OXY Options History — November 2009 In November 2009, OXY traded between $73.72 and $81.07. ATM implied volatility averaged 32.5%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.5% (HV 20d: 32.0%). Max pain ranged from $62.38 to $76.78. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.32.
Notable Days 2009-11-03 : Highest Volume — 26,536 contracts2009-11-27 : Largest IV spike — 23.9% change2009-11-02 : Highest IV Rank — 14.0%2009-11-02 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $78.55 $73.72 $81.07 $73.72 $77.53 Max Pain $73.90 $62.38 $76.78 $62.38 $76.78 ATM IV 32.5% 25.9% 40.6% 40.6% 31.8% Expected Move 9.5% 7.4% 11.6% 11.6% 9.1% HV 20d 32.0% 29.0% 33.1% 32.0% 29.0% HV 60d 29.5% 28.6% 30.3% 29.5% 30.3% IV Rank 5.3% 0.0% 14.0% 14.0% 8.0% IV Percentile 16.0% 0.0% 41.3% 41.3% 14.3% Term Structure 1.7% -0.3% 3.5% -0.3% 1.7% VWIV 34.0% 26.6% 40.5% 39.7% 33.8% Skew 25d 5.8% 4.0% 6.6% 6.2% 5.2% Skew 10d 12.2% 8.1% 14.0% 13.3% 12.8% Call IV 25d 31.1% 25.2% 37.1% 37.1% 30.2% Put IV 25d 36.8% 29.2% 43.3% 43.3% 35.5% Bid-Ask Spread % 12.31 5.82 17.61 7.89 12.36 Gamma HHI 0.18 0.12 0.27 0.12 0.15 Net GEX 5.1M -686.5K 11.9M 1.3M 39.2K Net DEX -752.7M -994.9M -489.1M -489.1M -497.8M Net VEX -3.3M -3.6M -2.9M -3.4M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.34 2.61 0.63 2.30 Total Volume 12,695.9 6,351 26,536 19,581 10,536 Total OI 432,633.65 359,514 467,553 419,814 373,496
Daily Data (20 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 2009-11-02 $73.72 $62.38 40.6% 11.6% 32.0% 14.0% 39.7% 6.2% -0.3% 1.3M -489.1M -3.4M 0.63 7.89 N/A N/A 11,994 7,587 196,394 223,420 2009-11-03 $76.29 $62.38 38.4% 11.0% 32.8% 11.5% 40.5% 6.3% 0.8% 3.6M -676.4M -3.5M 0.78 6.00 N/A N/A 14,945 11,591 203,466 225,983 2009-11-04 $76.87 $62.38 37.5% 10.8% 32.9% 10.4% 39.0% 6.2% 1.0% 4.6M -745.2M -3.6M 2.25 9.37 N/A N/A 4,025 9,055 212,976 231,990 2009-11-05 $77.68 $62.38 35.3% 10.1% 30.8% 7.7% 34.4% 5.6% 1.1% 5.0M -791.6M -3.6M 0.74 5.82 N/A N/A 5,842 4,332 213,781 239,452 2009-11-06 $77.62 $76.78 33.8% 10.2% 30.7% 6.0% 36.6% 6.6% 1.4% 5.4M -790.4M -3.6M 2.61 14.37 N/A N/A 2,235 5,824 214,991 241,541 2009-11-09 $79.70 $76.78 31.4% 9.4% 31.9% 3.2% 34.7% 6.0% 1.4% 7.5M -932.0M -3.4M 1.45 10.55 N/A N/A 3,405 4,936 215,040 243,684 2009-11-10 $80.78 $76.78 29.1% 9.3% 32.2% 0.5% 33.4% 6.5% 1.6% 9.1M -918.6M -3.2M 0.95 11.04 N/A N/A 9,484 9,031 204,175 245,418 2009-11-11 $79.78 $76.78 29.3% 9.2% 32.0% 0.7% 34.3% 6.4% 1.8% 7.7M -878.7M -3.4M 0.92 17.61 N/A N/A 5,189 4,748 210,865 247,593 2009-11-12 $78.51 $76.78 34.2% 9.8% 32.0% 6.5% 32.5% 6.0% 1.4% 6.6M -809.7M -3.3M 0.64 17.20 N/A N/A 6,459 4,143 211,572 247,663 2009-11-13 $79.13 $76.78 33.9% 9.7% 32.0% 6.2% 34.2% 6.0% 1.8% 8.1M -866.3M -3.2M 1.86 14.35 N/A N/A 2,713 5,058 212,911 248,283 2009-11-16 $81.07 $76.78 32.4% 9.3% 33.1% 4.4% 35.6% 6.1% 1.5% 11.9M -994.9M -3.2M 1.48 15.58 N/A N/A 5,215 7,722 213,287 250,180 2009-11-17 $80.66 $76.78 31.9% 9.2% 32.9% 3.9% 34.1% 6.3% 1.9% 11.2M -944.2M -3.2M 1.28 16.91 N/A N/A 2,782 3,569 213,106 252,550 2009-11-18 $79.86 $76.78 31.0% 8.9% 33.1% 2.8% 34.3% 5.6% 2.3% 9.5M -903.9M -3.1M 0.46 13.54 N/A N/A 5,327 2,431 212,153 252,068 2009-11-19 $78.24 $76.78 33.3% 9.6% 32.1% 5.5% 33.3% 5.1% 2.2% 3.1M -797.6M -3.1M 1.98 10.06 N/A N/A 4,626 9,177 212,345 252,801 2009-11-20 $76.77 $76.78 31.6% 9.1% 31.9% 3.5% 31.6% 4.6% 2.9% -686.5K -671.0M -3.2M 1.47 15.37 N/A N/A 10,590 15,530 212,565 254,988 2009-11-23 $78.83 $76.78 30.6% 8.8% 32.7% 2.7% 29.7% 5.5% 2.4% 1.1M -564.0M -3.0M 0.34 14.69 N/A N/A 7,444 2,504 159,876 199,638 2009-11-24 $79.40 $76.78 26.1% 7.5% 32.7% 0.0% 29.4% 5.5% 3.5% 2.1M -599.8M -3.0M 1.76 8.16 N/A N/A 3,375 5,950 162,941 200,543 2009-11-25 $80.64 $76.78 25.9% 7.4% 30.7% 0.0% 26.6% 4.0% 3.0% 3.5M -669.1M -2.9M 0.77 9.65 N/A N/A 9,076 6,986 164,237 202,946 2009-11-27 $77.93 $76.78 32.1% 9.2% 33.1% 8.4% 31.8% 5.5% 1.3% 739.1K -514.4M -3.2M 1.72 15.65 N/A N/A 3,124 5,358 167,237 204,518 2009-11-30 $77.53 $76.78 31.8% 9.1% 29.0% 8.0% 33.8% 5.2% 1.7% 39.2K -497.8M -3.1M 2.30 12.36 N/A N/A 3,190 7,346 166,589 206,907
« Oct 2009 | All History | Dec 2009 » Home OXY History November 2009