OXY Options History — April 2010

In April 2010, OXY traded between $80.95 and $85.09. ATM implied volatility averaged 25.3%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.5% (HV 20d: 21.8%). Max pain ranged from $57.58 to $76.78. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2010-04-30: Highest Volume — 35,409 contracts
  • 2010-04-15: Largest IV spike — 18.2% change
  • 2010-04-28: Highest IV Rank — 35.7%
  • 2010-04-28: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.93$80.95$85.09$83.11$85.09
Max Pain$58.50$57.58$76.78$76.78$57.58
ATM IV25.3%20.9%30.4%21.3%30.4%
Expected Move7.6%6.1%8.7%6.1%8.7%
HV 20d21.8%17.5%26.0%17.5%26.0%
HV 60d21.8%20.7%23.0%22.3%22.8%
IV Rank15.3%0.0%35.7%0.9%35.6%
IV Percentile16.5%0.0%40.1%0.4%40.1%
Term Structure0.8%-1.3%3.4%3.4%1.0%
VWIV27.2%22.5%31.8%22.5%31.8%
Skew 25d4.4%3.4%6.3%3.4%6.3%
Skew 10d10.2%7.1%14.3%7.1%14.3%
Call IV 25d24.9%20.1%29.7%20.1%29.7%
Put IV 25d29.3%23.5%36.0%23.5%36.0%
Bid-Ask Spread %5.173.037.313.355.22
Gamma HHI0.250.200.720.220.26
Net GEX14.4M6.2M80.5M12.7M12.2M
Net DEX-735.2M-866.5M-610.6M-768.7M-829.9M
Net VEX-3.0M-3.3M-2.9M-3.0M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.313.121.300.46
Total Volume13,328.6673,31135,40916,47935,409
Total OI329,000.19311,874340,692318,834336,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$83.11$76.7821.3%6.1%17.5%0.9%22.5%3.4%3.4%12.7M-768.7M-3.0M1.303.35N/AN/A7,1779,302168,477150,357
2010-04-05$84.85$57.5821.5%6.9%18.5%1.5%25.3%4.3%2.4%14.1M-862.5M-3.0M0.916.24N/AN/A6,0375,483170,669154,012
2010-04-06$84.92$57.5820.9%6.8%18.2%0.0%25.6%4.7%2.4%14.6M-866.5M-3.0M1.485.15N/AN/A4,6456,895172,020156,386
2010-04-07$82.82$57.5823.3%7.4%20.9%7.5%27.3%4.6%1.6%11.9M-743.2M-3.1M3.125.69N/AN/A3,36710,505173,403158,615
2010-04-08$83.09$57.5823.0%7.4%20.9%6.7%26.0%4.4%1.7%12.3M-756.4M-3.0M0.776.93N/AN/A4,7153,647173,403158,615
2010-04-09$83.07$57.5821.8%7.4%20.9%2.9%25.4%4.3%1.7%12.9M-776.3M-3.0M1.516.67N/AN/A2,4283,670174,772161,390
2010-04-12$83.29$57.5824.4%7.6%20.9%11.0%26.7%4.4%1.0%13.1M-792.9M-3.0M1.495.65N/AN/A1,3321,979176,068163,307
2010-04-13$82.24$57.5822.1%7.6%21.1%3.8%25.9%4.2%1.2%14.1M-720.8M-3.0M0.665.48N/AN/A5,8133,835176,243161,605
2010-04-14$82.69$57.5822.8%7.5%20.6%6.1%26.2%4.2%1.3%14.1M-764.9M-2.9M0.614.77N/AN/A3,1781,945175,861161,912
2010-04-15$82.98$57.5827.0%7.7%20.4%19.0%28.4%4.7%1.1%12.9M-767.9M-3.0M1.035.22N/AN/A4,9035,032175,546161,999
2010-04-16$81.63$57.5826.7%7.6%21.1%18.1%27.9%4.6%1.5%80.5M-711.2M-3.0M1.375.69N/AN/A12,29216,843177,708162,984
2010-04-19$81.28$57.5825.4%7.3%21.2%14.0%27.5%4.0%0.6%6.2M-610.8M-3.0M1.154.65N/AN/A5,2286,015162,747149,127
2010-04-20$83.10$57.5825.4%7.3%22.5%14.2%26.1%4.4%0.1%8.7M-694.0M-3.0M0.595.80N/AN/A8,6895,114164,662152,012
2010-04-21$82.42$57.5825.2%7.2%22.6%14.3%25.8%4.2%0.0%7.8M-664.4M-3.0M1.165.30N/AN/A5,0895,919163,637152,185
2010-04-22$81.86$57.5825.8%7.4%22.7%16.6%25.7%3.6%-0.0%7.9M-653.4M-3.0M0.314.56N/AN/A8,9632,794166,239154,226
2010-04-23$83.95$57.5826.7%7.7%23.1%21.8%26.6%3.9%-0.2%11.5M-754.3M-3.1M1.903.31N/AN/A4,8669,233169,675155,061
2010-04-26$83.89$57.5828.8%8.3%23.1%29.8%28.2%4.0%-1.3%11.9M-766.5M-3.0M0.703.03N/AN/A5,0333,504171,468152,815
2010-04-27$80.95$57.5830.3%8.7%24.9%35.4%30.9%5.0%-1.3%6.8M-610.6M-3.1M1.277.31N/AN/A7,2039,133172,732153,752
2010-04-28$81.48$57.5830.4%8.7%25.0%35.7%30.6%4.5%-0.8%6.8M-631.4M-3.1M0.563.60N/AN/A11,1676,270172,122159,236
2010-04-29$82.77$57.5828.2%8.1%25.6%27.2%29.6%5.3%0.2%8.5M-692.2M-3.1M1.085.01N/AN/A7,3227,928175,572160,244
2010-04-30$85.09$57.5830.4%8.7%26.0%35.6%31.8%6.3%1.0%12.2M-829.9M-3.3M0.465.22N/AN/A24,33511,074175,981160,159