OXY Options History — February 2011

In February 2011, OXY traded between $93.33 and $103.04. ATM implied volatility averaged 25.6%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.0% (HV 20d: 24.6%). Max pain ranged from $86.37 to $95.97. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-02-15: Highest Volume — 36,173 contracts
  • 2011-02-22: Largest IV spike — 23.4% change
  • 2011-02-24: Highest IV Rank — 45.0%
  • 2011-02-24: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.93$93.33$103.04$94.94$97.86
Max Pain$92.18$86.37$95.97$86.37$95.97
ATM IV25.6%20.7%32.6%24.4%30.1%
Expected Move7.4%6.5%9.3%7.0%8.6%
HV 20d24.6%22.3%30.1%23.1%27.5%
HV 60d20.1%18.5%21.8%20.5%21.3%
IV Rank18.7%0.7%45.0%14.4%35.6%
IV Percentile34.3%0.4%84.1%21.0%73.0%
Term Structure0.8%-0.7%2.1%0.5%-0.1%
VWIV27.2%24.5%32.9%27.8%30.5%
Skew 25d3.5%1.1%5.3%5.3%4.2%
Skew 10d8.4%2.9%13.9%13.9%9.6%
Call IV 25d25.2%22.3%30.9%23.8%28.4%
Put IV 25d28.7%25.6%35.4%29.1%32.5%
Bid-Ask Spread %9.056.1215.176.359.97
Gamma HHI0.260.140.390.250.17
Net GEX12.1M4.6M24.3M11.0M4.8M
Net DEX-514.9M-862.8M-375.9M-471.1M-375.9M
Net VEX-2.6M-3.1M-2.2M-2.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.292.371.021.19
Total Volume14,324.8953,30236,17324,9998,272
Total OI229,601.526188,167261,266214,644211,687

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$94.94$86.3724.4%7.0%23.1%14.4%27.8%5.3%0.5%11.0M-471.1M-2.5M1.026.35N/AN/A12,35312,646108,792105,852
2011-02-02$94.68$91.1723.8%6.8%22.6%12.1%25.6%4.8%0.4%9.4M-453.8M-2.5M1.066.75N/AN/A4,3984,641112,060113,070
2011-02-03$94.22$91.1723.6%6.8%22.6%11.2%26.7%5.0%0.5%8.5M-431.7M-2.5M1.876.73N/AN/A2,9955,609112,575114,730
2011-02-04$93.58$91.1721.9%6.7%22.7%5.0%24.8%4.4%1.9%7.4M-407.4M-2.5M2.378.18N/AN/A3,2927,795113,232118,157
2011-02-07$93.61$91.1721.4%6.6%22.6%3.0%24.9%4.0%2.0%8.0M-405.7M-2.5M1.137.50N/AN/A4,2564,805114,182118,264
2011-02-08$93.82$91.1720.7%6.5%22.6%0.7%24.5%3.8%2.1%11.0M-432.1M-2.6M0.5110.04N/AN/A2,1901,112115,584117,829
2011-02-09$93.33$91.1723.8%7.2%22.3%12.2%26.5%3.7%1.5%10.1M-411.1M-2.6M0.8913.60N/AN/A7,8236,945115,847117,374
2011-02-10$94.94$91.1723.0%6.6%23.0%9.3%24.7%3.6%2.1%16.7M-495.2M-2.6M1.386.12N/AN/A2,0262,785121,080121,308
2011-02-11$95.72$91.1724.1%6.9%22.7%13.2%25.5%3.2%1.3%17.6M-520.5M-2.6M0.467.18N/AN/A9,8664,508121,393121,883
2011-02-14$97.17$91.1724.5%7.0%23.1%14.8%24.5%2.9%0.9%22.0M-619.5M-2.2M0.297.88N/AN/A12,0423,517122,811122,991
2011-02-15$98.92$91.1724.1%6.9%23.5%13.2%25.0%1.2%1.1%22.9M-698.9M-2.2M0.528.90N/AN/A23,73512,438121,620124,324
2011-02-16$100.79$91.1724.9%7.2%24.1%16.4%26.1%1.5%0.9%24.3M-771.0M-2.5M0.377.64N/AN/A18,7676,985124,155129,931
2011-02-17$101.58$91.1725.6%7.3%22.6%19.0%25.9%1.1%0.7%21.7M-796.8M-2.6M0.549.25N/AN/A7,9004,294126,046131,315
2011-02-18$103.04$91.1725.4%7.3%22.5%18.0%26.0%1.4%1.2%11.7M-862.8M-2.5M1.208.02N/AN/A5,8317,000128,440132,826
2011-02-22$98.02$95.9731.3%9.0%29.5%40.2%31.5%3.4%-0.7%6.9M-412.8M-2.9M1.449.76N/AN/A13,54719,56792,98795,180
2011-02-23$98.81$95.9731.5%9.0%29.5%40.7%32.9%4.5%-0.3%6.1M-422.1M-3.0M1.1112.02N/AN/A6,4507,13497,760102,432
2011-02-24$97.66$95.9732.6%9.3%29.9%45.0%32.6%4.1%-0.2%4.6M-379.5M-3.1M1.0815.17N/AN/A4,6685,06398,824106,316
2011-02-25$98.94$95.9729.1%8.3%30.1%31.9%30.7%4.5%0.5%5.7M-415.9M-3.1M1.4910.82N/AN/A1,9762,942100,700108,872
2011-02-28$97.86$95.9730.1%8.6%27.5%35.6%30.5%4.2%-0.1%4.8M-375.9M-3.1M1.199.97N/AN/A3,7804,492101,139110,548