OXY Options History — May 2009

In May 2009, OXY traded between $56.11 and $64.40. ATM implied volatility averaged 41.8%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 6.3% (HV 20d: 48.1%). 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 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-05-14: Highest Volume — 34,496 contracts
  • 2009-05-04: Largest IV spike — 14.1% change
  • 2009-05-13: Highest IV Rank — 12.1%
  • 2009-05-07: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.00$56.11$64.40$56.11$64.40
Max Pain$56.86$52.78$57.58$52.78$57.58
ATM IV41.8%36.8%47.6%36.8%39.3%
Expected Move12.1%10.5%13.5%10.5%11.3%
HV 20d48.1%42.2%52.5%42.9%47.3%
HV 60d54.0%48.9%56.9%54.6%48.9%
IV Rank6.1%2.6%12.1%3.0%2.6%
IV Percentile16.1%4.4%34.5%4.4%6.0%
Term Structure2.4%1.4%5.2%5.2%2.3%
VWIV42.4%37.6%47.3%37.6%38.8%
Skew 25d6.2%4.9%8.6%7.1%4.9%
Skew 10d11.8%9.1%16.1%15.1%9.1%
Call IV 25d39.2%34.3%42.5%34.3%36.6%
Put IV 25d45.4%41.4%49.3%41.4%41.5%
Bid-Ask Spread %12.775.5017.715.5011.41
Gamma HHI0.310.160.860.300.27
Net GEX6.8M2.0M40.6M4.2M5.3M
Net DEX-254.8M-506.3M-81.9M-195.3M-283.4M
Net VEX-2.7M-2.9M-2.6M-2.6M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.334.660.330.58
Total Volume15,147.45,11034,4967,75715,619
Total OI295,926.35219,103367,233320,294256,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$56.11$52.7836.8%10.5%42.9%3.0%37.6%7.1%5.2%4.2M-195.3M-2.6M0.335.50N/AN/A5,8531,904168,759151,535
2009-05-04$58.45$52.7842.0%12.6%45.4%7.4%47.3%8.6%2.7%6.3M-307.6M-2.7M1.3514.41N/AN/A4,1925,670169,345151,944
2009-05-05$58.03$52.7839.0%12.1%42.2%4.9%42.1%7.4%3.3%6.1M-288.9M-2.6M2.3815.74N/AN/A4,24110,099170,406154,217
2009-05-06$61.98$57.5844.2%12.6%45.4%9.3%44.3%6.9%1.9%7.0M-475.8M-2.7M0.8810.02N/AN/A14,55712,828172,401158,587
2009-05-07$59.95$57.5845.3%13.5%47.4%10.1%45.5%7.0%1.5%6.7M-372.1M-2.7M1.2710.64N/AN/A10,51413,384175,783161,278
2009-05-08$62.69$57.5841.7%12.4%48.7%7.2%44.1%6.6%2.1%7.2M-506.3M-2.8M0.4611.01N/AN/A8,0883,689180,755168,236
2009-05-11$60.35$57.5844.9%12.5%51.1%9.8%45.5%6.6%2.1%7.2M-393.1M-2.6M2.4813.18N/AN/A2,4326,022181,867168,304
2009-05-12$60.62$57.5841.8%12.2%50.6%7.3%44.0%6.4%3.1%7.3M-398.5M-2.7M1.8614.44N/AN/A5,0659,397181,096169,893
2009-05-13$58.86$57.5847.6%13.3%52.0%12.1%45.4%6.3%2.2%5.5M-292.4M-2.7M0.5015.24N/AN/A8,6954,325181,713176,409
2009-05-14$58.93$57.5843.6%12.5%51.9%8.8%43.7%5.9%4.2%5.9M-320.9M-2.7M0.5010.91N/AN/A22,96411,532182,351171,877
2009-05-15$57.61$57.5842.0%12.1%52.5%5.6%42.6%6.1%4.2%40.6M-273.0M-2.6M0.6713.20N/AN/A13,3868,920193,599173,634
2009-05-18$59.46$57.5840.4%11.6%47.5%4.2%38.8%5.5%2.1%2.0M-84.3M-2.6M0.3311.30N/AN/A13,9964,621111,856107,247
2009-05-19$59.77$57.5839.9%11.4%47.5%3.4%38.7%5.1%2.1%3.2M-106.0M-2.7M0.838.81N/AN/A3,0352,505118,748108,831
2009-05-20$60.47$57.5839.5%11.3%47.2%3.1%39.4%5.3%1.5%3.5M-128.1M-2.7M0.6510.23N/AN/A5,0263,270121,443110,107
2009-05-21$58.77$57.5843.1%12.4%48.8%5.9%42.6%5.8%1.6%3.2M-81.9M-2.6M1.2617.71N/AN/A6,8318,583123,798110,807
2009-05-22$59.53$57.5843.4%12.4%48.8%6.1%43.6%5.2%1.8%3.2M-100.5M-2.8M0.9014.78N/AN/A3,0592,750125,868116,569
2009-05-26$60.83$57.5840.8%11.7%48.3%3.9%42.3%6.2%1.5%3.8M-141.5M-2.8M4.6615.86N/AN/A4,99223,282126,616117,384
2009-05-27$60.30$57.5840.1%11.5%48.5%3.2%40.6%5.8%1.5%4.0M-130.2M-2.7M0.6616.96N/AN/A3,0792,031128,821118,994
2009-05-28$62.83$57.5840.0%11.5%47.9%3.2%40.1%4.9%1.4%4.6M-216.5M-2.9M0.7214.05N/AN/A7,2535,259128,862122,542
2009-05-29$64.40$57.5839.3%11.3%47.3%2.6%38.8%4.9%2.3%5.3M-283.4M-2.8M0.5811.41N/AN/A9,8785,741131,332124,713