OXY Options History — October 2010

In October 2010, OXY traded between $75.46 and $82.01. ATM implied volatility averaged 25.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.1% (HV 20d: 25.8%). Max pain ranged from $71.98 to $76.78. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2010-10-19: Highest Volume — 47,378 contracts
  • 2010-10-08: Largest IV drop — 17.2% change
  • 2010-10-04: Highest IV Rank — 29.5%
  • 2010-10-07: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.39$75.46$82.01$77.51$75.46
Max Pain$76.55$71.98$76.78$71.98$76.78
ATM IV25.7%23.0%28.7%27.0%25.8%
Expected Move7.5%6.9%8.3%7.7%7.4%
HV 20d25.8%22.1%30.2%24.7%25.0%
HV 60d27.4%26.4%28.4%27.7%26.8%
IV Rank18.1%8.2%29.5%23.2%18.8%
IV Percentile23.1%7.1%40.9%31.7%27.8%
Term Structure1.0%0.4%1.6%1.6%1.0%
VWIV27.5%24.9%30.1%28.2%27.0%
Skew 25d4.1%1.6%6.3%4.4%1.8%
Skew 10d9.8%5.4%14.6%11.9%6.7%
Call IV 25d25.3%23.7%26.6%26.2%26.6%
Put IV 25d29.5%26.6%32.1%30.6%28.3%
Bid-Ask Spread %6.913.839.393.838.36
Gamma HHI0.180.130.710.170.14
Net GEX9.5M1.9M72.5M5.1M3.1M
Net DEX-544.1M-796.3M-349.3M-464.6M-399.0M
Net VEX-3.0M-3.3M-2.6M-3.2M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.391.820.540.44
Total Volume16,387.5245,09647,37827,9716,210
Total OI374,070.381348,486400,421351,832400,421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$77.51$71.9827.0%7.7%24.7%23.2%28.2%4.4%1.6%5.1M-464.6M-3.2M0.543.83N/AN/A18,1429,829158,361193,471
2010-10-04$77.34$76.7828.7%8.3%24.7%29.5%29.5%5.8%0.4%6.9M-470.2M-3.2M1.647.12N/AN/A3,4645,666161,878196,045
2010-10-05$79.14$76.7828.6%8.3%23.9%29.4%28.2%5.6%0.7%9.0M-569.6M-3.1M1.127.07N/AN/A5,2405,863161,637197,907
2010-10-06$79.59$76.7824.0%7.6%23.8%11.9%28.7%6.3%0.9%7.6M-568.3M-3.2M1.056.89N/AN/A4,4264,661161,809200,885
2010-10-07$79.07$76.7828.0%8.3%24.1%27.0%28.8%5.7%0.6%7.7M-562.5M-3.1M1.066.04N/AN/A3,9294,151163,603201,820
2010-10-08$79.83$76.7823.2%7.6%24.1%8.7%28.6%5.9%0.9%8.4M-628.9M-2.8M1.466.86N/AN/A2,1063,075163,693201,425
2010-10-11$80.35$76.7825.3%7.7%24.1%16.8%30.1%5.8%0.5%9.5M-649.2M-2.9M1.075.36N/AN/A3,3573,596163,760201,986
2010-10-12$79.88$76.7825.1%7.6%24.2%16.1%27.6%6.2%0.9%9.4M-638.5M-2.7M0.808.48N/AN/A12,62810,121164,548201,698
2010-10-13$80.89$76.7823.0%7.5%24.4%8.2%27.8%4.8%0.8%11.1M-650.3M-2.8M1.246.46N/AN/A3,9734,945160,287206,803
2010-10-14$81.49$76.7827.0%7.7%22.4%23.1%30.1%5.0%0.5%12.7M-796.3M-2.6M1.625.97N/AN/A5,4798,898172,033208,682
2010-10-15$81.52$76.7825.6%7.3%22.3%18.0%28.1%4.6%1.4%72.5M-738.0M-2.9M0.395.77N/AN/A15,4976,108172,282211,343
2010-10-18$82.01$76.7826.2%7.5%22.1%20.1%28.0%3.6%0.9%7.7M-735.8M-2.7M1.825.61N/AN/A10,58519,221163,165185,321
2010-10-19$77.93$76.7826.7%7.6%29.6%21.9%26.6%3.4%1.4%3.8M-507.6M-2.9M0.896.57N/AN/A25,04122,337166,200194,260
2010-10-20$77.71$76.7824.7%7.1%29.2%14.5%24.9%3.5%1.4%2.9M-506.3M-2.9M0.677.32N/AN/A17,25211,586173,295198,514
2010-10-21$75.62$76.7825.4%7.3%30.2%17.0%26.0%2.8%0.9%1.9M-349.3M-3.3M0.787.59N/AN/A18,38914,412179,823201,161
2010-10-22$76.37$76.7824.2%6.9%29.4%12.7%25.1%2.4%1.4%3.7M-450.3M-3.0M0.988.47N/AN/A2,5692,527186,413204,084
2010-10-25$76.83$76.7825.2%7.2%28.2%16.5%26.2%3.0%1.5%5.2M-488.5M-3.1M1.127.74N/AN/A8,8199,876186,371204,630
2010-10-26$75.85$76.7825.3%7.2%28.7%16.6%26.3%2.4%1.1%3.5M-420.1M-3.1M1.357.00N/AN/A3,4334,622190,158203,407
2010-10-27$76.21$76.7824.9%7.1%28.3%15.2%25.9%2.4%1.6%4.0M-413.9M-3.2M0.577.25N/AN/A9,0195,151190,720204,307
2010-10-28$75.69$76.7825.0%7.2%27.5%15.7%26.0%1.6%1.5%3.8M-419.9M-3.0M1.399.39N/AN/A3,3164,619191,227206,045
2010-10-29$75.46$76.7825.8%7.4%25.0%18.8%27.0%1.8%1.0%3.1M-399.0M-3.1M0.448.36N/AN/A4,3201,890192,757207,664