OXY Options History — March 2010 In March 2010, OXY traded between $77.50 and $81.13. ATM implied volatility averaged 23.3%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.9% (HV 20d: 16.5%). Max pain ranged from $76.78 to $76.78. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.87.
Notable Days 2010-03-05 : Highest Volume — 215,588 contracts2010-03-17 : Largest IV drop — 11.9% change2010-03-11 : Highest IV Rank — 8.0%2010-03-10 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $78.93 $77.50 $81.13 $77.50 $81.13 Max Pain $76.78 $76.78 $76.78 $76.78 $76.78 ATM IV 23.3% 21.0% 25.6% 24.9% 21.4% Expected Move 6.8% 6.0% 7.5% 7.1% 6.1% HV 20d 16.5% 11.3% 26.2% 26.2% 15.7% HV 60d 22.0% 21.3% 23.0% 23.0% 21.8% IV Rank 3.1% 0.0% 8.0% 4.5% 1.0% IV Percentile 2.2% 0.0% 7.5% 2.0% 0.4% Term Structure 2.6% 1.4% 3.7% 1.4% 3.7% VWIV 24.1% 22.2% 28.1% 28.1% 23.1% Skew 25d 3.9% 2.9% 5.0% 5.0% 3.1% Skew 10d 8.4% 5.3% 11.3% 11.3% 8.2% Call IV 25d 22.5% 20.9% 23.7% 23.2% 21.2% Put IV 25d 26.3% 24.1% 28.2% 28.2% 24.3% Bid-Ask Spread % 5.26 2.78 6.44 4.82 5.13 Gamma HHI 0.18 0.13 0.26 0.14 0.22 Net GEX 6.3M 3.0M 10.6M 4.0M 10.6M Net DEX -565.0M -676.3M -475.1M -493.6M -676.3M Net VEX -3.0M -3.2M -2.9M -3.0M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.02 2.09 1.95 2.09 Total Volume 17,849.435 2,333 215,588 10,757 9,284 Total OI 313,498.652 290,714 335,794 290,714 314,000
Daily Data (23 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 2010-03-01 $77.50 $76.78 24.9% 7.1% 26.2% 4.5% 28.1% 5.0% 1.4% 4.0M -493.6M -3.0M 1.95 4.82 N/A N/A 3,642 7,115 148,797 141,917 2010-03-02 $77.93 $76.78 24.7% 7.1% 25.4% 4.2% 25.1% 4.6% 1.4% 4.1M -490.0M -3.0M 1.10 5.93 N/A N/A 4,036 4,439 149,295 146,073 2010-03-03 $77.76 $76.78 24.3% 7.0% 25.1% 3.3% 24.8% 4.6% 1.7% 3.2M -475.1M -3.0M 0.91 5.33 N/A N/A 3,111 2,821 149,910 148,813 2010-03-04 $77.98 $76.78 23.6% 6.8% 24.9% 1.9% 25.1% 4.5% 2.3% 3.0M -502.1M -2.9M 0.97 5.24 N/A N/A 3,538 3,417 150,852 149,938 2010-03-05 $78.64 $76.78 22.8% 7.2% 17.5% 0.0% 24.5% 4.3% 3.0% 4.6M -522.2M -3.1M 0.02 4.94 N/A N/A 211,876 3,712 152,447 151,557 2010-03-08 $78.21 $76.78 24.1% 7.4% 17.8% 2.8% 25.2% 4.3% 2.1% 3.4M -495.5M -2.9M 0.55 4.89 N/A N/A 10,822 5,957 146,838 152,678 