OXY Options History — August 2011

In August 2011, OXY traded between $76.42 and $93.84. ATM implied volatility averaged 45.1%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 6.6% (HV 20d: 51.7%). Max pain ranged from $86.37 to $95.97. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.02.

Notable Days

2011-08-08: Highest Volume — 23,935 contracts
2011-08-08: Largest IV spike — 51.7% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.30	$76.42	$93.84	$93.84	$83.24
Max Pain	$89.81	$86.37	$95.97	$95.97	$86.37
ATM IV	45.1%	32.8%	68.9%	32.9%	37.5%
Expected Move	12.5%	9.4%	15.8%	9.4%	10.8%
HV 20d	51.7%	27.2%	62.7%	27.2%	62.4%
HV 60d	37.1%	25.7%	41.3%	25.7%	41.3%
IV Rank	63.2%	35.6%	100.0%	83.1%	35.6%
IV Percentile	97.5%	92.5%	100.0%	97.6%	92.5%
Term Structure	-2.7%	-8.2%	0.6%	-0.8%	0.6%
VWIV	43.7%	33.0%	53.9%	33.0%	39.9%
Skew 25d	9.3%	2.7%	13.5%	3.6%	8.0%
Skew 10d	18.5%	5.0%	26.9%	7.4%	15.8%
Call IV 25d	40.2%	31.7%	49.5%	31.7%	35.6%
Put IV 25d	49.5%	35.2%	61.7%	35.3%	43.6%
Bid-Ask Spread %	7.44	4.47	11.90	5.83	7.10
Gamma HHI	0.10	0.08	0.22	0.10	0.09
Net GEX	-4.1M	-8.9M	2.0M	-3.5M	2.0M
Net DEX	98.8M	-178.1M	308.3M	-178.1M	-79.4M
Net VEX	-3.2M	-3.4M	-3.0M	-3.3M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.35	2.22	1.43	1.79
Total Volume	14,695.217	7,239	23,935	10,148	14,917
Total OI	292,633.652	244,955	344,783	280,365	272,706

