OXY Options History — July 2010

In July 2010, OXY traded between $73.29 and $79.58. ATM implied volatility averaged 31.0%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.2% (HV 20d: 27.9%). Max pain ranged from $76.78 to $76.78. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-07-26: Highest Volume — 24,935 contracts
  • 2010-07-07: Largest IV drop — 19.6% change
  • 2010-07-01: Highest IV Rank — 78.0%
  • 2010-07-01: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.80$73.29$79.58$73.66$74.79
Max Pain$76.78$76.78$76.78$76.78$76.78
ATM IV31.0%23.9%41.5%41.5%23.9%
Expected Move9.0%6.9%11.9%11.9%6.9%
HV 20d27.9%24.8%34.4%34.4%27.8%
HV 60d34.8%33.1%35.4%34.2%33.1%
IV Rank38.4%11.6%78.0%78.0%11.6%
IV Percentile47.4%9.9%94.8%94.8%9.9%
Term Structure1.1%-0.8%2.7%0.3%2.7%
VWIV32.1%27.1%41.7%41.7%27.1%
Skew 25d7.9%5.2%9.8%9.5%5.2%
Skew 10d17.1%10.3%23.0%19.2%10.3%
Call IV 25d28.0%23.8%36.2%36.2%23.8%
Put IV 25d35.9%29.0%45.7%45.7%29.0%
Bid-Ask Spread %5.104.076.494.606.49
Gamma HHI0.180.150.210.190.21
Net GEX-2.4M-7.7M2.2M-7.0M-6.0M
Net DEX-163.5M-313.1M28.7M8.0M-68.0M
Net VEX-3.5M-3.9M-3.2M-3.9M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.602.101.811.15
Total Volume11,481.0953,41224,93514,4038,767
Total OI326,387.19295,792345,639326,786333,023

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$73.66$76.7841.5%11.9%34.4%78.0%41.7%9.5%0.3%-7.0M8.0M-3.9M1.814.60N/AN/A5,1249,279143,106183,680
2010-07-02$73.29$76.7838.6%11.1%28.4%66.9%38.2%8.9%1.2%-7.7M28.7M-3.8M0.886.26N/AN/A4,0683,562144,918184,039
2010-07-06$73.90$76.7840.2%11.1%28.6%73.0%37.7%9.7%-0.8%-7.7M-5.0M-3.7M0.605.58N/AN/A6,3423,779146,032182,948
2010-07-07$76.37$76.7832.3%9.5%30.4%43.2%35.7%9.5%1.2%-4.3M-122.0M-3.7M1.124.14N/AN/A4,2824,806148,009184,458
2010-07-08$77.65$76.7831.2%9.5%31.0%39.1%35.4%9.8%1.2%-2.2M-189.6M-3.7M1.665.25N/AN/A5,7189,485148,357185,363
2010-07-09$77.84$76.7828.6%9.3%26.7%29.2%32.5%9.1%1.3%-1.4M-212.3M-3.6M0.835.36N/AN/A4,4613,701150,425186,581
2010-07-12$77.65$76.7832.8%9.5%25.7%45.0%34.4%9.0%1.0%-2.3M-195.2M-3.6M1.884.53N/AN/A1,1862,226152,483187,533
2010-07-13$78.98$76.7832.5%9.3%26.6%43.7%33.1%8.8%1.0%1.9M-280.2M-3.5M0.875.39N/AN/A4,1263,601151,552187,633
2010-07-14$78.76$76.7831.7%9.0%24.8%40.7%30.2%8.1%1.7%2.0M-283.8M-3.4M1.034.80N/AN/A5,9026,106152,216188,746
2010-07-15$78.79$76.7831.1%8.9%24.8%38.5%30.1%8.1%2.1%1.5M-287.2M-3.5M0.705.26N/AN/A7,0614,919155,001190,638
2010-07-16$76.18$76.7831.0%8.9%27.1%38.1%32.3%8.6%2.6%-2.5M-114.0M-3.4M1.325.13N/AN/A6,1758,146153,150190,463
2010-07-19$76.31$76.7830.2%8.6%27.0%35.1%30.5%8.0%0.7%-3.4M-138.7M-3.4M0.765.23N/AN/A7,8055,893130,840164,952
2010-07-20$77.69$76.7829.9%8.6%27.9%34.0%30.4%7.2%-0.1%-788.8K-223.6M-3.3M1.155.75N/AN/A3,6524,214134,767167,515
2010-07-21$76.82$76.7830.5%8.8%26.8%36.5%29.2%7.3%0.2%-1.5M-183.4M-3.4M0.934.75N/AN/A5,9295,501136,136168,016
2010-07-22$78.81$76.7830.7%8.8%28.5%37.1%32.8%7.6%0.1%813.0K-263.0M-3.4M2.105.01N/AN/A3,4657,292138,302170,196
2010-07-23$78.83$76.7830.3%8.7%26.6%35.5%29.5%7.3%0.5%500.0K-263.7M-3.4M0.815.07N/AN/A2,8082,272139,402174,526
2010-07-26$79.58$76.7826.6%7.6%26.8%21.7%30.3%6.5%0.5%2.2M-313.1M-3.2M1.284.07N/AN/A10,95913,976140,134172,358
2010-07-27$76.72$76.7826.9%7.7%29.7%22.8%27.8%5.8%1.5%-2.4M-169.8M-3.3M1.075.02N/AN/A9,92910,614147,528180,122
2010-07-28$75.70$76.7826.1%7.5%28.1%19.7%27.4%5.6%2.0%-4.3M-111.5M-3.2M1.414.54N/AN/A5,2637,396148,086179,779
2010-07-29$74.56$76.7825.3%7.2%27.9%16.7%28.5%6.4%2.2%-6.6M-46.3M-3.2M0.834.93N/AN/A6,1695,144148,465182,653
2010-07-30$74.79$76.7823.9%6.9%27.8%11.6%27.1%5.2%2.7%-6.0M-68.0M-3.3M1.156.49N/AN/A4,0794,688150,066182,957