OXY Options History — March 2011

In March 2011, OXY traded between $92.06 and $100.28. ATM implied volatility averaged 28.6%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.5% (HV 20d: 28.1%). Max pain ranged from $95.97 to $95.97. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-03-07: Highest Volume — 146,192 contracts
  • 2011-03-10: Largest IV spike — 14.9% change
  • 2011-03-16: Highest IV Rank — 55.5%
  • 2011-03-16: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.51$92.06$100.28$96.18$100.28
Max Pain$95.97$95.97$95.97$95.97$95.97
ATM IV28.6%23.4%35.4%30.7%23.4%
Expected Move8.3%6.7%10.2%8.8%6.7%
HV 20d28.1%25.2%31.6%26.7%25.2%
HV 60d23.3%21.5%24.8%21.6%24.6%
IV Rank30.0%10.8%55.5%38.0%10.8%
IV Percentile57.6%9.9%89.3%78.2%9.9%
Term Structure1.3%-0.2%3.4%-0.2%3.2%
VWIV29.7%24.4%35.6%30.9%24.4%
Skew 25d4.2%2.8%5.3%3.3%3.3%
Skew 10d9.4%7.1%11.5%7.4%9.2%
Call IV 25d27.6%23.1%33.2%30.0%23.1%
Put IV 25d31.8%26.4%38.6%33.4%26.4%
Bid-Ask Spread %9.105.2712.9312.529.83
Gamma HHI0.170.140.210.160.18
Net GEX4.1M-3.0M10.8M2.6M10.8M
Net DEX-392.3M-624.3M-217.9M-314.0M-624.3M
Net VEX-3.4M-3.6M-3.0M-3.1M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.052.680.950.66
Total Volume15,589.1742,926146,1929,6189,065
Total OI242,656.522214,308273,003214,308249,722

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$96.18$95.9730.7%8.8%26.7%38.0%30.9%3.3%-0.2%2.6M-314.0M-3.1M0.9512.52N/AN/A4,9214,697102,043112,265
2011-03-02$96.73$95.9729.6%8.5%25.6%33.8%29.8%3.8%0.5%3.2M-333.0M-3.0M2.689.44N/AN/A2,0925,602102,335113,744
2011-03-03$99.24$95.9726.4%7.6%27.0%22.0%28.5%2.8%1.4%5.4M-420.4M-3.0M1.4112.93N/AN/A8,09711,385102,323118,991
2011-03-04$98.99$95.9726.7%8.1%26.9%23.1%30.3%3.9%0.5%6.2M-421.3M-3.2M0.455.27N/AN/A3,6821,658106,629121,924
2011-03-07$99.36$95.9729.4%8.5%26.7%33.1%30.3%4.0%0.1%7.4M-449.8M-3.2M0.056.88N/AN/A139,5456,647108,317120,986
2011-03-08$96.85$95.9729.1%8.6%28.5%31.8%30.1%4.0%0.4%4.0M-351.2M-3.2M1.656.70N/AN/A6,28810,390109,607124,346
2011-03-09$96.80$95.9728.6%8.6%28.6%30.2%30.0%4.0%0.4%3.9M-362.6M-3.3M0.805.85N/AN/A1,8741,508113,400128,291
2011-03-10$93.50$95.9732.9%9.4%31.3%46.2%32.9%4.2%0.4%-1.6M-218.8M-3.3M0.5212.23N/AN/A11,0835,772113,520129,019
2011-03-11$94.77$95.9730.3%8.7%31.0%36.6%32.0%4.7%0.9%1.3M-291.6M-3.4M0.538.34N/AN/A3,2331,721118,945131,113
2011-03-14$95.03$95.9731.0%8.9%30.9%39.1%32.3%4.9%0.6%873.7K-300.0M-3.4M1.538.40N/AN/A3,7115,687118,775131,512
2011-03-15$94.02$95.9731.7%9.1%30.5%41.5%32.3%4.8%0.6%-989.0K-254.9M-3.4M0.598.23N/AN/A7,8134,646119,467135,066
2011-03-16$92.06$95.9735.4%10.2%30.4%55.5%35.6%5.3%-0.2%-3.0M-217.9M-3.6M1.198.40N/AN/A6,7578,012126,301136,130
2011-03-17$93.92$95.9731.7%9.1%30.5%41.5%33.0%5.3%1.4%-1.7M-280.0M-3.6M0.348.70N/AN/A7,4602,540128,182140,462
2011-03-18$94.37$95.9730.6%8.8%30.4%37.6%32.2%4.9%1.6%2.1M-303.2M-3.6M2.0311.09N/AN/A6,85713,917131,773141,230
2011-03-21$96.91$95.9728.2%8.1%31.6%28.6%28.5%4.4%1.6%5.7M-468.3M-3.5M1.409.35N/AN/A6,2638,786115,861117,184
2011-03-22$96.12$95.9728.0%8.0%26.5%27.7%29.3%4.7%1.5%5.4M-438.1M-3.5M1.359.30N/AN/A3,1624,275118,283118,565
2011-03-23$96.07$95.9727.0%7.7%26.3%24.1%27.2%4.3%1.9%5.6M-433.1M-3.5M0.619.89N/AN/A1,8141,112119,801120,963
2011-03-24$95.77$95.9725.9%7.4%26.0%20.1%26.6%3.9%2.5%5.5M-422.2M-3.5M1.757.72N/AN/A2,7954,887120,452121,560
2011-03-25$96.79$95.9725.8%7.4%25.8%19.5%27.7%4.2%2.6%6.5M-465.4M-3.6M0.979.28N/AN/A2,3352,255120,976125,040
2011-03-28$96.80$95.9726.8%7.7%25.5%23.3%26.8%3.9%2.1%6.9M-477.0M-3.5M0.6411.07N/AN/A2,7271,750121,888125,118
2011-03-29$99.61$95.9724.2%6.9%26.7%13.7%26.1%3.5%3.1%9.8M-592.2M-3.4M1.218.91N/AN/A2,7383,309122,511126,257
2011-03-30$99.58$95.9723.9%6.8%26.7%12.4%25.8%3.8%3.4%9.5M-583.1M-3.5M0.928.87N/AN/A1,9161,767123,118127,105
2011-03-31$100.28$95.9723.4%6.7%25.2%10.8%24.4%3.3%3.2%10.8M-624.3M-3.3M0.669.83N/AN/A5,4563,609122,875126,847