OXY Options History — June 2009 In June 2009, OXY traded between $58.90 and $67.78. ATM implied volatility averaged 39.3%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.5% (HV 20d: 38.9%). Max pain ranged from $57.58 to $62.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.91.
Notable Days 2009-06-05 : Highest Volume — 98,180 contracts2009-06-22 : Largest IV spike — 17.7% change2009-06-22 : Highest IV Rank — 9.0%2009-06-22 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $63.82 $58.90 $67.78 $66.55 $63.16 Max Pain $61.51 $57.58 $62.38 $57.58 $62.38 ATM IV 39.3% 34.8% 45.9% 40.4% 36.9% Expected Move 11.5% 10.0% 13.2% 11.6% 10.6% HV 20d 38.9% 32.8% 47.7% 46.9% 37.5% HV 60d 44.9% 42.3% 48.5% 47.7% 42.6% IV Rank 3.2% 0.0% 9.0% 3.6% 1.8% IV Percentile 8.5% 0.0% 30.6% 9.1% 2.4% Term Structure 3.0% 0.6% 5.4% 0.6% 2.7% VWIV 40.5% 35.2% 44.9% 41.6% 36.4% Skew 25d 5.8% 4.1% 7.0% 5.6% 4.1% Skew 10d 11.0% 7.2% 13.5% 11.2% 10.0% Call IV 25d 37.8% 33.4% 41.9% 38.7% 35.0% Put IV 25d 43.6% 37.9% 48.2% 44.3% 39.1% Bid-Ask Spread % 11.80 7.20 18.43 18.43 9.30 Gamma HHI 0.23 0.16 0.45 0.24 0.25 Net GEX 5.4M 1.0M 11.6M 5.6M 3.9M Net DEX -248.1M -415.1M -70.5M -371.5M -233.6M Net VEX -3.0M -3.1M -2.8M -2.9M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.07 2.77 0.49 0.92 Total Volume 18,423.227 8,079 98,180 21,303 16,313 Total OI 282,933.727 256,451 302,412 262,731 292,345
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 2009-06-01 $66.55 $57.58 40.4% 11.6% 46.9% 3.6% 41.6% 5.6% 0.6% 5.6M -371.5M -2.9M 0.49 18.43 N/A N/A 14,336 6,967 135,534 127,197 2009-06-02 $66.55 $57.58 38.2% 11.0% 45.4% 1.6% 39.6% 4.7% 2.4% 6.2M -389.9M -2.9M 0.89 13.23 N/A N/A 7,319 6,550 141,175 128,895 2009-06-03 $64.17 $57.58 40.7% 11.7% 47.7% 3.8% 38.9% 5.9% 2.0% 5.8M -289.1M -2.9M 0.76 11.98 N/A N/A 13,138 10,040 142,929 131,448 2009-06-04 $65.85 $57.58 38.1% 10.9% 42.8% 1.6% 39.6% 5.2% 3.2% 6.4M -372.1M -3.1M 0.73 7.20 N/A N/A 4,864 3,570 149,918 136,754 2009-06-05 $65.80 $62.38 37.2% 11.8% 40.7% 0.8% 41.5% 6.7% 2.2% 6.6M -371.5M -3.0M 0.07 11.72 N/A N/A 91,504 6,676 150,077 136,704 2009-06-08 $65.58 $62.38 37.4% 11.9% 37.9% 1.0% 44.0% 7.0% 2.4% 7.0M -345.8M -3.1M 0.86 10.29 N/A N/A 8,435 7,267 149,627 138,080 2009-06-09 $66.26 $62.38 35.4% 11.7% 34.8% 0.0% 42.5% 6.6% 2.4% 6.7M -346.3M -3.1M 0.58 11.38 N/A N/A 6,784 3,945 145,565 142,150 2009-06-10 $66.48 $62.38 35.5% 11.5% 34.8% 0.0% 40.8% 6.2% 3.2% 6.5M -343.3M -3.1M 0.56 14.13 N/A N/A 5,936 3,333 144,375 143,378 2009-06-11 $67.78 $62.38 40.5% 11.6% 32.8% 4.3% 40.1% 6.6% 2.4% 6.9M -415.1M -3.0M 0.55 10.27 N/A N/A 8,189 4,487 145,337 143,781 2009-06-12 $66.19 $62.38 39.0% 11.2% 34.5% 3.1% 41.3% 6.2% 3.4% 7.2M -340.9M -3.0M 2.43 17.20 N/A N/A 2,432 5,907 146,966 144,355 2009-06-15 $64.38 $62.38 43.3% 12.4% 35.1% 6.7% 41.4% 5.8% 2.4% 6.4M -241.1M -2.9M 0.87 11.52 N/A N/A 4,321 3,758 147,148 145,313 2009-06-16 $61.77 $62.38 43.5% 12.5% 37.4% 7.0% 43.5% 6.1% 1.7% 4.1M -106.5M -2.9M 1.29 10.87 N/A N/A 6,284 8,079 147,635 146,186 2009-06-17 $61.23 $62.38 43.6% 12.5% 37.6% 7.0% 43.6% 6.5% 2.5% 4.0M -70.5M -2.8M 0.56 12.41 N/A N/A 8,094 4,531 148,475 148,267 2009-06-18 $61.85 $62.38 41.4% 11.9% 37.5% 5.1% 41.2% 6.2% 3.6% 8.3M -102.4M -2.8M 0.95 14.65 N/A N/A 9,376 8,885 150,632 149,903 2009-06-19 $61.92 $62.38 39.0% 11.2% 35.8% 3.1% 39.6% 5.8% 5.2% 11.6M -79.0M -2.8M 0.55 10.10 N/A N/A 20,194 11,136 153,313 149,099 2009-06-22 $58.90 $62.38 45.9% 13.2% 40.2% 9.0% 44.9% 6.3% 3.0% 1.0M -86.5M -2.9M 1.42 8.07 N/A N/A 7,225 10,241 133,901 122,550 2009-06-23 $60.20 $62.38 41.5% 11.9% 40.2% 5.2% 43.0% 5.4% 3.7% 1.3M -119.1M -3.0M 0.73 10.50 N/A N/A 7,865 5,720 136,632 127,196 2009-06-24 $61.54 $62.38 39.2% 11.2% 40.8% 3.2% 40.6% 5.8% 4.3% 2.5M -176.3M -3.0M 0.76 9.85 N/A N/A 6,100 4,655 141,306 128,803 2009-06-25 $62.82 $62.38 37.4% 10.7% 38.7% 1.6% 37.0% 5.4% 4.5% 3.3M -226.6M -3.0M 0.63 8.70 N/A N/A 5,484 3,467 143,352 129,976 2009-06-26 $61.71 $62.38 34.8% 10.0% 38.1% 0.0% 35.2% 4.9% 5.4% 2.8M -181.6M -2.9M 2.77 13.82 N/A N/A 3,109 8,628 144,911 130,815 2009-06-29 $63.46 $62.38 35.9% 10.3% 37.5% 1.0% 35.2% 4.6% 3.0% 3.8M -250.4M -3.0M 0.73 14.00 N/A N/A 11,667 8,500 145,574 136,965 2009-06-30 $63.16 $62.38 36.9% 10.6% 37.5% 1.8% 36.4% 4.1% 2.7% 3.9M -233.6M -3.0M 0.92 9.30 N/A N/A 8,483 7,830 151,043 141,302
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