OXY Options History — June 2010

In June 2010, OXY traded between $74.04 and $83.57. ATM implied volatility averaged 35.0%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 3.9% (HV 20d: 38.9%). Max pain ranged from $71.98 to $81.57. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.27.

Notable Days

2010-06-01: Highest Volume — 37,026 contracts
2010-06-24: Largest IV spike — 19.5% change
2010-06-30: Highest IV Rank — 84.0%
2010-06-30: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.21	$74.04	$83.57	$76.84	$74.04
Max Pain	$77.43	$71.98	$81.57	$76.78	$76.78
ATM IV	35.0%	27.4%	43.1%	42.7%	43.1%
Expected Move	10.0%	7.9%	12.4%	12.2%	12.4%
HV 20d	38.9%	34.9%	41.2%	41.0%	34.9%
HV 60d	33.4%	30.1%	34.5%	30.1%	34.5%
IV Rank	53.3%	24.7%	84.0%	82.4%	84.0%
IV Percentile	68.1%	25.8%	98.0%	96.0%	98.0%
Term Structure	0.8%	-2.3%	2.6%	-2.3%	-1.2%
VWIV	36.7%	27.1%	45.2%	45.2%	40.9%
Skew 25d	9.8%	7.4%	11.9%	11.0%	10.7%
Skew 10d	20.1%	16.2%	22.7%	21.7%	21.4%
Call IV 25d	31.2%	23.8%	39.0%	39.0%	36.7%
Put IV 25d	40.9%	31.2%	49.9%	49.9%	47.4%
Bid-Ask Spread %	6.27	3.87	9.18	6.82	3.87
Gamma HHI	0.18	0.15	0.21	0.15	0.19
Net GEX	1.9M	-6.8M	10.3M	626.3K	-6.8M
Net DEX	-327.2M	-644.2M	-787.4K	-280.4M	-787.4K
Net VEX	-4.0M	-4.3M	-3.7M	-4.3M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.31	2.68	0.49	0.68
Total Volume	16,051.273	5,750	37,026	37,026	9,899
Total OI	329,373.545	305,418	358,988	314,461	326,085

