OXY Options History — October 2011

In October 2011, OXY traded between $65.82 and $93.83. ATM implied volatility averaged 44.4%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 14.4% (HV 20d: 58.8%). Max pain ranged from $71.98 to $83.97. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2011-10-27: Highest Volume — 33,592 contracts
  • 2011-10-04: Largest IV drop — 13.2% change
  • 2011-10-03: Highest IV Rank — 91.7%
  • 2011-10-03: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.10$65.82$93.83$65.82$89.19
Max Pain$81.00$71.98$83.97$74.38$83.97
ATM IV44.4%34.6%64.8%64.8%38.0%
Expected Move12.9%9.9%18.6%18.6%10.9%
HV 20d58.8%51.2%65.1%51.3%55.7%
HV 60d53.4%48.7%57.5%48.7%56.7%
IV Rank49.7%29.6%91.7%91.7%36.6%
IV Percentile87.6%75.8%99.2%99.2%77.0%
Term Structure-0.9%-3.4%2.7%-3.4%0.3%
VWIV46.4%35.3%62.3%62.3%36.6%
Skew 25d9.0%4.1%15.7%15.7%6.0%
Skew 10d19.5%8.8%31.1%31.1%12.2%
Call IV 25d41.6%33.4%56.7%56.7%35.5%
Put IV 25d50.6%37.5%72.4%72.4%41.5%
Bid-Ask Spread %5.784.3211.128.305.98
Gamma HHI0.080.060.130.070.06
Net GEX3.4M-3.0M7.0M-3.0M5.5M
Net DEX-299.6M-901.6M262.1M262.1M-660.2M
Net VEX-3.6M-3.8M-3.1M-3.1M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.601.930.761.52
Total Volume13,787.2865,89933,59215,9239,602
Total OI371,851.857351,654392,497351,654378,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$65.82$74.3864.8%18.6%51.3%91.7%62.3%15.7%-3.4%-3.0M262.1M-3.1M0.768.30N/AN/A9,0466,877172,055179,599
2011-10-04$70.31$74.3856.3%16.1%58.0%74.1%57.7%9.8%0.3%-1.8M119.2M-3.4M0.8211.12N/AN/A15,45412,625173,618180,501
2011-10-05$72.67$71.9850.3%14.4%58.8%61.9%51.1%8.6%2.0%-731.0K24.8M-3.5M0.808.15N/AN/A10,6358,559175,967182,025
2011-10-06$75.39$71.9847.4%13.6%60.5%55.8%49.4%8.4%2.7%677.8K-68.4M-3.7M0.745.44N/AN/A8,5496,307179,288184,688
2011-10-07$74.14$83.9746.5%14.3%59.8%53.9%52.5%11.9%-2.4%558.4K-35.2M-3.6M0.674.94N/AN/A4,7583,198182,252185,196
2011-10-10$78.37$83.9743.2%13.3%63.0%47.2%50.8%10.3%-1.6%2.9M-205.6M-3.8M0.974.63N/AN/A6,9536,774183,537185,793
2011-10-11$77.63$83.9742.6%13.4%63.0%46.1%45.8%10.7%-1.5%2.8M-185.8M-3.6M0.795.04N/AN/A6,5255,125184,926186,815
2011-10-12$77.74$83.9740.7%12.9%62.0%42.1%46.4%9.1%-1.3%3.0M-190.3M-3.6M1.104.60N/AN/A4,0094,403187,420189,534
2011-10-13$78.21$83.9743.3%12.4%61.7%47.4%44.7%9.4%-1.1%3.4M-195.9M-3.7M0.945.14N/AN/A3,0412,858187,231189,542
2011-10-14$81.98$83.9740.7%11.7%63.8%42.1%43.4%8.2%-0.2%6.6M-406.1M-3.6M0.604.77N/AN/A8,1684,928188,165189,961
2011-10-17$79.35$81.5745.2%12.9%64.9%51.3%45.5%9.2%-2.3%4.4M-295.4M-3.5M1.154.91N/AN/A3,4343,955192,123191,247
2011-10-18$81.55$81.5744.2%12.7%65.1%49.4%47.4%8.9%-2.0%6.7M-419.8M-3.6M0.784.94N/AN/A5,5024,289192,791190,639
2011-10-19$80.57$81.5745.9%13.2%61.5%52.8%47.9%10.1%-2.4%6.1M-351.3M-3.7M1.934.96N/AN/A4,1768,042194,653191,831
2011-10-20$81.18$81.5746.2%13.3%56.6%53.5%48.2%10.4%-2.2%6.8M-385.4M-3.7M0.994.32N/AN/A3,3333,288195,261195,743
2011-10-21$83.24$81.5742.2%12.1%56.9%45.2%44.8%8.8%-0.8%7.0M-490.1M-3.7M0.825.25N/AN/A13,63111,121195,644196,853
2011-10-24$83.79$81.5740.3%11.5%53.2%41.2%41.8%8.0%0.2%3.4M-415.4M-3.5M0.875.78N/AN/A3,7743,267178,130181,013
2011-10-25$81.71$81.5743.0%12.3%54.1%46.9%43.4%9.5%-0.5%2.4M-295.8M-3.6M1.065.86N/AN/A5,1595,471178,407181,923
2011-10-26$83.69$83.9739.9%11.4%51.2%40.5%42.0%7.0%-0.0%3.3M-402.3M-3.5M0.916.19N/AN/A6,9496,296179,237184,350
2011-10-27$91.80$81.5736.8%10.5%59.4%34.1%37.0%5.5%-0.6%5.6M-793.1M-3.6M0.605.88N/AN/A21,01912,573181,089187,205
2011-10-28$93.83$83.9734.6%9.9%54.4%29.6%35.3%4.1%-1.1%6.8M-901.6M-3.5M0.885.27N/AN/A8,4527,408184,014190,472
2011-10-31$89.19$83.9738.0%10.9%55.7%36.6%36.6%6.0%0.3%5.5M-660.2M-3.5M1.525.98N/AN/A3,8165,786183,784194,367