OXY Options History — September 2011

In September 2011, OXY traded between $68.62 and $82.44. ATM implied volatility averaged 45.1%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 2.5% (HV 20d: 42.5%). Max pain ranged from $74.38 to $86.37. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2011-09-23: Highest Volume — 52,114 contracts
  • 2011-09-22: Largest IV spike — 21.4% change
  • 2011-09-30: Highest IV Rank — 73.1%
  • 2011-09-30: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.40$68.62$82.44$82.44$68.62
Max Pain$78.95$74.38$86.37$86.37$74.38
ATM IV45.1%38.0%55.8%38.6%55.8%
Expected Move12.9%10.9%16.0%11.1%16.0%
HV 20d42.5%31.4%58.2%57.3%50.5%
HV 60d43.5%41.2%48.2%41.2%48.2%
IV Rank51.1%36.6%73.1%37.8%73.1%
IV Percentile94.6%88.5%99.2%92.5%99.2%
Term Structure-0.2%-1.9%1.6%0.5%-1.2%
VWIV46.1%38.5%58.9%38.5%58.9%
Skew 25d10.8%8.0%14.5%8.0%14.5%
Skew 10d23.1%15.4%30.2%15.4%30.2%
Call IV 25d40.8%33.8%50.8%35.0%50.8%
Put IV 25d51.5%43.0%65.3%43.0%65.3%
Bid-Ask Spread %6.324.288.698.697.36
Gamma HHI0.080.070.100.090.07
Net GEX-515.2K-2.6M3.6M1.0M-2.4M
Net DEX65.5M-73.3M260.9M-34.4M180.3M
Net VEX-3.4M-3.5M-3.2M-3.3M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.212.831.551.11
Total Volume15,346.9525,89152,1145,89114,136
Total OI311,047279,090348,543279,090348,543

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$82.44$86.3738.6%11.1%57.3%37.8%38.5%8.0%0.5%1.0M-34.4M-3.3M1.558.69N/AN/A2,3093,582138,453140,637
2011-09-02$80.05$86.3740.2%11.5%58.2%41.1%39.4%8.5%0.7%-258.0K51.0M-3.2M0.627.58N/AN/A4,3092,663139,032141,234
2011-09-06$79.39$79.1746.3%12.7%47.6%53.7%46.3%10.8%-1.4%-695.7K80.3M-3.2M0.535.26N/AN/A12,1236,378139,585142,112
2011-09-07$81.13$76.7839.8%11.8%43.4%40.3%41.5%9.9%-1.1%1.4M-15.3M-3.3M1.264.78N/AN/A4,4435,582145,097145,363
2011-09-08$79.86$79.1742.1%12.3%41.5%45.1%46.4%10.0%-1.0%494.1K24.3M-3.3M1.025.57N/AN/A7,1127,273146,982146,166
2011-09-09$77.29$79.1748.8%13.5%40.1%58.6%50.7%11.1%-1.9%-933.7K118.0M-3.5M0.755.54N/AN/A5,4804,124152,037151,805
2011-09-12$76.33$79.1748.8%13.5%40.1%58.7%50.0%11.2%-1.2%-1.4M147.5M-3.3M0.775.13N/AN/A6,9825,356154,138153,323
2011-09-13$77.21$79.1744.8%13.1%35.8%50.5%46.0%10.4%-0.7%-378.8K113.7M-3.4M0.444.28N/AN/A9,5474,184155,978155,145
2011-09-14$79.49$79.1738.4%12.0%37.2%37.5%42.0%9.6%0.4%1.5M26.7M-3.5M0.265.66N/AN/A13,8493,561158,608156,807
2011-09-15$81.01$79.1738.1%10.9%37.9%36.9%38.5%9.2%1.6%3.6M-73.3M-3.5M1.484.82N/AN/A7,91511,708165,132157,927
2011-09-16$79.96$79.1738.0%10.9%32.2%36.6%38.9%9.3%1.6%717.4K-44.4M-3.5M0.976.38N/AN/A4,6164,472167,994164,840
2011-09-19$79.14$79.1739.1%11.2%31.4%38.7%39.8%9.4%1.3%476.2K-47.6M-3.4M2.836.19N/AN/A3,89210,999143,264145,804
2011-09-20$77.52$79.1740.3%11.5%32.2%41.2%40.7%9.6%1.0%-424.5K21.3M-3.5M2.005.06N/AN/A3,9967,980144,615154,482
2011-09-21$73.24$79.1742.6%12.2%36.4%46.0%43.9%10.9%0.5%-2.1M162.4M-3.3M0.915.35N/AN/A8,2407,527145,036158,092
2011-09-22$69.00$79.1751.7%14.8%41.2%64.7%56.5%12.6%-1.1%-2.6M260.9M-3.2M1.238.16N/AN/A11,76914,465147,772160,915
2011-09-23$69.35$76.7852.8%15.1%41.0%67.0%52.7%13.5%-1.1%-2.4M244.0M-3.3M0.218.15N/AN/A43,0139,101152,937166,131
2011-09-26$73.89$76.7848.1%13.8%47.6%57.3%49.7%11.3%0.1%-1.7M20.5M-3.5M0.756.88N/AN/A9,5097,168162,671168,422
2011-09-27$75.29$76.7847.7%13.7%46.2%56.4%47.0%11.1%0.5%-838.3K-35.2M-3.5M1.096.94N/AN/A6,2266,767165,062170,524
2011-09-28$71.97$76.7852.0%14.9%47.9%65.3%51.0%12.7%-0.8%-2.1M92.2M-3.4M0.858.26N/AN/A4,9024,165165,841172,528
2011-09-29$72.31$76.7852.6%15.1%47.8%66.5%50.7%12.8%-0.8%-1.9M82.4M-3.5M0.436.69N/AN/A7,5773,286167,197173,756
2011-09-30$68.62$74.3855.8%16.0%50.5%73.1%58.9%14.5%-1.2%-2.4M180.3M-3.3M1.117.36N/AN/A6,7137,423172,991175,552