OXY Options History — December 2010

In December 2010, OXY traded between $86.61 and $95.04. ATM implied volatility averaged 24.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.7% (HV 20d: 19.8%). Max pain ranged from $57.58 to $81.57. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2010-12-07: Highest Volume — 1,013,376 contracts
2010-12-13: Largest IV spike — 18.0% change
2010-12-13: Highest IV Rank — 27.6%
2010-12-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.86	$86.61	$95.04	$86.61	$94.15
Max Pain	$67.61	$57.58	$81.57	$81.57	$67.18
ATM IV	24.5%	20.5%	28.2%	27.6%	22.8%
Expected Move	7.0%	5.9%	7.9%	7.9%	6.5%
HV 20d	19.8%	15.6%	24.8%	24.8%	15.7%
HV 60d	24.0%	22.4%	25.1%	24.6%	22.4%
IV Rank	14.1%	0.0%	27.6%	25.3%	8.5%
IV Percentile	21.6%	0.0%	53.2%	46.8%	8.3%
Term Structure	2.1%	-0.0%	3.6%	0.3%	3.1%
VWIV	29.2%	22.6%	64.6%	29.7%	26.5%
Skew 25d	4.6%	3.0%	6.7%	3.6%	4.4%
Skew 10d	11.5%	5.8%	18.0%	9.3%	13.0%
Call IV 25d	23.3%	20.4%	26.8%	26.8%	23.1%
Put IV 25d	28.0%	24.4%	31.7%	30.5%	27.4%
Bid-Ask Spread %	5.90	4.80	7.52	5.13	4.88
Gamma HHI	0.20	0.16	0.35	0.20	0.18
Net GEX	9.1M	5.1M	18.0M	8.6M	8.4M
Net DEX	-963.1M	-1.10B	-718.4M	-905.2M	-990.2M
Net VEX	-2.1M	-2.6M	-1.9M	-2.6M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.01	3.75	1.26	1.27
Total Volume	59,045.409	3,649	1,013,376	9,684	3,649
Total OI	360,863.727	338,513	376,959	353,472	374,738

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
2010-12-01	$86.61	$81.57	27.6%	7.9%	24.8%	25.3%	29.7%	3.6%	0.3%	8.6M	-905.2M	-2.6M	1.26	5.13	N/A	N/A	4,283	5,401	169,384	184,088
2010-12-02	$87.08	$81.57	26.8%	7.7%	24.8%	22.4%	28.9%	3.4%	-0.0%	8.9M	-931.2M	-2.5M	0.94	5.42	N/A	N/A	3,700	3,490	170,116	187,141
2010-12-03	$88.04	$81.57	26.4%	7.6%	22.6%	20.9%	26.8%	3.4%	0.1%	10.9M	-1.02B	-2.2M	1.72	7.52	N/A	N/A	6,137	10,533	169,800	187,641
2010-12-06	$89.30	$57.58	25.6%	7.2%	22.7%	17.7%	28.8%	5.1%	1.5%	9.7M	-1.04B	-2.3M	1.28	6.38	N/A	N/A	3,502	4,476	171,954	189,682
2010-12-07	$88.98	$57.58	25.9%	7.3%	22.8%	19.0%	64.6%	4.9%	1.3%	9.8M	-1.04B	-2.3M	0.01	6.07	N/A	N/A	1,000,883	12,493	170,788	189,878
2010-12-08	$87.23	$62.38	26.9%	7.8%	24.3%	22.7%	39.1%	6.7%	1.2%	5.1M	-718.4M	-2.4M	3.75	6.26	N/A	N/A	8,936	33,525	147,219	194,276
2010-12-09	$87.40	$62.38	25.8%	7.6%	24.3%	18.8%	34.9%	6.3%	1.5%	5.7M	-764.6M	-2.4M	2.66	6.17	N/A	N/A	6,293	16,766	150,024	209,973
2010-12-10	$89.29	$62.38	23.9%	7.1%	22.0%	11.4%	28.9%	5.5%	2.1%	8.1M	-900.5M	-2.1M	1.14	5.30	N/A	N/A	6,404	7,310	150,534	214,635
2010-12-13	$90.10	$67.18	28.2%	7.4%	22.0%	27.6%	29.2%	5.8%	1.6%	8.7M	-944.4M	-2.1M	0.52	6.54	N/A	N/A	15,390	8,044	152,390	217,140
2010-12-14	$90.31	$67.18	27.1%	7.2%	22.0%	23.3%	30.8%	6.2%	1.8%	7.8M	-893.5M	-2.2M	1.96	6.15	N/A	N/A	2,615	5,132	151,435	219,302
2010-12-15	$90.98	$67.18	25.1%	7.2%	18.2%	16.0%	29.9%	6.0%	2.1%	9.0M	-926.4M	-2.2M	0.90	6.59	N/A	N/A	5,125	4,633	152,307	220,558
2010-12-16	$91.02	$67.18	24.3%	7.0%	18.2%	13.0%	25.8%	4.5%	2.3%	11.7M	-974.4M	-2.0M	0.36	6.42	N/A	N/A	9,360	3,334	153,427	222,599
2010-12-17	$91.36	$67.18	23.4%	6.7%	17.4%	9.4%	26.1%	4.4%	2.6%	18.0M	-1.02B	-2.0M	1.18	5.27	N/A	N/A	6,594	7,773	153,467	223,492
2010-12-20	$91.62	$67.18	22.1%	6.3%	17.3%	4.8%	23.8%	4.5%	3.1%	8.6M	-949.0M	-1.9M	1.70	5.27	N/A	N/A	4,092	6,964	143,634	194,879
2010-12-21	$92.74	$67.18	22.4%	6.4%	17.6%	5.7%	24.8%	4.6%	2.9%	8.3M	-981.2M	-1.9M	0.90	4.80	N/A	N/A	7,178	6,429	144,830	198,860
2010-12-22	$93.82	$67.18	20.5%	5.9%	17.4%	0.0%	22.7%	3.9%	3.3%	8.5M	-1.05B	-1.9M	0.59	5.10	N/A	N/A	8,359	4,898	148,753	201,686
2010-12-23	$93.51	$67.18	23.0%	6.6%	17.6%	9.3%	22.6%	4.0%	3.0%	9.1M	-1.03B	-1.9M	0.47	5.41	N/A	N/A	3,446	1,613	149,459	203,905
2010-12-27	$92.97	$67.18	24.1%	6.9%	16.6%	13.2%	26.3%	4.4%	2.4%	8.5M	-968.9M	-2.0M	1.96	6.58	N/A	N/A	2,114	4,136	149,095	203,165
2010-12-28	$93.76	$67.18	22.3%	6.4%	16.2%	6.6%	23.9%	3.5%	3.2%	9.0M	-1.05B	-1.9M	0.79	6.44	N/A	N/A	14,418	11,347	150,223	205,463
2010-12-29	$95.04	$67.18	22.1%	6.3%	15.6%	5.8%	23.8%	3.0%	3.6%	10.4M	-1.10B	-2.2M	1.20	5.97	N/A	N/A	4,886	5,859	161,096	214,005
2010-12-30	$93.68	$67.18	22.8%	6.5%	15.7%	8.4%	24.9%	4.1%	3.0%	8.3M	-990.9M	-2.1M	0.89	6.14	N/A	N/A	3,949	3,530	156,075	215,886
2010-12-31	$94.15	$67.18	22.8%	6.5%	15.7%	8.5%	26.5%	4.4%	3.1%	8.4M	-990.2M	-2.1M	1.27	4.88	N/A	N/A	1,610	2,039	157,655	217,083