OXY Options History — August 2009

In August 2009, OXY traded between $65.59 and $72.16. ATM implied volatility averaged 32.9%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.4% (HV 20d: 27.4%). Max pain ranged from $62.38 to $71.98. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2009-08-25: Highest Volume — 29,613 contracts
  • 2009-08-13: Largest IV spike — 11.6% change
  • 2009-08-17: Highest IV Rank — 4.6%
  • 2009-08-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.86$65.59$72.16$69.47$70.15
Max Pain$66.72$62.38$71.98$62.38$71.98
ATM IV32.9%30.1%36.1%36.1%31.5%
Expected Move9.6%8.6%10.4%10.4%9.0%
HV 20d27.4%24.8%30.4%30.4%26.8%
HV 60d33.8%31.7%36.5%36.5%32.0%
IV Rank1.7%0.0%4.6%3.3%1.2%
IV Percentile2.7%0.0%8.7%5.6%2.4%
Term Structure2.8%0.5%3.8%0.5%3.1%
VWIV33.8%30.4%36.9%35.0%32.6%
Skew 25d4.6%3.7%5.6%4.3%4.1%
Skew 10d9.3%6.1%16.4%8.2%7.5%
Call IV 25d31.7%28.9%34.6%33.1%31.4%
Put IV 25d36.3%32.8%40.2%37.4%35.5%
Bid-Ask Spread %9.913.2716.896.7115.46
Gamma HHI0.230.140.440.210.14
Net GEX7.1M2.2M12.1M8.6M2.2M
Net DEX-423.4M-692.3M-270.3M-517.0M-357.2M
Net VEX-3.1M-3.2M-2.9M-3.0M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.341.850.990.49
Total Volume13,118.3334,39129,61311,60511,036
Total OI348,760.81289,970377,452340,970318,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$69.47$62.3836.1%10.4%30.4%3.3%35.0%4.3%0.5%8.6M-517.0M-3.0M0.996.71N/AN/A5,8385,767175,184165,786
2009-08-04$69.04$62.3835.0%10.0%27.4%2.3%33.7%4.3%1.5%8.9M-499.1M-3.0M1.246.37N/AN/A10,20612,668177,414167,268
2009-08-05$67.88$62.3834.3%9.8%28.5%1.7%34.1%4.5%2.2%8.0M-410.2M-3.2M1.823.27N/AN/A2,4114,396182,587176,707
2009-08-06$67.06$62.3833.3%9.6%28.8%0.9%34.0%3.8%2.2%7.9M-360.6M-3.1M0.866.95N/AN/A2,3642,027183,020177,262
2009-08-07$67.24$67.1831.3%10.1%28.5%0.0%35.9%5.1%2.9%8.4M-375.0M-3.1M1.3414.67N/AN/A2,3583,152183,495177,509
2009-08-10$67.23$67.1832.3%10.0%27.0%0.8%36.9%5.2%3.3%8.9M-372.0M-3.0M1.7314.24N/AN/A2,0253,509183,387177,451
2009-08-11$65.95$67.1830.7%9.9%27.4%0.0%36.2%5.3%3.6%8.2M-284.8M-3.0M0.979.04N/AN/A7,9227,718183,724179,084
2009-08-12$67.04$67.1830.4%9.9%24.8%0.0%35.4%5.5%3.8%8.9M-344.4M-3.0M0.358.17N/AN/A14,7155,210183,523182,035
2009-08-13$68.12$67.1834.0%9.7%25.2%2.9%33.5%5.1%2.9%8.9M-439.2M-3.1M0.348.70N/AN/A14,7125,012187,185182,574
2009-08-14$67.50$67.1833.8%9.7%25.5%2.8%33.6%4.6%2.9%12.1M-433.3M-3.1M0.409.83N/AN/A3,6361,465195,416182,036
2009-08-17$65.59$67.1836.1%10.3%26.1%4.6%35.8%5.6%2.5%7.7M-270.3M-3.0M1.366.95N/AN/A5,6177,633191,305182,802
2009-08-18$66.70$67.1835.0%10.0%26.5%3.7%34.4%5.0%3.0%8.9M-356.1M-3.0M0.7910.01N/AN/A8,7176,902192,094184,144
2009-08-19$68.65$67.1835.2%10.1%28.5%3.9%35.1%4.9%3.0%8.8M-502.0M-3.0M1.1216.89N/AN/A5,1755,812190,174183,328
2009-08-20$69.33$67.1834.6%9.9%26.9%3.4%33.7%4.5%3.3%2.6M-559.8M-2.9M0.6714.07N/AN/A4,2892,877189,974183,423
2009-08-21$71.77$67.1832.3%9.3%29.5%1.6%33.5%3.7%3.2%11.6M-692.3M-2.9M0.3910.82N/AN/A18,8337,352191,180183,335
2009-08-24$72.16$67.1831.9%9.1%29.5%1.2%31.5%4.7%2.1%4.0M-447.6M-2.9M0.669.16N/AN/A9,7086,422141,877148,093
2009-08-25$70.93$67.1831.7%9.1%29.4%1.0%32.2%3.9%2.5%3.7M-403.5M-3.0M0.9313.97N/AN/A15,34114,272146,939150,702
2009-08-26$71.17$67.1830.3%8.7%26.7%0.0%30.6%4.1%2.9%3.6M-413.7M-3.2M1.855.81N/AN/A3,7907,007153,797157,223
2009-08-27$71.56$67.1830.4%8.7%26.3%0.1%31.1%3.9%3.4%3.7M-428.5M-3.2M1.2910.14N/AN/A5,0766,565155,734159,264
2009-08-28$71.52$71.9830.1%8.6%26.2%0.0%30.4%3.8%3.6%3.3M-424.2M-3.2M1.016.85N/AN/A2,9622,988156,283161,047
2009-08-31$70.15$71.9831.5%9.0%26.8%1.2%32.6%4.1%3.1%2.2M-357.2M-3.2M0.4915.46N/AN/A7,4293,607156,673161,939