OXY Options History — October 2009

In October 2009, OXY traded between $71.33 and $80.61. ATM implied volatility averaged 32.5%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.0% (HV 20d: 31.5%). Max pain ranged from $57.58 to $71.98. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2009-10-09: Highest Volume — 39,179 contracts
  • 2009-10-30: Largest IV spike — 20.4% change
  • 2009-10-30: Highest IV Rank — 12.4%
  • 2009-10-30: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.50$71.33$80.61$72.33$72.82
Max Pain$59.76$57.58$71.98$71.98$62.38
ATM IV32.5%28.6%39.3%34.5%39.3%
Expected Move9.6%8.2%11.3%9.9%11.3%
HV 20d31.5%28.5%33.2%30.7%32.2%
HV 60d27.9%26.9%29.4%28.6%29.4%
IV Rank3.7%0.0%12.4%4.6%12.4%
IV Percentile11.4%0.0%36.5%15.5%36.5%
Term Structure1.5%0.2%3.2%2.6%1.0%
VWIV34.1%30.1%39.4%34.2%39.4%
Skew 25d4.8%3.5%6.1%3.9%5.7%
Skew 10d9.6%6.6%13.1%7.2%10.8%
Call IV 25d31.8%27.8%36.8%33.1%36.8%
Put IV 25d36.6%31.3%42.5%37.0%42.5%
Bid-Ask Spread %9.784.9814.1314.1312.08
Gamma HHI0.210.130.320.160.13
Net GEX6.4M1.7M9.6M4.2M1.7M
Net DEX-708.6M-976.0M-385.0M-442.2M-453.8M
Net VEX-3.1M-3.4M-3.0M-3.1M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.352.011.371.48
Total Volume14,5956,35539,1798,06026,586
Total OI385,877.682344,954411,720344,954411,720

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$72.33$71.9834.5%9.9%30.7%4.6%34.2%3.9%2.6%4.2M-442.2M-3.1M1.3714.13N/AN/A3,4034,657167,932177,022
2009-10-02$71.33$71.9833.7%9.7%31.2%4.0%34.1%4.0%3.2%3.2M-385.0M-3.1M1.2510.18N/AN/A3,6764,581168,294177,898
2009-10-05$72.47$57.5834.7%10.5%31.5%4.8%37.3%6.0%0.7%4.4M-444.9M-3.0M0.949.40N/AN/A4,9784,699169,201179,657
2009-10-06$74.46$57.5833.0%10.0%30.9%3.4%36.1%5.6%1.2%6.7M-559.0M-3.0M0.3511.99N/AN/A16,1615,654171,161180,878
2009-10-07$74.31$57.5832.9%10.3%30.8%3.3%34.6%6.1%1.3%7.8M-616.3M-3.1M0.7713.16N/AN/A3,8502,977182,810182,074
2009-10-08$76.86$57.5831.6%10.2%32.7%2.3%35.9%6.1%0.9%9.4M-763.1M-3.0M0.558.50N/AN/A13,0707,179183,973183,177
2009-10-09$76.33$57.5830.0%10.2%32.9%0.9%36.3%5.7%0.8%9.6M-772.1M-3.1M2.0112.13N/AN/A12,99626,183190,275183,898
2009-10-12$77.07$57.5833.4%10.0%33.0%3.8%36.3%5.3%0.7%9.2M-797.2M-3.2M1.589.79N/AN/A3,8306,042193,697204,283
2009-10-13$77.06$57.5829.4%9.8%32.7%0.5%35.2%5.1%1.0%9.0M-800.6M-3.2M1.328.53N/AN/A5,2086,852192,893207,001
2009-10-14$78.47$57.5831.4%10.0%33.0%2.2%34.5%4.6%0.2%8.6M-885.3M-3.1M0.4012.09N/AN/A8,8913,554193,183208,769
2009-10-15$79.79$57.5832.8%9.4%33.2%3.3%34.1%4.8%0.2%9.2M-976.0M-3.0M0.5811.70N/AN/A8,9595,219196,399208,758
2009-10-16$79.08$57.5832.4%9.3%32.5%4.1%32.6%4.0%2.0%8.6M-930.1M-3.0M1.4610.75N/AN/A8,50912,393196,357208,584
2009-10-19$79.28$57.5830.0%8.6%32.5%1.4%32.3%4.3%1.3%5.8M-830.0M-3.0M1.136.39N/AN/A3,8854,402180,869199,465
2009-10-20$78.40$57.5830.9%8.8%32.5%2.4%30.2%4.8%2.2%5.8M-787.1M-3.0M1.486.20N/AN/A4,8357,132181,603200,141
2009-10-21$78.26$57.5832.3%9.3%30.9%4.1%31.4%3.7%1.3%5.0M-778.5M-3.1M0.829.26N/AN/A13,57611,132182,691204,767
2009-10-22$80.61$57.5828.6%8.2%30.4%0.0%30.1%3.5%2.1%7.1M-903.7M-3.0M1.064.98N/AN/A9,47010,029188,589206,690
2009-10-23$78.84$57.5831.4%9.0%30.2%3.3%31.7%4.0%2.6%6.5M-813.4M-3.2M1.4910.68N/AN/A4,2396,312191,445209,584
2009-10-26$77.46$57.5832.1%9.2%29.6%4.1%32.4%4.0%2.2%5.7M-735.0M-3.2M1.448.81N/AN/A3,3714,842192,330210,657
2009-10-27$77.05$62.3832.1%9.2%29.4%4.0%32.7%4.4%2.3%5.3M-708.1M-3.2M0.626.54N/AN/A3,9292,426192,865212,318
2009-10-28$74.69$62.3835.5%10.2%31.6%8.0%36.1%5.3%0.9%3.3M-562.8M-3.3M0.5510.50N/AN/A7,4724,087194,189212,942
2009-10-29$75.95$62.3832.6%9.4%28.5%4.7%33.4%4.9%2.6%4.5M-645.8M-3.2M1.587.42N/AN/A3,8176,027195,106213,164
2009-10-30$72.82$62.3839.3%11.3%32.2%12.4%39.4%5.7%1.0%1.7M-453.8M-3.4M1.4812.08N/AN/A10,71715,869196,222215,498