Daily Data (22 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
2010-06-01	$76.84	$76.78	42.7%	12.2%	41.0%	82.4%	45.2%	11.0%	-2.3%	626.3K	-280.4M	-4.3M	0.49	6.82	N/A	N/A	24,805	12,221	155,162	159,299
2010-06-02	$78.55	$76.78	38.9%	11.2%	40.2%	68.1%	38.4%	9.9%	-1.8%	1.6M	-320.3M	-4.2M	1.14	9.18	N/A	N/A	8,436	9,657	152,903	165,610
2010-06-03	$79.58	$76.78	33.2%	9.5%	37.6%	46.6%	37.1%	8.7%	-0.3%	3.1M	-357.4M	-4.2M	1.23	4.97	N/A	N/A	8,578	10,522	151,645	168,313
2010-06-04	$75.26	$76.78	39.6%	11.2%	41.2%	70.8%	40.2%	10.8%	0.9%	-1.7M	-135.9M	-4.3M	1.25	9.14	N/A	N/A	8,479	10,573	154,400	169,156
2010-06-07	$75.57	$71.98	41.6%	11.3%	41.2%	78.2%	40.6%	10.9%	0.6%	-1.1M	-149.4M	-4.2M	0.31	7.52	N/A	N/A	21,984	6,799	155,801	169,395
2010-06-08	$76.86	$76.78	38.7%	11.3%	38.5%	67.3%	43.6%	11.3%	1.0%	379.9K	-224.4M	-4.2M	2.68	6.40	N/A	N/A	2,401	6,433	155,426	170,185
2010-06-09	$76.75	$76.78	39.8%	11.5%	38.2%	71.6%	44.3%	11.9%	0.3%	-364.2K	-216.8M	-4.2M	1.33	7.67	N/A	N/A	5,988	7,955	156,173	174,935
2010-06-10	$80.12	$76.78	33.9%	9.7%	40.8%	49.3%	38.5%	10.8%	1.8%	5.3M	-409.8M	-4.2M	2.63	6.42	N/A	N/A	3,485	9,154	158,158	179,547
2010-06-11	$81.58	$76.78	32.8%	9.4%	40.9%	44.9%	33.2%	10.1%	1.9%	6.8M	-484.9M	-4.1M	0.87	6.38	N/A	N/A	8,541	7,442	157,631	184,232
2010-06-14	$81.30	$76.78	34.3%	9.8%	40.3%	50.8%	39.1%	10.9%	0.8%	7.1M	-477.0M	-4.1M	1.00	6.05	N/A	N/A	9,491	9,512	160,127	186,339
2010-06-15	$83.24	$76.78	33.1%	9.5%	40.4%	46.2%	37.9%	9.7%	0.8%	10.3M	-607.7M	-3.9M	1.78	8.43	N/A	N/A	3,161	5,612	162,655	190,464
2010-06-16	$83.57	$76.78	32.0%	9.2%	40.4%	41.9%	34.9%	9.6%	1.5%	10.2M	-622.4M	-3.9M	1.70	5.37	N/A	N/A	2,918	4,968	162,463	193,396
2010-06-17	$83.13	$76.78	30.3%	8.7%	39.8%	35.6%	32.4%	8.3%	1.6%	9.4M	-612.7M	-3.9M	0.41	8.27	N/A	N/A	13,345	5,485	163,044	194,687
2010-06-18	$83.47	$76.78	27.4%	7.9%	38.3%	24.7%	27.1%	7.4%	2.6%	4.9M	-644.2M	-3.7M	1.44	4.00	N/A	N/A	6,974	10,066	162,675	196,313
2010-06-21	$82.34	$76.78	28.3%	8.1%	38.4%	28.2%	28.5%	7.8%	2.0%	3.5M	-436.9M	-3.8M	1.22	7.22	N/A	N/A	14,584	17,734	137,625	167,793
2010-06-22	$80.29	$81.57	29.2%	8.4%	38.9%	31.5%	30.3%	8.8%	1.9%	774.1K	-301.7M	-3.9M	1.06	4.07	N/A	N/A	8,260	8,747	136,462	171,549
2010-06-23	$80.43	$81.57	28.9%	8.3%	38.8%	30.2%	30.8%	8.5%	2.4%	532.6K	-295.1M	-3.9M	1.03	4.36	N/A	N/A	3,913	4,028	137,881	175,822
2010-06-24	$78.18	$81.57	34.5%	9.9%	40.1%	51.5%	34.2%	9.1%	0.9%	-2.4M	-189.9M	-4.0M	1.61	5.91	N/A	N/A	4,783	7,696	138,628	176,714
2010-06-25	$78.44	$81.57	34.8%	10.0%	35.4%	52.7%	34.1%	9.2%	1.1%	-2.0M	-204.4M	-4.0M	0.96	4.93	N/A	N/A	4,590	4,419	140,296	180,500
2010-06-28	$77.65	$76.78	34.5%	9.9%	35.5%	51.5%	34.1%	9.2%	1.0%	-3.1M	-168.5M	-3.9M	1.41	5.22	N/A	N/A	2,384	3,366	141,721	181,769
2010-06-29	$75.36	$76.78	37.9%	10.9%	35.5%	64.4%	41.9%	10.6%	0.3%	-5.3M	-58.6M	-3.9M	1.65	5.73	N/A	N/A	5,188	8,552	141,814	181,425
2010-06-30	$74.04	$76.78	43.1%	12.4%	34.9%	84.0%	40.9%	10.7%	-1.2%	-6.8M	-787.4K	-3.9M	0.68	3.87	N/A	N/A	5,904	3,995	142,344	183,741