OXY Options History — November 2010

In November 2010, OXY traded between $76.61 and $85.39. ATM implied volatility averaged 26.8%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 0.6% (HV 20d: 26.2%). Max pain ranged from $76.78 to $81.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2010-11-11: Highest Volume — 41,072 contracts
  • 2010-11-11: Largest IV spike — 14.2% change
  • 2010-11-16: Highest IV Rank — 36.2%
  • 2010-11-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.45$76.61$85.39$76.61$84.62
Max Pain$77.00$76.78$81.57$76.78$81.57
ATM IV26.8%23.9%30.5%26.9%28.7%
Expected Move7.7%7.1%8.7%7.7%8.2%
HV 20d26.2%23.4%30.3%25.7%24.5%
HV 60d27.1%24.7%28.6%26.8%24.8%
IV Rank22.3%11.6%36.2%22.7%29.7%
IV Percentile36.5%11.5%69.0%36.9%56.0%
Term Structure0.2%-0.8%1.3%0.6%-0.4%
VWIV28.8%26.1%31.6%28.4%31.4%
Skew 25d3.4%1.7%4.5%2.0%4.5%
Skew 10d8.4%4.6%11.1%4.6%10.8%
Call IV 25d26.5%24.6%29.3%27.6%28.6%
Put IV 25d29.9%27.3%33.4%29.6%33.1%
Bid-Ask Spread %6.652.568.488.336.77
Gamma HHI0.190.140.310.140.18
Net GEX9.4M5.7M16.6M5.7M6.4M
Net DEX-831.9M-1.09B-488.9M-488.9M-787.7M
Net VEX-2.7M-3.1M-2.3M-3.0M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.582.640.751.87
Total Volume13,754.0953,30241,07213,0479,824
Total OI393,764.19332,051432,168400,903348,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$76.61$76.7826.9%7.7%25.7%22.7%28.4%2.0%0.6%5.7M-488.9M-3.0M0.758.33N/AN/A7,4695,578192,673208,230
2010-11-02$78.22$76.7827.8%8.0%25.4%26.2%29.3%3.0%0.2%7.3M-609.7M-2.9M0.738.46N/AN/A5,7074,193194,047208,398
2010-11-03$78.43$76.7825.8%7.4%25.3%18.4%26.1%2.6%1.3%7.6M-591.9M-3.1M0.748.04N/AN/A7,6075,653194,222209,130
2010-11-04$81.08$76.7824.8%7.1%28.0%14.7%26.1%1.7%0.5%10.7M-789.3M-3.0M1.446.87N/AN/A12,66818,213196,764212,336
2010-11-05$80.83$76.7824.3%7.2%27.8%13.1%26.2%3.5%0.6%9.5M-761.8M-3.0M2.475.27N/AN/A3,4608,550195,748211,362
2010-11-08$80.87$76.7824.4%7.2%27.7%13.2%26.8%3.6%0.5%8.6M-766.0M-2.8M1.605.85N/AN/A2,5304,038195,589212,201
2010-11-09$80.62$76.7824.9%7.3%27.7%15.3%28.0%3.5%0.2%8.0M-734.1M-2.9M1.876.76N/AN/A3,4106,375196,250213,486
2010-11-10$81.19$76.7823.9%7.3%27.4%11.6%26.6%3.6%0.5%8.5M-815.2M-2.6M0.875.68N/AN/A4,7964,159196,704213,659
2010-11-11$84.23$76.7827.4%7.8%30.3%24.5%28.5%3.0%-0.5%12.3M-981.8M-2.8M0.586.60N/AN/A25,93315,139197,116214,634
2010-11-12$83.93$76.7829.3%8.4%30.3%31.8%29.5%2.9%-0.2%15.4M-1.03B-2.6M0.794.88N/AN/A9,4417,466207,442217,897
2010-11-15$84.21$76.7827.8%8.0%30.3%26.2%30.5%3.1%0.0%16.6M-1.05B-2.5M1.025.49N/AN/A4,8874,963207,480217,148
2010-11-16$81.74$76.7830.5%8.7%26.1%36.2%31.3%4.1%-0.2%10.9M-865.0M-2.7M1.057.83N/AN/A10,50810,984207,748217,709
2010-11-17$82.20$76.7829.6%8.5%26.0%33.1%30.8%4.3%0.0%9.6M-906.2M-2.7M1.157.00N/AN/A2,9853,446208,405220,746
2010-11-18$83.80$76.7828.7%8.2%24.1%29.5%30.1%4.3%-0.2%12.7M-1.03B-2.5M1.468.48N/AN/A4,0976,000208,362221,078
2010-11-19$84.64$76.7824.9%7.1%24.1%15.2%27.8%3.1%1.0%9.5M-1.09B-2.4M0.807.62N/AN/A13,01010,366208,329223,839
2010-11-22$84.90$76.7826.0%7.5%24.1%19.5%28.5%2.8%0.2%7.8M-862.3M-2.3M2.642.56N/AN/A4,48111,813163,684168,367
2010-11-23$84.53$76.7826.5%7.6%23.4%21.4%29.0%3.7%0.3%7.5M-837.8M-2.4M1.845.78N/AN/A2,1884,033164,713173,619
2010-11-24$85.36$76.7825.1%7.2%23.5%16.0%27.2%3.4%0.8%8.4M-827.7M-2.6M1.517.62N/AN/A3,4825,242164,606173,500
2010-11-26$84.12$76.7826.4%7.6%24.2%21.0%30.2%4.3%0.1%6.8M-770.3M-2.6M1.986.66N/AN/A1,1092,193165,284175,965
2010-11-29$85.39$76.7828.3%8.1%24.2%28.1%31.6%3.8%-0.8%8.2M-872.9M-2.3M1.326.99N/AN/A4,6736,167165,520176,968
2010-11-30$84.62$81.5728.7%8.2%24.5%29.7%31.4%4.5%-0.4%6.4M-787.7M-2.7M1.876.77N/AN/A3,4196,405167,695180,395