OXY Options History — July 2011

In July 2011, OXY traded between $94.22 and $103.72. ATM implied volatility averaged 28.1%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.9% (HV 20d: 25.2%). Max pain ranged from $95.97 to $95.97. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2011-07-25: Highest Volume — 25,424 contracts
  • 2011-07-11: Largest IV spike — 34.2% change
  • 2011-07-29: Highest IV Rank — 83.4%
  • 2011-07-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.45$94.22$103.72$101.27$94.22
Max Pain$95.97$95.97$95.97$95.97$95.97
ATM IV28.1%22.2%32.9%22.5%32.9%
Expected Move8.3%6.5%9.4%6.5%9.4%
HV 20d25.2%22.1%28.3%23.4%27.9%
HV 60d30.8%26.2%32.6%32.5%26.2%
IV Rank51.5%11.7%83.4%11.7%83.4%
IV Percentile60.8%3.2%98.0%4.0%98.0%
Term Structure0.8%-1.1%3.9%3.9%-0.8%
VWIV29.4%23.4%32.9%23.4%32.9%
Skew 25d4.1%2.9%5.0%3.0%4.3%
Skew 10d8.4%5.6%11.0%8.5%8.6%
Call IV 25d27.4%21.7%31.2%21.7%31.2%
Put IV 25d31.5%24.8%35.5%24.8%35.5%
Bid-Ask Spread %6.404.678.888.884.67
Gamma HHI0.130.090.250.120.10
Net GEX6.1M-2.4M14.4M7.9M-2.4M
Net DEX-424.1M-555.2M-196.1M-457.5M-196.1M
Net VEX-3.3M-3.5M-3.1M-3.5M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.502.520.970.54
Total Volume9,905.753,68425,4245,55914,689
Total OI258,641.8241,473276,426253,225276,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$101.27$95.9722.5%6.5%23.4%11.7%23.4%3.0%3.9%7.9M-457.5M-3.5M0.978.88N/AN/A2,8262,733126,663126,562
2011-07-05$102.45$95.9725.3%7.8%22.1%25.5%26.7%4.4%2.1%10.3M-515.4M-3.3M0.617.69N/AN/A4,2962,613127,113127,117
2011-07-06$101.53$95.9725.1%7.8%22.3%32.1%27.8%5.0%1.8%8.7M-471.5M-3.4M2.527.78N/AN/A1,1142,803127,711127,378
2011-07-07$103.26$95.9722.2%7.4%22.8%13.2%26.4%4.2%2.1%12.3M-555.2M-3.2M0.606.53N/AN/A4,7062,815127,560128,514
2011-07-08$101.99$95.9722.8%7.8%22.9%17.3%26.1%4.2%1.9%9.7M-496.0M-3.3M0.597.43N/AN/A3,1761,871128,847129,337
2011-07-11$97.66$95.9730.6%8.8%27.8%68.5%30.7%4.8%0.5%291.6K-303.0M-3.3M1.116.01N/AN/A7,8848,741128,754129,776
2011-07-12$97.92$95.9730.7%9.1%27.5%68.9%31.0%4.7%0.0%674.8K-315.9M-3.3M0.676.30N/AN/A5,6503,801131,076133,610
2011-07-13$98.82$95.9726.0%8.6%26.0%38.1%31.4%4.9%0.4%2.3M-357.3M-3.3M0.816.32N/AN/A3,3552,726130,381134,884
2011-07-14$99.19$95.9730.2%8.7%24.4%65.6%31.7%4.7%0.9%4.2M-377.7M-3.3M1.126.30N/AN/A4,1814,693131,195135,751
2011-07-15$101.09$95.9729.4%8.4%25.2%60.2%30.2%4.6%1.3%14.4M-470.7M-3.3M0.685.41N/AN/A4,9393,381130,409136,960
2011-07-18$101.02$95.9729.9%8.6%25.1%63.7%31.1%4.6%0.9%4.5M-416.4M-3.3M0.635.51N/AN/A3,2662,062117,234124,239
2011-07-19$102.66$95.9729.5%8.5%25.4%61.0%29.7%4.7%0.9%6.3M-482.5M-3.3M0.785.63N/AN/A3,3442,622118,479125,104
2011-07-20$101.91$95.9728.4%8.2%25.5%54.2%30.4%3.8%1.0%6.7M-467.8M-3.2M1.845.84N/AN/A3,4756,405120,101125,941
2011-07-21$103.72$95.9727.7%7.9%25.3%49.4%27.7%3.7%0.7%8.5M-541.3M-3.2M0.506.17N/AN/A8,3574,175121,768129,036
2011-07-22$103.53$95.9728.0%8.0%24.4%51.3%28.7%3.4%0.2%8.8M-548.4M-3.1M0.535.85N/AN/A2,4131,271123,740130,985
2011-07-25$103.04$95.9731.8%9.1%24.1%76.1%31.7%3.6%-1.1%8.5M-534.1M-3.1M1.046.81N/AN/A12,48112,943124,759131,540
2011-07-26$100.60$95.9728.5%8.2%26.1%54.5%28.8%2.9%0.3%7.7M-435.0M-3.3M0.546.35N/AN/A10,1605,456130,639135,305
2011-07-27$97.31$95.9730.5%8.7%28.3%67.6%30.3%2.9%0.0%3.7M-303.8M-3.3M1.286.15N/AN/A8,39910,774132,852132,221
2011-07-28$95.73$95.9730.6%8.8%27.9%68.0%31.6%3.3%-0.1%-315.8K-237.2M-3.3M0.746.36N/AN/A4,3163,203134,434138,435
2011-07-29$94.22$95.9732.9%9.4%27.9%83.4%32.9%4.3%-0.8%-2.4M-196.1M-3.3M0.544.67N/AN/A9,5355,154137,212139,214