OXY Options History — January 2010

In January 2010, OXY traded between $72.95 and $80.35. ATM implied volatility averaged 28.1%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.2% (HV 20d: 20.9%). Max pain ranged from $57.58 to $67.18. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-01-28: Highest Volume — 34,748 contracts
  • 2010-01-05: Largest IV spike — 18.3% change
  • 2010-01-27: Highest IV Rank — 21.5%
  • 2010-01-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.47$72.95$80.35$79.75$75.18
Max Pain$62.89$57.58$67.18$57.58$67.18
ATM IV28.1%22.9%32.6%24.3%31.3%
Expected Move8.4%7.4%9.4%8.0%9.0%
HV 20d20.9%17.3%24.2%19.6%24.2%
HV 60d26.1%24.4%26.8%26.8%24.4%
IV Rank11.2%0.2%21.5%3.0%18.5%
IV Percentile11.2%0.4%33.3%0.4%22.6%
Term Structure1.1%0.2%2.2%2.2%1.5%
VWIV30.0%26.3%32.8%27.9%32.8%
Skew 25d4.4%2.7%5.6%5.6%4.2%
Skew 10d9.2%6.3%12.1%12.1%10.0%
Call IV 25d27.8%25.2%31.3%26.5%30.6%
Put IV 25d32.1%28.4%35.1%32.1%34.8%
Bid-Ask Spread %8.324.2714.747.6810.94
Gamma HHI0.200.160.280.200.16
Net GEX-918.0K-5.7M5.7M2.3M-2.4M
Net DEX-370.7M-639.0M-137.8M-566.1M-263.5M
Net VEX-2.2M-2.6M-2.1M-2.2M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.252.880.252.88
Total Volume15,154.5793,45734,7487,49029,246
Total OI314,446.842225,322385,924362,220273,156

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$79.75$57.5824.3%8.0%19.6%3.0%27.9%5.6%2.2%2.3M-566.1M-2.2M0.257.68N/AN/A5,9761,514148,492213,728
2010-01-05$79.17$57.5828.7%8.7%18.4%11.6%32.1%5.5%1.2%2.5M-536.5M-2.2M1.717.49N/AN/A2,8844,934151,058213,890
2010-01-06$80.12$57.5824.4%7.9%18.4%3.2%29.3%4.9%1.8%4.6M-613.3M-2.1M1.106.07N/AN/A3,6544,036152,015215,155
2010-01-07$79.53$57.5824.9%8.1%17.3%4.1%29.9%4.9%1.6%3.9M-571.6M-2.2M1.089.49N/AN/A1,6601,797153,228217,453
2010-01-08$80.35$57.5822.9%7.9%17.4%0.2%29.3%4.9%1.9%5.7M-639.0M-2.1M0.796.67N/AN/A8,0576,332153,863218,173
2010-01-11$79.62$57.5826.0%8.1%18.0%6.2%30.3%4.4%1.5%4.8M-617.7M-2.2M0.3610.48N/AN/A9,9203,557159,296222,553
2010-01-12$76.93$62.3829.8%8.5%21.9%13.6%30.6%4.3%0.9%-688.4K-451.4M-2.1M1.247.46N/AN/A6,1187,598156,091224,061
2010-01-13$76.42$62.3826.7%8.5%21.3%8.0%31.1%4.5%0.8%-74.7K-427.0M-2.2M1.105.04N/AN/A4,4804,914156,591225,059
2010-01-14$77.02$62.3828.7%8.2%20.4%12.0%29.4%4.2%0.9%1.8M-469.7M-2.2M0.454.27N/AN/A10,2074,581156,952226,630
2010-01-15$75.74$62.3828.1%8.0%21.4%10.7%28.2%4.1%1.4%-2.0M-350.9M-2.1M2.089.80N/AN/A9,29819,319157,867228,057
2010-01-19$76.16$62.3826.0%7.5%21.3%6.6%26.3%3.2%0.7%-4.5M-238.1M-2.1M0.528.59N/AN/A8,6984,52493,689131,633
2010-01-20$75.06$67.1826.0%7.4%20.6%6.5%26.9%3.6%0.8%-4.5M-211.3M-2.2M1.234.74N/AN/A4,9776,12998,495133,018
2010-01-21$72.95$67.1829.0%8.3%22.4%13.5%28.9%3.9%0.6%-5.7M-142.0M-2.2M1.445.21N/AN/A5,6898,201100,142134,101
2010-01-22$73.03$67.1831.9%9.1%22.0%19.9%31.4%4.9%1.2%-5.5M-137.8M-2.3M0.566.81N/AN/A12,1146,757101,832137,573
2010-01-25$74.52$67.1829.9%8.6%22.8%15.6%31.9%4.3%0.2%-3.9M-224.0M-2.4M1.3012.08N/AN/A5,4027,010108,868138,570
2010-01-26$73.57$67.1832.0%9.2%23.1%20.2%31.2%4.9%0.3%-4.8M-182.5M-2.4M0.799.97N/AN/A5,9684,731110,475141,709
2010-01-27$73.35$67.1832.6%9.4%23.0%21.5%32.4%2.7%0.3%-4.8M-178.8M-2.4M1.1714.74N/AN/A10,57212,335111,930143,272
2010-01-28$74.38$67.1830.8%8.8%23.8%17.5%29.6%4.0%2.0%-4.2M-221.9M-2.5M0.6310.51N/AN/A21,35013,398116,789149,026
2010-01-29$75.18$67.1831.3%9.0%24.2%18.5%32.8%4.2%1.5%-2.4M-263.5M-2.6M2.8810.94N/AN/A7,54721,699121,576151,580