OXY Options History — July 2009

In July 2009, OXY traded between $57.17 and $70.05. ATM implied volatility averaged 37.5%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 1.5% (HV 20d: 36.0%). 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 16 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-07-22: Highest Volume — 35,799 contracts
  • 2009-07-06: Largest IV spike — 22.1% change
  • 2009-07-08: Highest IV Rank — 7.5%
  • 2009-07-08: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.14$57.17$70.05$62.55$68.46
Max Pain$59.98$57.58$62.38$62.38$62.38
ATM IV37.5%32.2%43.5%34.7%33.2%
Expected Move10.9%9.2%13.1%10.0%9.5%
HV 20d36.0%32.4%39.4%35.5%32.4%
HV 60d40.8%37.1%42.5%41.6%37.1%
IV Rank2.9%0.0%7.5%0.0%0.8%
IV Percentile7.3%0.0%22.6%0.0%0.4%
Term Structure1.0%-2.3%4.3%3.9%2.4%
VWIV38.5%32.7%45.8%34.7%32.7%
Skew 25d5.9%4.2%7.9%4.3%4.5%
Skew 10d11.9%8.4%15.1%13.7%9.7%
Call IV 25d35.5%30.8%42.3%33.2%30.8%
Put IV 25d41.4%35.2%49.5%37.4%35.2%
Bid-Ask Spread %7.284.7314.8512.167.17
Gamma HHI0.210.160.250.240.21
Net GEX5.5M363.4K9.5M4.4M8.2M
Net DEX-285.2M-542.7M22.5M-210.9M-456.5M
Net VEX-3.0M-3.2M-2.9M-3.1M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.262.010.440.60
Total Volume14,966.9095,54635,7998,6856,603
Total OI317,247.455290,175338,869301,371338,869

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$62.55$62.3834.7%10.0%35.5%0.0%34.7%4.3%3.9%4.4M-210.9M-3.1M0.4412.16N/AN/A6,0342,651156,342145,029
2009-07-02$60.73$62.3834.9%10.0%35.3%0.2%36.5%4.8%4.3%3.2M-117.4M-3.0M0.9414.85N/AN/A6,2295,865160,049145,299
2009-07-06$59.21$57.5842.6%12.6%36.1%6.7%43.4%7.1%0.6%1.9M-60.6M-2.9M0.874.73N/AN/A4,7454,133160,176148,857
2009-07-07$57.45$57.5843.3%12.8%37.1%7.3%44.8%6.9%-0.2%586.5K12.1M-2.9M1.846.59N/AN/A3,4896,415161,295149,700
2009-07-08$57.17$57.5843.5%13.1%36.6%7.5%45.0%7.3%-0.9%363.4K22.5M-2.9M1.176.61N/AN/A4,0004,675162,073150,682
2009-07-09$58.57$57.5841.8%12.8%38.1%6.0%45.8%7.9%-0.2%1.3M-33.6M-2.9M1.017.59N/AN/A4,7544,804162,706151,600
2009-07-10$58.30$57.5840.5%12.6%36.9%4.9%44.8%7.3%0.2%1.5M-23.8M-2.9M1.388.59N/AN/A2,3343,212164,368152,371
2009-07-13$60.25$57.5839.7%12.0%39.0%4.2%44.9%7.8%0.9%3.3M-114.6M-2.9M1.076.02N/AN/A4,3784,702164,942152,469
2009-07-14$61.70$57.5838.5%11.6%39.3%3.2%40.7%7.3%1.3%4.9M-197.5M-2.9M0.647.25N/AN/A9,5746,106166,029153,855
2009-07-15$64.05$57.5841.6%11.6%38.8%5.8%40.3%7.0%0.3%7.4M-335.5M-2.9M2.016.07N/AN/A9,92819,944168,581154,864
2009-07-16$64.56$57.5839.6%11.3%38.6%4.1%38.8%6.6%0.9%6.8M-361.7M-3.0M0.786.44N/AN/A6,5395,088171,374163,116
2009-07-17$65.02$57.5836.1%10.4%38.6%1.2%38.1%6.5%2.1%5.4M-377.4M-3.0M0.266.86N/AN/A20,4005,336168,281161,115
2009-07-20$66.72$57.5838.6%11.1%39.4%3.3%38.4%6.0%-2.3%6.3M-376.4M-3.0M0.705.69N/AN/A12,4738,673149,886140,289
2009-07-21$67.39$62.3837.5%10.8%33.9%2.4%37.9%5.9%-1.8%7.2M-411.0M-2.9M0.498.25N/AN/A9,5244,672155,932145,355
2009-07-22$67.17$62.3836.7%10.5%33.6%1.7%37.3%4.5%-0.6%7.4M-405.9M-2.9M1.435.87N/AN/A14,76221,037157,720147,302
2009-07-23$69.05$62.3834.5%9.9%34.1%0.0%34.2%4.9%1.3%7.7M-488.9M-3.0M0.598.27N/AN/A19,20711,312160,921153,898
2009-07-24$69.51$62.3834.2%9.8%33.6%0.0%33.7%4.4%2.1%8.7M-519.8M-3.0M0.515.40N/AN/A5,6492,897166,259155,642
2009-07-27$70.05$62.3832.2%9.2%32.5%0.0%34.2%5.0%1.2%9.1M-542.7M-3.0M0.875.66N/AN/A4,8054,182167,447156,008
2009-07-28$68.80$62.3833.7%9.7%32.5%1.2%33.5%4.5%1.9%9.5M-491.7M-3.0M1.884.78N/AN/A4,4358,332167,877155,399
2009-07-29$66.68$62.3834.0%9.8%34.8%1.5%34.4%4.4%2.3%7.7M-357.1M-3.2M0.649.30N/AN/A13,4088,610168,237160,755
2009-07-30$67.74$62.3833.5%9.6%34.7%1.1%33.4%4.2%2.1%8.1M-425.0M-3.1M1.286.08N/AN/A5,8477,509173,189163,286
2009-07-31$68.46$62.3833.2%9.5%32.4%0.8%32.7%4.5%2.4%8.2M-456.5M-3.0M0.607.17N/AN/A4,1232,480173,682165,187