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$93.84	$95.97	32.9%	9.4%	27.2%	83.1%	33.0%	3.6%	-0.8%	-3.5M	-178.1M	-3.3M	1.43	5.83	N/A	N/A	4,168	5,980	139,301	141,064
2011-08-02	$90.79	$95.97	33.9%	9.7%	28.4%	90.2%	34.2%	3.4%	-0.4%	-7.8M	-47.7M	-3.2M	0.86	5.24	N/A	N/A	7,722	6,638	139,250	143,862
2011-08-03	$90.43	$95.97	32.8%	9.4%	28.4%	82.5%	33.8%	2.7%	0.1%	-8.9M	-45.9M	-3.2M	0.76	4.60	N/A	N/A	8,090	6,115	143,049	146,370
2011-08-04	$84.22	$95.97	43.9%	12.6%	35.4%	100.0%	44.7%	5.2%	-4.4%	-8.8M	160.7M	-3.1M	1.15	6.15	N/A	N/A	10,348	11,886	145,533	147,372
2011-08-05	$83.82	$95.97	45.4%	11.9%	35.5%	100.0%	41.7%	8.6%	-2.5%	-8.5M	178.3M	-3.2M	0.87	6.87	N/A	N/A	11,061	9,672	148,159	149,147
2011-08-08	$76.42	$91.17	68.9%	15.8%	44.7%	100.0%	53.9%	12.2%	-8.2%	-5.4M	308.3M	-3.0M	2.22	4.47	N/A	N/A	7,437	16,498	153,255	149,079
2011-08-09	$81.01	$91.17	53.8%	13.4%	51.1%	69.1%	47.5%	9.8%	-4.6%	-6.9M	227.9M	-3.1M	0.64	7.95	N/A	N/A	11,081	7,111	153,317	149,066
2011-08-10	$77.98	$91.17	65.5%	15.4%	51.5%	93.1%	52.4%	12.6%	-7.2%	-5.4M	296.1M	-3.0M	0.73	6.69	N/A	N/A	7,980	5,812	156,644	150,892
2011-08-11	$81.38	$88.77	47.9%	13.7%	54.9%	56.8%	51.9%	11.4%	-4.7%	-6.5M	213.7M	-3.2M	2.19	8.67	N/A	N/A	3,472	7,601	158,281	151,973
2011-08-12	$81.69	$88.77	43.5%	12.5%	54.1%	48.0%	40.8%	11.0%	-2.7%	-7.0M	224.1M	-3.1M	0.35	8.80	N/A	N/A	16,468	5,827	159,148	154,439
2011-08-15	$85.71	$88.77	39.9%	11.4%	57.9%	40.4%	38.6%	8.1%	-1.9%	-8.1M	43.7M	-3.4M	0.48	7.06	N/A	N/A	12,371	5,900	167,319	155,019
2011-08-16	$83.85	$88.77	40.2%	11.5%	57.3%	41.1%	39.9%	8.1%	-2.2%	-5.5M	96.2M	-3.2M	1.24	6.83	N/A	N/A	5,945	7,366	174,393	156,907
2011-08-17	$84.08	$88.77	39.0%	11.2%	57.5%	38.6%	38.5%	7.7%	-1.8%	-5.1M	93.3M	-3.2M	1.44	6.51	N/A	N/A	5,980	8,637	176,051	158,846
2011-08-18	$79.41	$88.77	49.5%	14.2%	58.9%	60.3%	52.4%	11.1%	-5.2%	-5.1M	252.8M	-3.2M	0.79	8.51	N/A	N/A	9,188	7,253	176,468	162,044
2011-08-19	$77.65	$88.77	51.6%	14.8%	58.8%	64.4%	49.2%	12.5%	-5.1%	-5.6M	291.5M	-3.2M	0.88	8.03	N/A	N/A	12,066	10,670	180,855	163,928
2011-08-22	$77.22	$86.37	51.9%	14.9%	58.8%	65.2%	51.6%	13.5%	-4.5%	-1.2M	96.7M	-3.2M	0.45	6.87	N/A	N/A	9,128	4,113	122,838	122,117
2011-08-23	$79.36	$86.37	45.5%	13.0%	60.5%	51.9%	45.8%	11.5%	-2.3%	-235.9K	49.6M	-3.3M	0.56	7.54	N/A	N/A	6,853	3,805	127,376	123,721
2011-08-24	$79.73	$86.37	44.8%	12.9%	60.2%	50.6%	45.0%	11.3%	-1.6%	131.6K	27.9M	-3.2M	0.90	7.52	N/A	N/A	4,527	4,058	129,831	125,390
2011-08-25	$78.00	$86.37	47.0%	13.5%	60.3%	55.1%	47.5%	12.8%	-2.7%	-394.7K	81.3M	-3.3M	1.02	9.50	N/A	N/A	3,590	3,649	131,657	127,307
2011-08-26	$78.78	$86.37	43.7%	12.5%	60.7%	48.3%	44.5%	11.2%	-1.0%	-210.9K	70.9M	-3.2M	0.53	8.66	N/A	N/A	4,929	2,610	132,558	128,614
2011-08-29	$81.63	$86.37	39.8%	11.4%	62.7%	40.3%	38.5%	9.3%	-0.2%	1.6M	-30.5M	-3.2M	0.90	9.77	N/A	N/A	6,326	5,714	136,219	129,233
2011-08-30	$82.63	$86.37	39.0%	11.2%	62.3%	38.6%	39.0%	8.2%	0.2%	2.0M	-58.8M	-3.3M	1.19	11.90	N/A	N/A	3,388	4,040	136,724	133,252
2011-08-31	$83.24	$86.37	37.5%	10.8%	62.4%	35.6%	39.9%	8.0%	0.6%	2.0M	-79.4M	-3.3M	1.79	7.10	N/A	N/A	5,339	9,578	137,707	134,999