391 36,407 8,079 11,031 Total OI 321,315.619 277,756 352,807 335,362 315,004
Daily Data (21 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 2009-04-01 $55.02 $52.78 55.4% 15.9% 55.8% 18.7% 53.9% 4.9% 5.9% 8.0M -259.6M -3.2M 0.88 11.55 N/A N/A 4,301 3,778 194,536 140,826 2009-04-02 $57.69 $52.78 53.3% 15.3% 53.4% 16.9% 53.3% 6.9% 4.2% 7.3M -342.1M -3.1M 0.95 9.89 N/A N/A 8,071 7,675 180,133 139,465 2009-04-03 $57.96 $47.98 48.9% 15.7% 53.4% 13.2% 56.5% 9.9% -0.2% 7.9M -358.3M -3.1M 1.17 7.08 N/A N/A 9,074 10,618 182,964 140,197 2009-04-06 $55.39 $47.98 48.9% 16.0% 56.6% 13.2% 56.2% 10.0% -1.1% 7.7M -242.8M -3.0M 0.93 8.02 N/A N/A 7,956 7,398 187,138 142,598 2009-04-07 $53.48 $47.98 49.6% 16.7% 54.7% 13.8% 58.5% 9.9% -1.2% 6.2M -136.1M -2.9M 1.92 8.45 N/A N/A 7,871 15,080 187,664 146,520 2009-04-08 $54.48 $47.98 46.7% 16.0% 55.0% 11.4% 53.9% 9.1% 0.5% 6.7M -173.4M -3.0M 0.77 11.73 N/A N/A 4,370 3,354 190,255 156,665 2009-04-09 $56.17 $47.98 50.2% 14.4% 53.4% 14.3% 51.4% 8.9% 3.3% 7.8M -256.0M -3.0M 0.77 7.60 N/A N/A 6,673 5,159 188,378 157,208 2009-04-13 $56.35 $47.98 51.5% 14.8% 51.9% 15.4% 52.6% 8.6% 1.6% 8.4M -269.2M -3.0M 0.36 8.11 N/A N/A 7,720 2,809 189,366 158,203 2009-04-14 $55.52 $47.98 52.0% 14.9% 51.6% 15.9% 54.3% 9.3% 1.0% 8.6M -223.5M -2.9M 1.31 8.42 N/A N/A 5,208 6,816 191,268 158,094 2009-04-15 $55.99 $47.98 51.9% 14.9% 50.2% 15.7% 53.0% 8.7% 1.0% 8.8M -245.5M -2.9M 0.57 7.89 N/A N/A 4,697 2,694 190,614 162,193 2009-04-16 $56.60 $47.98 50.3% 14.4% 49.8% 14.4% 51.0% 8.6% 1.4% 9.5M -273.8M -2.7M 0.22 5.36 N/A N/A 6,444 1,388 184,738 156,123 2009-04-17 $57.24 $47.98 47.7% 13.7% 48.2% 12.2% 48.3% 8.1% 2.2% 22.5M -274.8M -2.7M 0.22 5.85 N/A N/A 12,108 2,610 185,198 156,357 2009-04-20 $53.63 $47.98 53.0% 15.2% 51.8% 16.7% 51.1% 9.0% -1.2% 1.7M -76.9M -2.5M 0.67 5.69 N/A N/A 9,554 6,436 147,105 130,651 2009-04-21 $53.80 $47.98 51.2% 14.7% 44.2% 15.2% 49.8% 7.8% -0.5% 1.8M -80.6M -2.5M 0.76 4.82 N/A N/A 7,591 5,769 151,013 133,892 2009-04-22 $53.32 $47.98 50.5% 14.5% 42.6% 14.5% 49.3% 7.3% -1.2% 1.7M -62.8M -2.6M 0.63 4.47 N/A N/A 4,665 2,931 154,436 136,806 2009-04-23 $53.71 $47.98 42.2% 12.1% 42.7% 7.5% 42.4% 7.4% 3.5% 1.7M -70.9M -2.5M 2.25 6.10 N/A N/A 11,216 25,191 153,076 135,899 2009-04-24 $53.62 $52.78 42.3% 12.1% 42.7% 7.7% 41.2% 6.5% 3.3% 936.3K -56.9M -2.5M 1.18 7.90 N/A N/A 6,025 7,090 154,683 142,793 2009-04-27 $52.60 $52.78 44.2% 12.7% 42.9% 9.3% 44.3% 6.7% 2.6% 7.7K -11.4M -2.4M 2.61 5.41 N/A N/A 3,936 10,268 156,265 145,972 2009-04-28 $52.56 $52.78 44.1% 12.6% 41.6% 9.2% 44.5% 6.5% 2.2% -272.1K 1.0M -2.5M 0.54 6.07 N/A N/A 8,573 4,616 157,947 152,771 2009-04-29 $55.09 $52.78 43.0% 12.3% 44.8% 8.3% 40.5% 7.5% 2.1% 2.9M -134.1M -2.5M 0.78 5.00 N/A N/A 6,633 5,205 163,949 148,665 2009-04-30 $54.02 $52.78 42.1% 12.1% 44.1% 7.5% 41.6% 6.4% 3.5% 1.7M -89.8M -2.5M 0.71 4.57 N/A N/A 6,432 4,599 165,247 149,757
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