OXY Options History — December 2009

In December 2009, OXY traded between $72.94 and $79.18. ATM implied volatility averaged 28.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.7% (HV 20d: 24.9%). Max pain ranged from $67.18 to $76.78. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.53.

Notable Days

2009-12-07: Highest Volume — 32,162 contracts
2009-12-29: Largest IV spike — 12.6% change
2009-12-08: Highest IV Rank — 11.7%
2009-12-08: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.60	$72.94	$79.18	$78.87	$78.07
Max Pain	$72.20	$67.18	$76.78	$76.78	$71.98
ATM IV	28.6%	22.8%	33.7%	30.4%	25.9%
Expected Move	8.3%	6.5%	10.0%	8.7%	7.4%
HV 20d	24.9%	18.8%	29.2%	29.2%	18.9%
HV 60d	29.3%	26.5%	30.4%	30.4%	26.5%
IV Rank	5.3%	0.0%	11.7%	6.0%	6.0%
IV Percentile	6.8%	0.0%	27.0%	5.6%	2.4%
Term Structure	2.9%	1.7%	4.2%	2.1%	3.2%
VWIV	30.4%	24.5%	36.9%	31.2%	26.3%
Skew 25d	5.4%	4.2%	6.8%	4.6%	5.7%
Skew 10d	12.0%	8.7%	15.7%	9.4%	10.7%
Call IV 25d	27.0%	22.2%	31.6%	28.5%	23.7%
Put IV 25d	32.5%	27.1%	38.0%	33.1%	29.4%
Bid-Ask Spread %	7.81	3.74	17.10	9.41	3.74
Gamma HHI	0.19	0.15	0.55	0.16	0.17
Net GEX	-2.6M	-26.3M	1.7M	1.7M	435.7K
Net DEX	-399.4M	-591.9M	-149.4M	-591.9M	-487.2M
Net VEX	-2.7M	-3.1M	-2.1M	-3.0M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.21	4.01	1.31	0.79
Total Volume	9,476.136	2,508	32,162	4,880	6,148
Total OI	369,442.227	351,481	383,211	376,745	359,234

