OXY Options History — February 2010

In February 2010, OXY traded between $73.22 and $78.22. ATM implied volatility averaged 28.9%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.7% (HV 20d: 27.2%). Max pain ranged from $67.18 to $76.78. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2010-02-09: Highest Volume — 77,832 contracts
2010-02-04: Largest IV spike — 23.9% change
2010-02-08: Highest IV Rank — 28.9%
2010-02-08: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.21	$73.22	$78.22	$76.61	$76.63
Max Pain	$71.98	$67.18	$76.78	$67.18	$76.78
ATM IV	28.9%	24.0%	36.0%	28.7%	24.0%
Expected Move	8.3%	6.9%	10.3%	8.2%	6.9%
HV 20d	27.2%	24.2%	29.5%	25.1%	26.2%
HV 60d	24.5%	23.1%	25.6%	23.6%	23.2%
IV Rank	13.3%	2.7%	28.9%	12.9%	2.7%
IV Percentile	16.1%	0.8%	54.4%	8.3%	0.8%
Term Structure	1.9%	0.2%	3.1%	1.4%	2.0%
VWIV	30.2%	26.3%	36.2%	34.0%	27.0%
Skew 25d	5.8%	3.8%	7.8%	4.2%	5.0%
Skew 10d	12.1%	8.9%	14.4%	11.1%	11.6%
Call IV 25d	27.1%	22.8%	32.2%	27.9%	22.8%
Put IV 25d	32.8%	27.8%	39.2%	32.1%	27.8%
Bid-Ask Spread %	4.22	2.88	5.84	3.42	4.72
Gamma HHI	0.16	0.12	0.24	0.17	0.13
Net GEX	2.6M	-4.1M	10.1M	469.4K	2.9M
Net DEX	-464.0M	-747.1M	-207.5M	-376.4M	-450.9M
Net VEX	-3.0M	-3.4M	-2.6M	-2.6M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.20	2.02	1.93	1.39
Total Volume	18,423.895	6,285	77,832	13,026	12,392
Total OI	329,161.526	274,367	387,436	283,918	288,994

Daily Data (19 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
2010-02-01	$76.61	$67.18	28.7%	8.2%	25.1%	12.9%	34.0%	4.2%	1.4%	469.4K	-376.4M	-2.6M	1.93	3.42	N/A	N/A	4,442	8,584	130,890	153,028
2010-02-02	$77.52	$67.18	27.0%	7.7%	24.2%	9.1%	27.3%	4.2%	2.1%	2.3M	-435.9M	-2.6M	2.02	3.61	N/A	N/A	3,097	6,248	132,947	153,694
2010-02-03	$76.90	$67.18	26.8%	7.7%	24.2%	8.8%	27.6%	3.8%	1.8%	1.2M	-401.9M	-2.6M	0.74	3.88	N/A	N/A	4,556	3,355	133,018	156,207
2010-02-04	$73.36	$67.18	33.2%	9.5%	28.6%	22.8%	32.8%	5.5%	0.9%	-3.4M	-229.5M	-2.6M	1.20	3.85	N/A	N/A	19,927	23,895	134,569	156,735
2010-02-05	$73.62	$71.98	34.3%	10.1%	28.7%	25.1%	36.2%	6.9%	0.8%	-3.3M	-217.3M	-3.0M	1.30	4.74	N/A	N/A	16,394	21,321	147,724	173,184
2010-02-08	$73.22	$71.98	36.0%	10.3%	28.2%	28.9%	34.3%	7.1%	0.2%	-4.1M	-207.5M	-3.1M	0.37	4.55	N/A	N/A	14,558	5,330	149,289	183,667
2010-02-09	$74.77	$71.98	31.0%	9.2%	29.5%	17.9%	32.1%	7.8%	2.1%	-918.9K	-349.9M	-3.2M	0.20	3.41	N/A	N/A	65,107	12,725	164,012	186,955
2010-02-10	$75.23	$71.98	29.4%	9.1%	27.3%	14.5%	33.8%	7.4%	2.3%	1.6M	-544.3M	-3.4M	1.80	2.88	N/A	N/A	3,225	5,817	190,636	192,548
2010-02-11	$77.22	$71.98	30.6%	8.8%	28.8%	17.1%	31.8%	6.5%	2.3%	4.3M	-604.1M	-3.4M	0.68	4.81	N/A	N/A	6,801	4,639	185,189	194,378
2010-02-12	$76.58	$71.98	30.2%	8.6%	28.8%	16.1%	30.7%	6.3%	2.9%	6.4M	-586.1M	-3.4M	1.10	4.88	N/A	N/A	3,520	3,856	187,174	195,650
2010-02-16	$77.91	$71.98	30.0%	8.6%	28.8%	15.9%	31.3%	6.2%	1.9%	7.4M	-671.2M	-3.2M	0.90	3.49	N/A	N/A	7,190	6,455	187,059	195,572
2010-02-17	$77.68	$71.98	29.0%	8.3%	28.8%	13.6%	30.4%	6.0%	2.5%	9.9M	-673.0M	-3.1M	0.93	3.63	N/A	N/A	5,194	4,822	189,077	196,804
2010-02-18	$77.73	$71.98	27.4%	7.9%	28.2%	10.2%	27.7%	5.9%	3.1%	10.1M	-688.9M	-3.1M	0.93	4.95	N/A	N/A	6,838	6,354	188,687	198,125
2010-02-19	$78.22	$71.98	27.2%	7.8%	25.8%	9.5%	28.2%	5.9%	3.0%	4.8M	-747.1M	-3.0M	1.35	4.87	N/A	N/A	6,734	9,069	188,980	198,456
2010-02-22	$76.79	$71.98	26.4%	7.6%	27.0%	7.9%	27.0%	5.4%	0.8%	3.4M	-431.3M	-3.1M	0.82	3.70	N/A	N/A	7,132	5,831	140,607	133,760
2010-02-23	$75.83	$76.78	27.3%	7.8%	26.7%	9.8%	28.1%	5.6%	1.2%	2.4M	-389.6M	-3.0M	0.90	3.98	N/A	N/A	7,999	7,195	142,085	135,759
2010-02-24	$76.34	$76.78	25.4%	7.3%	26.2%	5.7%	26.3%	5.3%	1.9%	2.7M	-409.3M	-3.1M	0.77	4.96	N/A	N/A	3,559	2,726	144,470	138,539
2010-02-25	$75.84	$76.78	25.0%	7.2%	26.4%	4.9%	26.4%	4.8%	2.1%	1.6M	-401.7M	-3.0M	0.84	5.84	N/A	N/A	7,159	6,008	145,534	140,067
2010-02-26	$76.63	$76.78	24.0%	6.9%	26.2%	2.7%	27.0%	5.0%	2.0%	2.9M	-450.9M	-3.0M	1.39	4.72	N/A	N/A	5,178	7,214	147,909	141,085