OXY Options History — September 2009

In September 2009, OXY traded between $68.92 and $75.96. ATM implied volatility averaged 31.9%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.8% (HV 20d: 25.0%). Max pain ranged from $71.98 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 1.16.

Notable Days

  • 2009-09-04: Highest Volume — 175,502 contracts
  • 2009-09-04: Largest IV drop — 17.9% change
  • 2009-09-01: Highest IV Rank — 4.3%
  • 2009-09-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.23$68.92$75.96$69.32$75.24
Max Pain$71.98$71.98$71.98$71.98$71.98
ATM IV31.9%28.8%35.3%35.3%30.7%
Expected Move9.3%8.7%10.1%10.1%8.8%
HV 20d25.0%20.1%28.2%27.1%26.7%
HV 60d29.6%27.2%32.1%32.1%27.2%
IV Rank2.3%0.0%4.3%4.3%1.5%
IV Percentile5.1%0.0%11.5%11.5%4.4%
Term Structure2.9%1.8%4.2%1.8%3.6%
VWIV32.5%30.5%35.6%34.5%32.7%
Skew 25d4.6%3.3%5.6%3.9%4.0%
Skew 10d8.8%5.8%10.5%6.6%8.3%
Call IV 25d30.5%28.7%33.2%33.2%30.2%
Put IV 25d35.1%33.1%37.6%37.1%34.2%
Bid-Ask Spread %11.816.4919.4415.089.18
Gamma HHI0.180.150.260.150.19
Net GEX5.7M1.9M9.5M2.3M6.5M
Net DEX-520.9M-696.1M-306.3M-327.2M-596.3M
Net VEX-3.1M-3.3M-2.9M-3.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.022.730.931.11
Total Volume18,953.0954,038175,50210,85210,287
Total OI336,972.381323,653352,452323,653343,663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$69.32$71.9835.3%10.1%27.1%4.3%34.5%3.9%1.8%2.3M-327.2M-3.3M0.9315.08N/AN/A5,6345,218161,103162,550
2009-09-02$68.92$71.9835.1%10.1%26.4%4.2%33.7%5.1%2.1%2.0M-306.3M-3.3M1.5616.24N/AN/A2,9844,661163,365164,883
2009-09-03$69.09$71.9835.1%10.1%26.0%4.1%35.6%5.6%1.8%1.9M-308.1M-3.2M0.8918.64N/AN/A2,1371,901163,360165,941
2009-09-04$69.80$71.9828.8%9.5%26.2%0.0%33.8%5.0%3.1%2.1M-337.2M-3.2M0.027.98N/AN/A172,8192,683163,858167,742
2009-09-08$72.04$71.9830.5%9.7%28.2%1.4%33.9%5.3%2.7%4.7M-444.8M-3.1M0.5519.44N/AN/A8,9684,944160,852169,081
2009-09-09$72.79$71.9829.4%9.5%27.0%0.5%33.0%4.9%3.1%5.6M-498.0M-3.1M0.6913.91N/AN/A6,8304,729162,578170,366
2009-09-10$73.69$71.9833.0%9.4%26.8%3.4%31.7%4.8%2.9%7.0M-554.5M-3.0M1.1415.17N/AN/A7,3648,393164,248172,052
2009-09-11$73.87$71.9833.0%9.5%26.4%3.4%32.7%4.8%2.9%7.2M-589.1M-3.1M1.7410.30N/AN/A3,3325,807168,006176,527
2009-09-14$73.89$71.9833.2%9.5%26.0%3.5%32.5%4.8%2.6%6.9M-586.7M-3.0M2.7317.99N/AN/A2,8307,738167,398178,243
2009-09-15$74.88$71.9831.3%9.0%23.0%2.0%32.9%5.0%2.8%8.2M-643.2M-3.0M1.337.60N/AN/A3,8615,132168,613179,982
2009-09-16$75.96$71.9831.5%9.0%22.9%2.2%32.1%5.0%2.1%9.2M-696.1M-2.9M0.6912.08N/AN/A6,0884,189168,538180,981
2009-09-17$75.47$71.9831.4%9.0%21.7%2.1%33.6%4.8%2.5%9.5M-675.4M-2.9M0.8510.53N/AN/A5,5274,690170,081181,060
2009-09-18$74.04$71.9832.2%9.2%23.2%2.7%30.7%4.5%3.1%6.9M-594.9M-3.0M1.809.24N/AN/A7,71913,885171,298181,154
2009-09-21$73.98$71.9833.0%9.4%20.1%3.4%31.9%5.0%3.1%5.2M-526.1M-3.0M0.819.35N/AN/A5,5424,506158,157166,645
2009-09-22$75.16$71.9830.2%8.7%20.7%1.1%31.5%4.0%3.6%6.0M-585.8M-3.0M1.5113.58N/AN/A2,7154,094160,585166,094
2009-09-23$73.27$71.9830.9%8.9%21.9%1.7%30.5%4.5%3.7%5.4M-503.0M-3.0M1.9311.04N/AN/A4,2088,133162,064166,760
2009-09-24$71.49$71.9830.9%8.9%23.7%1.7%30.9%3.3%4.2%3.8M-411.7M-3.1M1.117.28N/AN/A6,2346,931162,987168,879
2009-09-25$73.93$71.9832.8%9.4%26.5%3.2%31.9%4.3%3.3%5.1M-528.1M-3.0M0.717.70N/AN/A10,9517,724162,796171,022
2009-09-28$75.96$71.9830.5%8.7%28.0%1.4%31.1%4.1%3.5%6.8M-633.9M-3.1M0.926.49N/AN/A5,3564,929166,343173,756
2009-09-29$75.13$71.9830.3%8.7%27.2%1.2%31.1%3.8%3.4%7.0M-593.0M-3.1M1.249.22N/AN/A2,8283,514168,060174,749
2009-09-30$75.24$71.9830.7%8.8%26.7%1.5%32.7%4.0%3.6%6.5M-596.3M-3.0M1.119.18N/AN/A4,8685,419167,852175,811