2010-03-09 $78.21 $76.78 23.7% 7.4% 17.5% 2.0% 25.3% 4.4% 1.9% 4.3M -505.9M -3.0M 0.45 5.12 N/A N/A 7,151 3,212 152,630 155,056 2010-03-10 $78.67 $76.78 23.7% 7.5% 16.3% 2.5% 24.4% 4.3% 1.9% 5.2M -567.1M -2.9M 0.17 5.27 N/A N/A 15,059 2,504 157,312 155,790 2010-03-11 $78.56 $76.78 25.6% 7.3% 16.3% 8.0% 24.9% 4.2% 2.6% 6.5M -573.7M -3.1M 1.45 6.04 N/A N/A 5,458 7,929 166,222 156,899 2010-03-12 $78.54 $76.78 25.3% 7.3% 13.6% 7.1% 24.9% 4.2% 2.4% 6.5M -555.5M -3.2M 0.90 5.62 N/A N/A 3,288 2,947 169,980 162,208 2010-03-15 $77.79 $76.78 25.1% 7.2% 13.8% 6.6% 25.9% 4.2% 2.5% 4.8M -513.1M -3.2M 0.80 5.29 N/A N/A 3,660 2,923 170,090 162,381 2010-03-16 $79.05 $76.78 25.0% 7.2% 13.6% 6.3% 24.4% 3.9% 2.7% 8.3M -597.5M -3.2M 0.43 5.27 N/A N/A 5,866 2,520 171,478 162,130 2010-03-17 $79.86 $76.78 22.0% 6.3% 13.9% 0.0% 23.1% 3.5% 3.2% 10.4M -651.1M -3.0M 0.41 5.45 N/A N/A 7,034 2,856 172,418 161,799 2010-03-18 $79.18 $76.78 22.1% 6.3% 14.3% 0.3% 23.5% 3.8% 2.8% 7.5M -601.8M -3.1M 1.14 6.28 N/A N/A 3,003 3,432 171,722 162,524 2010-03-19 $79.25 $76.78 22.0% 6.3% 14.2% 0.0% 23.2% 3.6% 2.8% 5.8M -616.1M -3.1M 0.64 4.81 N/A N/A 10,822 6,918 172,454 163,340 2010-03-22 $79.24 $76.78 21.6% 6.2% 12.3% 0.0% 22.8% 3.5% 2.9% 6.8M -571.4M -3.1M 0.96 6.44 N/A N/A 3,832 3,689 163,246 140,326 2010-03-23 $79.96 $76.78 21.0% 6.0% 11.3% 0.0% 22.2% 3.2% 3.3% 8.2M -606.2M -3.1M 0.82 4.68 N/A N/A 2,949 2,429 163,930 141,786 2010-03-24 $79.61 $76.78 21.7% 6.2% 11.5% 1.8% 23.0% 3.0% 3.0% 7.5M -591.1M -3.1M 1.32 4.59 N/A N/A 1,474 1,945 165,007 142,770 2010-03-25 $78.22 $76.78 23.8% 6.8% 13.1% 7.6% 22.9% 3.5% 3.1% 4.8M -517.1M -3.1M 0.72 6.27 N/A N/A 3,989 2,867 165,916 143,632 2010-03-26 $78.44 $76.78 23.6% 6.8% 12.7% 6.9% 22.6% 3.7% 3.4% 5.8M -532.8M -3.1M 0.98 2.78 N/A N/A 1,180 1,153 167,139 144,164 2010-03-29 $80.75 $76.78 22.3% 6.4% 15.8% 3.4% 23.4% 3.0% 3.1% 10.1M -663.3M -3.0M 0.69 4.92 N/A N/A 5,796 4,008 166,508 144,108 2010-03-30 $80.87 $76.78 21.8% 6.3% 15.7% 2.1% 22.5% 2.9% 3.4% 10.3M -676.1M -2.9M 0.51 5.79 N/A N/A 3,230 1,644 167,061 145,328 2010-03-31 $81.13 $76.78 21.4% 6.1% 15.7% 1.0% 23.1% 3.1% 3.7% 10.6M -676.3M -3.0M 2.09 5.13 N/A N/A 3,002 6,282 167,839 146,161
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