OXY Options History — September 2010

In September 2010, OXY traded between $71.56 and $75.44. ATM implied volatility averaged 27.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.7% (HV 20d: 30.4%). Max pain ranged from $67.18 to $71.98. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-09-07: Highest Volume — 116,219 contracts
  • 2010-09-07: Largest IV spike — 28.6% change
  • 2010-09-07: Highest IV Rank — 35.8%
  • 2010-09-07: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.87$71.56$75.44$73.76$75.14
Max Pain$71.06$67.18$71.98$71.98$71.98
ATM IV27.6%23.6%30.3%29.4%25.2%
Expected Move8.0%7.2%8.8%8.4%7.2%
HV 20d30.4%22.6%32.0%31.5%22.6%
HV 60d27.9%27.0%29.6%29.5%27.1%
IV Rank25.6%10.3%35.8%32.2%16.3%
IV Percentile33.0%8.3%51.2%41.7%16.3%
Term Structure1.2%0.3%2.4%1.6%1.3%
VWIV29.6%26.5%34.7%29.1%26.6%
Skew 25d6.5%3.0%7.8%6.0%3.0%
Skew 10d13.3%8.4%15.9%11.4%8.4%
Call IV 25d25.7%24.2%27.4%26.2%25.6%
Put IV 25d32.2%28.5%34.6%32.2%28.5%
Bid-Ask Spread %5.863.007.874.656.08
Gamma HHI0.170.160.190.160.18
Net GEX-496.1K-5.6M2.4M672.7K2.4M
Net DEX-206.3M-303.1M-81.5M-204.0M-303.1M
Net VEX-3.2M-3.5M-2.8M-3.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.042.080.660.69
Total Volume18,203.2864,546116,21919,19114,019
Total OI341,260.429308,217356,278343,299346,010

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$73.76$71.9829.4%8.4%31.5%32.2%29.1%6.0%1.6%672.7K-204.0M-3.5M0.664.65N/AN/A11,5347,657165,192178,107
2010-09-02$74.70$71.9825.3%7.3%31.4%16.7%27.7%5.8%2.4%1.8M-244.0M-3.5M0.477.66N/AN/A11,7385,546166,252182,243
2010-09-03$75.16$67.1823.6%7.6%30.8%10.3%30.6%7.3%1.7%1.1M-262.4M-3.5M0.646.55N/AN/A4,7023,026164,567183,995
2010-09-07$73.37$67.1830.3%8.8%32.0%35.8%31.6%7.2%0.7%-2.3M-158.3M-3.4M0.045.90N/AN/A111,3564,863164,953184,590
2010-09-08$74.11$67.1829.2%8.7%31.9%31.6%29.7%7.0%0.8%-734.4K-181.1M-3.4M0.336.65N/AN/A8,5452,778160,923186,228
2010-09-09$74.44$67.1827.2%7.8%31.2%24.0%31.9%7.0%1.5%416.2K-223.5M-3.4M0.984.76N/AN/A4,4444,334162,628186,510
2010-09-10$75.05$71.9826.8%7.7%31.3%22.5%31.8%7.2%1.4%1.6M-257.8M-3.3M0.724.72N/AN/A4,0372,923162,843187,415
2010-09-13$75.44$71.9827.4%7.9%30.8%24.8%34.7%7.8%1.3%2.4M-279.2M-3.3M2.085.25N/AN/A3,0866,434163,866188,465
2010-09-14$75.21$71.9826.5%7.6%30.8%21.3%29.0%7.3%1.5%1.9M-257.4M-3.2M1.096.12N/AN/A3,1963,474164,145190,512
2010-09-15$74.99$71.9826.5%7.6%30.6%21.3%32.4%7.3%1.5%1.3M-253.9M-3.2M1.706.65N/AN/A1,9993,404164,312191,768
2010-09-16$73.37$71.9828.9%8.3%31.1%30.3%29.3%7.5%1.0%-5.6M-154.7M-3.1M0.607.87N/AN/A7,1734,276163,365192,913
2010-09-17$73.13$71.9828.6%8.2%31.1%29.3%28.1%7.4%1.0%-2.2M-146.2M-3.0M0.956.73N/AN/A19,41618,426161,787193,015
2010-09-20$74.12$71.9828.3%8.1%31.4%28.2%26.5%6.9%0.9%546.2K-287.1M-3.1M0.496.01N/AN/A9,1114,454153,510172,622
2010-09-21$73.82$71.9828.5%8.2%31.4%28.7%27.1%6.9%1.1%-274.2K-204.8M-2.8M1.107.84N/AN/A4,2704,709139,383168,834
2010-09-22$72.88$71.9828.4%8.1%30.8%28.3%29.7%6.7%1.3%-1.9M-150.8M-3.0M1.953.00N/AN/A2,7055,283140,460170,033
2010-09-23$71.56$71.9828.7%8.2%31.0%29.6%29.5%6.5%1.1%-4.0M-81.5M-2.9M1.084.10N/AN/A14,21515,354141,803172,236
2010-09-24$73.22$71.9827.8%8.0%31.6%26.3%29.2%6.2%1.0%-1.0M-189.8M-3.2M1.264.70N/AN/A4,2155,315150,272181,699
2010-09-27$71.79$71.9827.7%7.9%28.7%25.8%29.7%5.7%0.7%-3.8M-116.3M-3.1M1.886.76N/AN/A5,68210,687152,378183,226
2010-09-28$72.47$71.9827.4%7.9%27.8%24.7%28.6%5.3%0.9%-2.7M-155.2M-3.1M1.016.06N/AN/A2,2602,286154,205187,375
2010-09-29$73.54$71.9828.7%8.2%27.8%29.5%28.9%5.4%0.3%-119.1K-221.7M-3.1M0.695.11N/AN/A11,4247,913154,881186,948
2010-09-30$75.14$71.9825.2%7.2%22.6%16.3%26.6%3.0%1.3%2.4M-303.1M-3.1M0.696.08N/AN/A8,3135,706154,083191,927