Daily Data (22 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
2009-12-01	$78.87	$76.78	30.4%	8.7%	29.2%	6.0%	31.2%	4.6%	2.1%	1.7M	-591.9M	-3.0M	1.31	9.41	N/A	N/A	2,113	2,767	167,496	209,249
2009-12-02	$77.94	$76.78	29.6%	8.5%	27.3%	5.3%	30.2%	4.6%	2.8%	896.8K	-545.1M	-2.9M	0.47	17.10	N/A	N/A	3,190	1,497	168,056	210,288
2009-12-03	$76.92	$76.78	29.9%	8.6%	27.6%	5.8%	31.2%	4.2%	2.8%	-647.2K	-466.2M	-3.1M	1.71	7.80	N/A	N/A	3,134	5,360	168,647	210,818
2009-12-04	$75.48	$67.18	28.7%	9.1%	28.1%	4.2%	33.4%	6.8%	2.3%	-2.5M	-391.1M	-3.1M	1.16	6.82	N/A	N/A	4,065	4,698	169,436	213,018
2009-12-07	$75.09	$67.18	30.1%	9.1%	28.2%	6.1%	35.4%	6.4%	2.3%	-2.6M	-373.5M	-3.0M	0.21	5.78	N/A	N/A	26,505	5,657	170,724	212,487
2009-12-08	$73.82	$71.98	33.7%	10.0%	26.6%	11.7%	36.9%	6.3%	1.7%	-3.8M	-199.0M	-3.0M	3.28	8.18	N/A	N/A	3,847	12,634	154,787	214,149
2009-12-09	$73.85	$71.98	32.0%	9.9%	25.9%	9.1%	33.7%	6.3%	2.4%	-4.7M	-199.8M	-3.0M	0.87	7.22	N/A	N/A	3,225	2,790	155,748	219,040
2009-12-10	$73.85	$71.98	33.5%	9.6%	25.7%	11.4%	32.8%	6.0%	2.5%	-4.4M	-216.6M	-3.0M	0.89	10.41	N/A	N/A	3,246	2,876	156,282	219,865
2009-12-11	$72.94	$71.98	32.7%	9.4%	25.5%	10.3%	35.0%	6.2%	2.4%	-5.6M	-149.4M	-3.0M	4.01	10.06	N/A	N/A	2,192	8,801	156,842	219,883
2009-12-14	$74.29	$71.98	32.8%	9.4%	26.4%	10.4%	35.1%	6.1%	2.1%	-4.4M	-231.5M	-2.9M	2.87	7.99	N/A	N/A	1,713	4,908	157,195	225,015
2009-12-15	$75.69	$71.98	29.0%	8.3%	25.7%	4.7%	33.1%	5.9%	2.8%	-3.6M	-315.4M	-2.8M	1.09	7.96	N/A	N/A	4,945	5,375	156,697	221,513
2009-12-16	$75.64	$71.98	29.1%	8.3%	25.7%	5.1%	31.0%	5.6%	2.4%	-3.7M	-330.5M	-2.7M	0.68	8.40	N/A	N/A	5,804	3,964	157,590	221,486
2009-12-17	$75.16	$71.98	28.9%	8.3%	25.6%	5.0%	31.5%	5.2%	2.9%	-2.9M	-316.7M	-2.6M	1.51	8.39	N/A	N/A	3,190	4,805	158,453	222,143
2009-12-18	$76.76	$71.98	27.5%	7.9%	26.1%	2.8%	27.3%	4.8%	3.6%	-26.3M	-404.8M	-2.6M	1.91	9.19	N/A	N/A	9,876	18,880	158,735	222,006
2009-12-21	$77.42	$71.98	25.7%	7.4%	25.4%	0.0%	26.5%	4.4%	3.3%	-642.5K	-440.2M	-2.5M	0.80	6.40	N/A	N/A	5,476	4,383	142,093	209,388
2009-12-22	$78.13	$71.98	25.3%	7.2%	23.7%	0.0%	26.4%	5.4%	3.8%	292.1K	-477.3M	-2.4M	1.87	6.34	N/A	N/A	900	1,686	143,067	209,784
2009-12-23	$79.14	$71.98	25.3%	7.2%	24.1%	0.0%	26.7%	5.0%	3.7%	951.6K	-524.1M	-2.4M	0.89	3.97	N/A	N/A	2,826	2,516	143,181	210,190
2009-12-24	$79.15	$71.98	25.5%	7.3%	23.3%	0.5%	28.5%	5.8%	3.7%	681.3K	-520.9M	-2.3M	1.62	3.86	N/A	N/A	958	1,550	142,426	209,989
2009-12-28	$79.18	$71.98	22.8%	6.5%	19.7%	0.0%	24.5%	4.3%	4.2%	1.4M	-547.2M	-2.2M	1.01	6.76	N/A	N/A	1,953	1,964	142,755	210,501
2009-12-29	$78.79	$71.98	25.7%	7.4%	19.7%	5.6%	26.9%	4.9%	3.6%	625.7K	-518.4M	-2.2M	3.86	9.28	N/A	N/A	1,274	4,923	143,048	210,599
2009-12-30	$79.05	$71.98	26.0%	7.4%	18.8%	6.2%	26.3%	5.2%	3.6%	884.9K	-539.7M	-2.1M	0.89	6.84	N/A	N/A	5,205	4,656	143,171	210,655
2009-12-31	$78.07	$71.98	25.9%	7.4%	18.9%	6.0%	26.3%	5.7%	3.2%	435.7K	-487.2M	-2.3M	0.79	3.74	N/A	N/A	3,427	2,721	146,964	212,270