OXY Options History — January 2011

In January 2011, OXY traded between $90.03 and $94.58. ATM implied volatility averaged 25.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.8% (HV 20d: 15.3%). Max pain ranged from $67.18 to $86.37. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2011-01-14: Highest Volume — 49,344 contracts
  • 2011-01-13: Largest IV spike — 15.2% change
  • 2011-01-31: Highest IV Rank — 24.3%
  • 2011-01-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.00$90.03$94.58$94.05$92.78
Max Pain$82.53$67.18$86.37$67.18$86.37
ATM IV25.2%23.0%27.1%23.4%27.1%
Expected Move7.4%6.7%8.0%6.7%7.8%
HV 20d15.3%12.6%21.5%15.6%21.5%
HV 60d20.7%18.9%22.5%22.3%21.1%
IV Rank17.2%9.1%24.3%10.6%24.3%
IV Percentile28.8%9.1%51.6%11.9%51.6%
Term Structure0.9%-0.4%3.0%2.8%-0.2%
VWIV26.8%23.4%30.5%27.6%27.5%
Skew 25d4.2%3.6%5.8%4.3%5.8%
Skew 10d10.7%7.1%13.2%12.3%13.2%
Call IV 25d24.4%21.5%26.5%23.6%24.3%
Put IV 25d28.6%25.3%31.1%27.9%30.2%
Bid-Ask Spread %6.385.167.535.166.66
Gamma HHI0.200.160.270.180.22
Net GEX7.9M2.2M13.7M8.4M7.0M
Net DEX-834.5M-1.29B-282.1M-989.6M-383.6M
Net VEX-2.2M-2.6M-1.9M-2.1M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.062.071.890.69
Total Volume13,592.153,95249,34410,0029,277
Total OI334,433.75187,898425,464375,489212,970

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$94.05$67.1823.4%6.7%15.6%10.6%27.6%4.3%2.8%8.4M-989.6M-2.1M1.895.16N/AN/A3,4606,542157,806217,683
2011-01-04$92.76$67.1825.9%7.4%16.2%20.0%29.3%3.8%2.3%7.5M-949.3M-2.1M0.696.11N/AN/A15,32410,518158,002217,636
2011-01-05$93.11$67.1824.9%7.1%16.0%16.3%26.4%3.8%2.8%8.0M-954.4M-2.1M2.076.29N/AN/A2,9076,012158,133219,374
2011-01-06$92.57$67.1824.6%7.1%14.1%15.2%25.7%3.6%3.0%7.3M-930.9M-2.1M1.556.47N/AN/A1,5492,403158,503220,150
2011-01-07$92.31$86.3723.5%7.9%14.3%11.2%30.5%3.8%0.8%7.0M-920.8M-2.0M1.356.17N/AN/A1,9132,588159,341219,895
2011-01-10$91.93$86.3724.9%8.0%12.6%16.4%29.1%3.8%0.2%6.9M-914.3M-2.0M0.796.94N/AN/A6,8245,375159,773219,680
2011-01-11$93.01$86.3723.7%7.7%12.9%11.8%27.2%3.9%0.9%7.8M-960.1M-1.9M0.946.03N/AN/A2,2552,126159,625220,359
2011-01-12$93.57$86.3723.0%7.7%13.0%9.1%27.4%3.8%0.7%8.8M-985.4M-1.9M0.997.31N/AN/A3,4123,368159,677220,314
2011-01-13$92.53$86.3726.5%7.6%13.5%22.1%26.2%3.7%0.6%7.4M-935.7M-1.9M0.455.74N/AN/A13,8236,202160,383220,973
2011-01-14$93.40$86.3726.4%7.6%13.9%22.0%26.8%3.9%0.9%10.9M-1.01B-2.1M0.067.53N/AN/A46,3732,971169,529224,100
2011-01-18$94.58$86.3725.6%7.3%14.4%19.0%27.2%3.9%0.5%13.7M-1.29B-2.3M0.806.00N/AN/A4,7133,765194,270226,101
2011-01-19$94.31$86.3725.8%7.4%14.5%19.5%27.4%4.7%0.6%12.4M-1.27B-2.4M1.746.37N/AN/A4,0066,981194,672227,875
2011-01-20$92.52$86.3727.0%7.7%15.7%24.1%27.0%4.4%0.3%8.4M-1.16B-2.4M1.356.59N/AN/A6,2098,387192,274231,720
2011-01-21$94.02$86.3724.7%7.1%16.2%15.4%24.9%4.5%1.1%5.3M-1.21B-2.4M0.226.50N/AN/A11,0272,408192,398233,066
2011-01-24$93.26$86.3725.9%7.4%16.4%20.0%25.4%5.1%-0.3%6.0M-376.8M-2.4M1.005.52N/AN/A4,3764,38197,22690,672
2011-01-25$93.23$86.3726.2%7.5%16.2%21.1%25.8%4.4%-0.4%8.0M-392.2M-2.5M0.865.66N/AN/A6,5505,63598,69292,156
2011-01-26$93.03$86.3723.8%6.8%16.0%12.3%24.3%4.3%0.4%6.1M-365.8M-2.4M0.846.81N/AN/A13,93811,70499,99094,822
2011-01-27$93.06$86.3723.6%6.8%15.1%11.6%23.4%3.8%0.9%8.9M-408.5M-2.5M1.477.49N/AN/A3,8965,744104,49898,243
2011-01-28$90.03$86.3726.5%7.6%18.4%22.1%27.5%5.4%0.3%2.2M-282.1M-2.6M0.936.32N/AN/A6,6776,224105,143100,951
2011-01-31$92.78$86.3727.1%7.8%21.5%24.3%27.5%5.8%-0.2%7.0M-383.6M-2.6M0.696.66N/AN/A5,4903,787108,025104,945