OXY Options History — May 2011

In May 2011, OXY traded between $94.96 and $111.07. ATM implied volatility averaged 29.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 11.3% (HV 20d: 40.9%). Max pain ranged from $95.97 to $100.77. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-05-24: Highest Volume — 40,356 contracts
  • 2011-05-05: Largest IV spike — 10.4% change
  • 2011-05-05: Highest IV Rank — 49.2%
  • 2011-05-05: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.66$94.96$111.07$111.07$103.50
Max Pain$99.40$95.97$100.77$95.97$100.77
ATM IV29.6%25.5%33.6%29.0%25.5%
Expected Move8.5%7.3%9.6%8.3%7.3%
HV 20d40.9%29.1%44.5%40.3%29.1%
HV 60d32.5%31.1%33.5%31.1%32.1%
IV Rank36.3%23.1%49.2%32.5%23.1%
IV Percentile66.6%29.8%86.9%63.9%29.8%
Term Structure0.4%-1.0%2.1%0.3%1.2%
VWIV30.0%26.6%34.6%29.9%27.2%
Skew 25d3.2%1.7%4.3%2.0%2.5%
Skew 10d6.4%3.5%8.3%6.4%5.1%
Call IV 25d28.5%25.2%32.4%28.9%25.5%
Put IV 25d31.7%27.5%36.0%30.9%28.0%
Bid-Ask Spread %5.573.238.066.017.26
Gamma HHI0.130.090.240.120.14
Net GEX9.2M278.3K13.0M12.1M13.0M
Net DEX-524.0M-1.02B-220.9M-1.02B-600.7M
Net VEX-3.7M-3.9M-3.1M-3.1M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.331.330.610.73
Total Volume17,006.5718,79940,35629,86117,980
Total OI284,717.571223,505318,671268,606258,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$111.07$95.9729.0%8.3%40.3%32.5%29.9%2.0%0.3%12.1M-1.02B-3.1M0.616.01N/AN/A18,54911,312134,497134,109
2011-05-03$107.14$95.9729.5%8.5%42.7%34.5%30.3%2.7%0.7%11.8M-861.0M-3.4M1.336.84N/AN/A8,43511,242139,778139,110
2011-05-04$104.50$95.9730.4%8.7%43.7%37.6%31.9%3.1%0.1%11.0M-741.5M-3.7M1.038.06N/AN/A9,4629,750141,872143,251
2011-05-05$101.69$95.9733.6%9.6%44.5%49.2%34.6%3.5%-1.0%9.6M-606.7M-3.7M0.787.49N/AN/A13,08310,170143,757144,689
2011-05-06$102.13$100.7731.5%9.0%44.5%41.7%31.6%4.3%-0.6%10.7M-640.4M-3.8M0.845.73N/AN/A5,4694,584147,334148,117
2011-05-09$103.15$100.7732.0%9.0%43.8%43.3%30.8%4.0%-0.6%10.5M-671.9M-3.7M0.446.99N/AN/A11,0124,804146,486149,173
2011-05-10$102.67$100.7729.9%8.5%42.0%35.7%30.4%3.5%0.1%12.7M-680.0M-3.7M1.335.03N/AN/A3,7745,025150,629150,213
2011-05-11$99.45$100.7732.4%8.9%41.6%44.8%32.1%3.7%-0.3%7.2M-477.1M-3.7M0.934.15N/AN/A14,47913,416148,138151,608
2011-05-12$98.93$100.7730.6%8.8%41.7%38.4%32.3%3.8%-0.3%7.3M-449.7M-3.8M0.893.23N/AN/A7,2316,468150,137156,241
2011-05-13$98.23$100.7731.3%9.0%41.8%40.8%30.9%3.6%0.1%7.4M-421.7M-3.7M0.805.11N/AN/A5,7564,594151,406159,074
2011-05-16$96.93$100.7731.6%9.1%42.0%41.9%31.2%3.7%0.1%6.4M-341.2M-3.7M0.915.08N/AN/A6,1255,571152,916159,064
2011-05-17$97.31$100.7731.9%9.2%41.4%43.2%31.6%3.9%-0.2%8.0M-363.8M-3.8M0.484.26N/AN/A11,7295,587153,609161,388
2011-05-18$98.08$100.7730.1%8.6%41.1%36.4%29.4%3.6%0.7%11.0M-414.9M-3.6M0.335.04N/AN/A11,8933,931156,673161,951
2011-05-19$96.33$100.7728.9%8.3%41.0%31.9%28.6%3.5%1.6%8.0M-311.3M-3.6M0.573.73N/AN/A7,6284,351157,901160,013
2011-05-20$96.35$100.7727.6%7.9%41.0%31.2%27.8%3.4%2.1%12.2M-351.4M-3.5M0.593.95N/AN/A12,1727,140157,754160,917
2011-05-23$94.96$100.7728.5%8.2%41.3%36.2%29.9%3.6%0.4%278.3K-220.9M-3.4M0.734.69N/AN/A5,2293,830115,374108,131
2011-05-24$98.37$100.7729.1%8.3%42.3%38.8%28.7%1.7%0.3%3.2M-342.2M-3.7M0.415.36N/AN/A28,58811,768117,831109,741
2011-05-25$100.02$100.7727.2%7.8%42.7%30.6%27.9%1.9%0.8%8.0M-434.9M-3.9M0.426.88N/AN/A8,3913,557132,093116,068
2011-05-26$100.76$95.9726.0%7.4%42.2%25.2%26.7%2.0%1.7%10.4M-481.3M-3.9M0.545.64N/AN/A6,4693,519135,972117,498
2011-05-27$102.27$95.9726.1%7.5%29.1%25.8%26.6%2.3%1.8%11.9M-570.1M-3.7M0.746.42N/AN/A7,5085,557137,896118,550
2011-05-31$103.50$100.7725.5%7.3%29.1%23.1%27.2%2.5%1.2%13.0M-600.7M-3.9M0.737.26N/AN/A10,4047,576138,318119,792