OXY Options History — August 2010

In August 2010, OXY traded between $69.32 and $76.96. ATM implied volatility averaged 28.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.7% (HV 20d: 26.2%). Max pain ranged from $71.98 to $76.78. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2010-08-03: Highest Volume — 31,469 contracts
2010-08-11: Largest IV spike — 25.0% change
2010-08-26: Highest IV Rank — 46.0%
2010-08-26: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.86	$69.32	$76.96	$76.96	$70.13
Max Pain	$75.47	$71.98	$76.78	$76.78	$71.98
ATM IV	28.8%	24.4%	33.1%	25.9%	30.9%
Expected Move	8.4%	7.1%	9.5%	7.4%	8.9%
HV 20d	26.2%	21.4%	30.3%	29.4%	25.0%
HV 60d	30.7%	27.7%	33.3%	33.1%	27.7%
IV Rank	30.0%	13.4%	46.0%	19.1%	37.8%
IV Percentile	39.8%	12.3%	76.2%	21.0%	56.7%
Term Structure	1.4%	-0.4%	2.5%	1.4%	1.3%
VWIV	29.6%	25.6%	33.2%	25.9%	33.2%
Skew 25d	5.5%	3.3%	6.5%	4.0%	6.5%
Skew 10d	11.3%	7.8%	13.2%	9.0%	11.8%
Call IV 25d	27.3%	25.0%	30.4%	25.2%	30.4%
Put IV 25d	32.9%	28.6%	36.8%	29.2%	36.8%
Bid-Ask Spread %	4.45	3.18	6.07	4.24	6.07
Gamma HHI	0.25	0.15	0.83	0.20	0.16
Net GEX	-11.5M	-108.7M	-1.8M	-2.1M	-3.2M
Net DEX	-25.7M	-186.0M	54.8M	-186.0M	-9.6M
Net VEX	-3.3M	-3.5M	-3.1M	-3.2M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.28	1.54	0.28	1.08
Total Volume	12,080.318	4,552	31,469	17,130	9,501
Total OI	350,933.864	299,287	387,394	336,601	339,577

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
2010-08-02	$76.96	$76.78	25.9%	7.4%	29.4%	19.1%	25.9%	4.0%	1.4%	-2.1M	-186.0M	-3.2M	0.28	4.24	N/A	N/A	13,355	3,775	151,868	184,733
2010-08-03	$75.50	$76.78	25.8%	7.4%	30.3%	18.8%	27.3%	3.3%	1.0%	-4.4M	-124.5M	-3.1M	1.05	4.07	N/A	N/A	15,319	16,150	154,404	185,648
2010-08-04	$75.61	$76.78	25.2%	7.2%	27.8%	16.4%	25.6%	3.5%	1.8%	-3.5M	-139.6M	-3.5M	0.73	4.92	N/A	N/A	2,636	1,916	165,292	194,892
2010-08-05	$74.47	$76.78	24.7%	7.1%	27.5%	14.6%	26.1%	3.8%	1.4%	-6.6M	-61.9M	-3.4M	0.66	4.80	N/A	N/A	3,161	2,084	165,207	195,257
2010-08-06	$73.25	$76.78	25.9%	8.2%	27.9%	18.9%	27.8%	5.8%	1.5%	-9.5M	8.5M	-3.3M	0.86	4.71	N/A	N/A	5,735	4,926	166,739	196,157
2010-08-09	$73.85	$76.78	27.1%	8.2%	28.2%	23.5%	27.8%	5.6%	1.2%	-8.3M	-31.2M	-3.3M	0.62	3.83	N/A	N/A	2,985	1,837	168,351	197,423
2010-08-10	$74.67	$76.78	24.4%	7.6%	27.8%	13.4%	28.2%	5.9%	1.8%	-5.9M	-88.6M	-3.3M	0.84	6.00	N/A	N/A	4,806	4,045	169,396	197,423
2010-08-11	$73.26	$76.78	30.5%	9.1%	28.4%	36.4%	31.8%	6.3%	0.6%	-9.1M	4.6M	-3.3M	1.21	3.86	N/A	N/A	4,630	5,615	170,187	198,928
2010-08-12	$73.38	$76.78	31.3%	9.0%	28.4%	39.5%	30.4%	6.1%	1.0%	-8.9M	-8.3M	-3.4M	1.00	3.45	N/A	N/A	2,830	2,831	171,576	199,998
2010-08-13	$72.35	$76.78	31.3%	9.0%	26.4%	39.2%	31.7%	6.5%	1.2%	-11.2M	54.3M	-3.4M	1.13	4.31	N/A	N/A	2,719	3,071	171,765	200,773
2010-08-16	$72.84	$76.78	30.7%	8.8%	26.6%	37.2%	31.7%	5.7%	1.4%	-10.9M	25.0M	-3.3M	1.23	4.14	N/A	N/A	4,027	4,948	172,225	201,092
2010-08-17	$73.73	$76.78	30.4%	8.7%	26.1%	36.1%	30.9%	6.1%	1.2%	-8.5M	-40.4M	-3.3M	0.97	4.54	N/A	N/A	3,882	3,785	172,613	202,178
2010-08-18	$72.57	$76.78	30.4%	8.7%	26.3%	36.1%	30.8%	5.8%	2.0%	-13.4M	28.3M	-3.2M	1.54	4.19	N/A	N/A	4,819	7,402	173,882	202,505
2010-08-19	$72.35	$76.78	30.9%	8.8%	24.1%	37.7%	30.3%	6.1%	1.8%	-17.3M	41.7M	-3.3M	0.32	3.18	N/A	N/A	13,114	4,211	175,772	204,487
2010-08-20	$72.03	$71.98	30.0%	8.6%	24.0%	34.6%	29.9%	5.4%	2.5%	-108.7M	38.4M	-3.3M	1.54	4.33	N/A	N/A	10,542	16,210	181,180	206,214
2010-08-23	$72.52	$76.78	28.3%	8.1%	23.9%	28.1%	28.5%	5.7%	1.9%	-3.0M	-74.0M	-3.3M	0.73	4.10	N/A	N/A	6,206	4,543	138,901	160,386
2010-08-24	$71.04	$76.78	29.2%	8.4%	21.6%	31.4%	30.0%	6.4%	1.5%	-4.1M	-5.6M	-3.3M	0.82	4.36	N/A	N/A	5,194	4,237	142,552	163,092
2010-08-25	$69.96	$71.98	29.8%	8.5%	21.7%	33.8%	31.8%	6.1%	1.4%	-4.3M	36.8M	-3.3M	0.85	4.97	N/A	N/A	6,322	5,362	144,868	164,810
2010-08-26	$69.32	$71.98	33.1%	9.5%	21.4%	46.0%	33.1%	5.7%	-0.4%	-4.4M	54.8M	-3.3M	0.88	4.45	N/A	N/A	8,189	7,216	147,235	166,321
2010-08-27	$72.38	$71.98	28.0%	8.0%	27.1%	27.0%	28.7%	5.4%	2.0%	-1.8M	-80.4M	-3.4M	0.45	4.89	N/A	N/A	16,467	7,429	152,950	171,187
2010-08-30	$70.82	$71.98	30.0%	8.6%	25.5%	34.3%	30.0%	6.2%	1.4%	-3.3M	-8.7M	-3.4M	0.75	4.47	N/A	N/A	4,426	3,309	155,994	174,507
2010-08-31	$70.13	$71.98	30.9%	8.9%	25.0%	37.8%	33.2%	6.5%	1.3%	-3.2M	-9.6M	-3.4M	1.08	6.07	N/A	N/A	4,567	4,934	163,499	176,078