OXY Options History — June 2011

In June 2011, OXY traded between $94.49 and $100.56. ATM implied volatility averaged 29.0%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.2% (HV 20d: 26.8%). Max pain ranged from $95.97 to $100.77. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2011-06-07: Highest Volume — 140,615 contracts
  • 2011-06-15: Largest IV spike — 12.8% change
  • 2011-06-17: Highest IV Rank — 55.1%
  • 2011-06-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.08$94.49$100.56$99.50$99.85
Max Pain$96.41$95.97$100.77$100.77$95.97
ATM IV29.0%23.5%32.8%28.2%23.5%
Expected Move8.3%6.7%9.4%8.1%6.7%
HV 20d26.8%22.5%29.6%29.6%22.9%
HV 60d32.3%31.8%33.2%33.2%32.5%
IV Rank38.4%15.3%55.1%34.9%15.3%
IV Percentile66.2%8.7%94.8%57.9%8.7%
Term Structure1.7%0.6%3.5%0.6%3.5%
VWIV29.5%26.2%33.2%29.0%26.2%
Skew 25d4.1%3.0%5.5%3.1%3.4%
Skew 10d8.3%5.7%11.1%5.7%7.7%
Call IV 25d27.6%22.9%29.9%27.8%22.9%
Put IV 25d31.7%26.2%35.2%30.9%26.2%
Bid-Ask Spread %6.054.108.395.727.24
Gamma HHI0.110.080.190.130.11
Net GEX4.5M-1.2M12.8M7.2M5.4M
Net DEX-325.9M-447.9M-193.9M-390.2M-400.3M
Net VEX-3.7M-3.9M-3.5M-3.9M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.011.440.870.98
Total Volume14,674.7733,350140,61518,2166,990
Total OI257,450.182233,150271,491259,647253,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$99.50$100.7728.2%8.1%29.6%34.9%29.0%3.1%0.6%7.2M-390.2M-3.9M0.875.72N/AN/A9,7398,477136,714122,933
2011-06-02$99.61$100.7727.8%8.0%28.5%33.1%29.5%3.0%1.1%7.0M-391.4M-3.9M1.118.39N/AN/A5,2665,824136,854125,053
2011-06-03$100.00$95.9726.9%8.1%27.0%29.4%29.2%4.1%1.7%7.3M-405.0M-3.9M0.774.30N/AN/A3,4992,683137,645126,818
2011-06-06$97.83$95.9730.3%8.7%28.0%44.0%30.6%4.3%1.4%3.3M-297.5M-3.9M0.524.24N/AN/A2,2691,172138,075127,091
2011-06-07$97.37$95.9728.9%8.5%27.6%37.8%28.9%4.3%1.5%2.7M-278.9M-3.8M0.015.22N/AN/A138,7641,851137,845126,984
2011-06-08$98.36$95.9730.8%8.8%28.0%46.4%30.3%4.5%1.2%5.1M-328.0M-3.8M0.484.19N/AN/A7,0203,339136,722127,064
2011-06-09$99.77$95.9728.3%8.1%26.2%35.3%29.2%4.0%1.9%8.7M-402.6M-3.8M0.534.10N/AN/A5,2172,781137,838127,727
2011-06-10$99.22$95.9728.9%8.3%26.2%37.9%28.9%4.1%2.1%7.9M-377.8M-3.8M0.914.24N/AN/A4,5694,139140,339128,043
2011-06-13$98.02$95.9731.1%8.9%26.5%47.4%29.6%4.1%1.8%5.5M-322.1M-3.7M0.955.20N/AN/A4,0223,841139,590128,471
2011-06-14$100.56$95.9728.0%8.0%27.5%34.1%28.0%3.7%2.2%12.8M-447.9M-3.7M0.645.40N/AN/A6,5734,224139,689129,149
2011-06-15$98.03$95.9731.6%9.1%29.1%49.8%30.8%4.5%1.4%4.2M-313.0M-3.7M1.055.44N/AN/A3,4843,649140,269130,361
2011-06-16$98.68$95.9731.1%8.9%29.1%47.6%33.2%5.3%1.4%6.7M-334.8M-3.7M0.986.14N/AN/A5,4365,340139,542130,390
2011-06-17$98.07$95.9732.8%9.4%28.4%55.1%32.2%5.5%1.3%3.0M-312.4M-3.7M0.744.94N/AN/A4,9713,688140,367131,124
2011-06-20$97.41$95.9731.1%8.9%28.5%47.4%30.4%4.7%1.1%2.7M-298.8M-3.6M0.726.05N/AN/A5,0603,636120,320112,830
2011-06-21$98.27$95.9729.4%8.4%28.1%40.0%29.6%4.6%1.5%3.5M-326.4M-3.5M0.837.97N/AN/A4,3033,583121,774114,699
2011-06-22$96.86$95.9728.4%8.1%25.6%35.6%28.5%4.1%1.9%2.0M-279.9M-3.6M0.907.47N/AN/A3,5663,194123,309115,831
2011-06-23$95.38$95.9728.6%8.2%25.3%36.5%29.9%4.2%2.1%-83.3K-222.8M-3.5M1.247.88N/AN/A7,4059,166123,300117,427
2011-06-24$94.49$95.9730.0%8.6%25.1%42.7%30.5%4.3%2.0%-1.1M-193.9M-3.5M1.187.85N/AN/A1,5381,812124,942121,973
2011-06-27$94.94$95.9728.9%8.3%24.4%38.1%29.9%3.9%1.9%-1.2M-204.7M-3.5M1.446.35N/AN/A2,2783,286125,334122,665
2011-06-28$96.86$95.9728.2%8.1%25.2%34.8%27.9%3.6%1.8%1.2M-281.3M-3.5M0.486.64N/AN/A7,1703,446125,829123,985
2011-06-29$98.73$95.9725.3%7.2%22.5%22.2%26.5%3.2%2.8%4.2M-361.2M-3.6M0.818.15N/AN/A2,5222,053128,313125,669
2011-06-30$99.85$95.9723.5%6.7%22.9%15.3%26.2%3.4%3.5%5.4M-400.3M-3.5M0.987.24N/AN/A3,5323,458126,897126,110