OXY Options History — May 2010

In May 2010, OXY traded between $74.53 and $86.36. ATM implied volatility averaged 38.8%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 2.3% (HV 20d: 36.5%). Max pain ranged from $57.58 to $81.57. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-05-17: Highest Volume — 104,000 contracts
  • 2010-05-04: Largest IV spike — 23.4% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.49$74.53$86.36$86.36$79.18
Max Pain$74.86$57.58$81.57$57.58$76.78
ATM IV38.8%29.2%47.3%29.2%33.6%
Expected Move11.0%8.4%13.6%8.4%9.6%
HV 20d36.5%25.5%42.1%25.5%40.6%
HV 60d25.9%20.6%29.5%20.6%29.5%
IV Rank67.9%31.3%100.0%31.3%47.9%
IV Percentile82.8%32.5%100.0%32.5%65.9%
Term Structure-0.8%-4.4%0.9%0.9%0.8%
VWIV39.3%29.7%52.8%29.7%34.7%
Skew 25d8.8%5.1%12.5%5.1%9.3%
Skew 10d18.1%10.9%25.4%10.9%18.5%
Call IV 25d35.6%28.1%44.3%28.1%32.4%
Put IV 25d44.5%33.1%56.3%33.1%41.7%
Bid-Ask Spread %6.453.9212.014.805.23
Gamma HHI0.170.120.320.320.16
Net GEX1.9M-4.3M17.4M17.4M3.6M
Net DEX-473.9M-931.6M-164.4M-924.5M-388.3M
Net VEX-3.8M-4.5M-3.2M-3.2M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.221.990.540.28
Total Volume25,520.27,030104,00025,35414,318
Total OI372,596.05295,994473,366345,376314,552

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$86.36$57.5829.2%8.4%25.5%31.3%29.7%5.1%0.9%17.4M-924.5M-3.2M0.544.80N/AN/A16,4178,937182,254163,122
2010-05-04$83.05$57.5836.1%10.3%29.2%56.8%36.9%6.9%-1.5%9.8M-707.2M-3.4M1.103.92N/AN/A11,80013,032183,862166,032
2010-05-05$79.54$62.3836.8%10.6%31.8%59.7%38.4%6.5%-1.5%3.8M-534.3M-3.3M0.925.25N/AN/A19,29117,735184,793169,967
2010-05-06$77.18$62.3842.9%12.3%33.2%82.2%45.5%7.4%-4.4%-283.7K-377.0M-3.4M1.3312.01N/AN/A10,58914,126190,340175,063
2010-05-07$77.36$81.5746.7%12.2%33.3%96.7%42.6%8.6%-0.8%738.6K-397.0M-3.6M1.338.76N/AN/A8,14710,806191,048179,728
2010-05-10$80.77$81.5738.8%10.4%37.1%67.1%36.6%7.2%-0.2%5.7M-595.0M-3.5M0.6010.04N/AN/A8,3475,004192,644182,997
2010-05-11$79.68$81.5736.8%10.0%37.2%59.5%36.8%7.6%0.3%1.9M-512.1M-3.4M1.006.63N/AN/A3,8073,795193,898185,016
2010-05-12$81.33$81.5733.9%9.5%37.9%48.5%35.2%7.7%0.4%6.0M-616.4M-3.3M1.476.51N/AN/A3,6335,349193,594185,825
2010-05-13$80.06$81.5733.5%9.6%38.2%47.1%33.5%7.6%0.5%1.1M-514.8M-3.3M0.595.20N/AN/A9,8585,804192,094187,681
2010-05-14$78.66$81.5739.0%11.2%38.3%70.0%38.3%8.3%-1.0%-365.6K-444.3M-3.3M1.075.11N/AN/A6,0206,434194,942188,405
2010-05-17$77.28$76.7839.3%11.3%38.7%71.3%38.5%9.0%-0.3%-3.3M-373.3M-3.2M0.225.22N/AN/A85,12218,878195,054189,978
2010-05-18$77.67$76.7841.2%11.8%37.7%78.5%39.8%7.5%-1.7%1.6M-931.6M-4.3M0.455.15N/AN/A46,30820,923273,279200,087
2010-05-19$76.33$76.7842.3%12.1%38.0%82.8%42.2%9.3%-1.3%-3.4M-386.1M-4.2M0.815.75N/AN/A14,65111,891226,891214,147
2010-05-20$74.53$76.7847.3%13.6%38.7%100.0%52.8%12.0%-2.9%-4.3M-367.3M-4.5M1.998.72N/AN/A9,59519,140242,668216,094
2010-05-21$76.21$76.7843.9%12.6%38.4%86.9%44.6%12.5%-0.4%-3.0M-442.9M-4.5M1.097.95N/AN/A12,68713,830244,208225,334
2010-05-24$74.76$76.7841.0%11.8%38.7%76.0%43.6%12.1%-0.6%-627.4K-188.2M-4.3M0.724.49N/AN/A5,2713,780147,445148,549
2010-05-25$75.76$76.7840.0%11.5%37.6%72.2%41.7%12.1%-0.4%156.8K-226.4M-4.4M1.576.25N/AN/A10,76516,940148,703149,843
2010-05-26$75.03$76.7838.6%11.1%37.4%66.9%39.2%10.9%-0.8%-2.5M-164.4M-4.4M0.575.93N/AN/A6,6053,739153,054162,999
2010-05-27$79.11$76.7835.9%10.3%42.1%56.7%35.0%8.8%-0.9%3.7M-386.4M-4.3M0.656.15N/AN/A4,2592,771156,584159,147
2010-05-28$79.18$76.7833.6%9.6%40.6%47.9%34.7%9.3%0.8%3.6M-388.3M-4.3M0.285.23N/AN/A11,1693,149156,165158,387