OXY Options History — April 2011

In April 2011, OXY traded between $92.98 and $109.68. ATM implied volatility averaged 25.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.7% (HV 20d: 26.5%). Max pain ranged from $91.17 to $95.97. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-04-29: Highest Volume — 67,211 contracts
  • 2011-04-11: Largest IV spike — 40.0% change
  • 2011-04-12: Highest IV Rank — 51.7%
  • 2011-04-12: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.40$92.98$109.68$100.10$109.68
Max Pain$91.41$91.17$95.97$95.97$91.17
ATM IV25.8%20.2%34.2%22.6%27.8%
Expected Move7.6%6.3%8.7%6.5%8.0%
HV 20d26.5%20.8%40.3%25.2%40.3%
HV 60d26.5%24.6%31.1%24.6%31.1%
IV Rank20.2%0.0%51.7%7.7%28.0%
IV Percentile32.4%0.0%87.3%4.8%52.8%
Term Structure1.1%0.2%3.5%3.5%0.2%
VWIV27.4%24.2%29.3%27.0%29.3%
Skew 25d4.3%1.8%5.4%3.3%1.8%
Skew 10d9.4%4.7%11.6%9.0%4.7%
Call IV 25d24.9%20.9%28.0%22.3%27.9%
Put IV 25d29.2%24.2%32.6%25.6%29.7%
Bid-Ask Spread %7.124.8510.129.958.32
Gamma HHI0.180.130.200.170.13
Net GEX6.9M-2.9M15.3M9.8M11.3M
Net DEX-475.5M-972.2M-244.0M-593.6M-972.2M
Net VEX-3.2M-3.3M-3.0M-3.3M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.272.571.020.68
Total Volume13,2621,90167,2116,75867,211
Total OI247,473.85235,357258,237250,015250,681

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$100.10$95.9722.6%6.5%25.2%7.7%27.0%3.3%3.5%9.8M-593.6M-3.3M1.029.95N/AN/A3,3493,409121,087128,928
2011-04-04$99.35$91.1723.8%7.6%25.3%12.1%28.2%4.6%1.4%9.7M-566.6M-3.2M1.2410.12N/AN/A8491,052119,909128,495
2011-04-05$98.59$91.1722.9%7.5%23.7%9.0%28.1%4.6%1.3%9.0M-533.8M-3.2M1.527.32N/AN/A2,3973,649120,131128,728
2011-04-06$96.97$91.1725.5%8.0%24.5%18.5%28.9%4.4%0.9%5.8M-448.7M-3.3M2.577.21N/AN/A2,9737,642120,814129,905
2011-04-07$97.05$91.1725.0%7.9%20.8%16.7%28.1%4.0%1.0%5.5M-457.8M-3.3M0.667.55N/AN/A3,4292,254121,184130,432
2011-04-08$99.54$91.1720.2%7.4%22.0%0.0%27.3%4.5%2.0%11.3M-589.5M-3.2M0.456.53N/AN/A12,8625,775122,464131,324
2011-04-11$96.37$91.1728.3%8.2%25.2%29.7%29.1%4.6%0.7%1.6M-399.2M-3.3M0.876.73N/AN/A4,8464,224119,615133,916
2011-04-12$92.99$91.1734.2%8.7%28.1%51.7%29.2%4.6%0.3%-2.9M-244.0M-3.3M0.767.57N/AN/A9,0746,922121,399134,656
2011-04-13$92.98$91.1729.4%8.3%27.1%33.8%28.9%4.4%1.0%-2.0M-257.4M-3.3M0.598.54N/AN/A3,9702,337123,447134,790
2011-04-14$93.62$91.1727.8%8.0%26.2%28.2%28.0%4.1%1.3%-777.9K-284.4M-3.3M1.175.46N/AN/A2,9233,412121,965135,523
2011-04-15$94.78$91.1726.1%7.5%26.5%21.8%25.8%3.7%2.0%2.3M-333.2M-3.3M0.274.85N/AN/A5,2551,444122,163135,930
2011-04-18$93.15$91.1727.4%7.9%25.3%26.7%27.3%4.1%0.5%2.3M-292.2M-3.2M0.775.59N/AN/A3,6002,788113,063122,294
2011-04-19$94.73$91.1727.1%7.8%26.0%25.4%27.9%4.7%0.3%4.3M-354.6M-3.2M1.956.19N/AN/A3,9277,659114,099123,471
2011-04-20$96.79$91.1725.8%7.4%27.2%20.6%26.8%5.4%0.9%8.9M-454.5M-3.2M0.546.18N/AN/A14,3087,723115,470120,037
2011-04-21$96.48$91.1725.5%7.3%27.2%19.4%25.0%5.4%0.8%10.9M-479.7M-3.1M0.605.89N/AN/A2,7291,646119,827117,948
2011-04-25$96.34$91.1726.7%7.6%26.9%23.8%26.9%5.2%0.2%10.4M-467.4M-3.0M0.426.69N/AN/A4,3621,835119,274118,700
2011-04-26$98.76$91.1723.6%6.8%28.4%12.4%25.4%4.6%1.3%12.4M-566.6M-3.0M0.347.01N/AN/A12,1234,155118,970119,507
2011-04-27$98.85$91.1723.5%6.7%26.5%12.3%25.4%4.3%1.2%12.6M-559.0M-3.0M0.838.12N/AN/A10,1728,488119,678121,461
2011-04-28$100.89$91.1721.9%6.3%27.5%6.3%24.2%3.3%1.9%15.3M-655.8M-3.0M0.536.63N/AN/A12,0436,424122,786125,406
2011-04-29$109.68$91.1727.8%8.0%40.3%28.0%29.3%1.8%0.2%11.3M-972.2M-3.0M0.688.32N/AN/A39,94227,269124,950125,731