OXY Options History — November 2011

In November 2011, OXY traded between $83.20 and $97.21. ATM implied volatility averaged 42.4%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 8.3% (HV 20d: 50.7%). Max pain ranged from $83.97 to $91.17. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-11-04: Highest Volume — 21,934 contracts
  • 2011-11-09: Largest IV spike — 24.1% change
  • 2011-11-09: Highest IV Rank — 55.7%
  • 2011-11-25: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.13$83.20$97.21$86.90$94.91
Max Pain$89.80$83.97$91.17$83.97$91.17
ATM IV42.4%35.5%47.3%46.1%35.5%
Expected Move12.1%10.2%13.3%13.2%10.2%
HV 20d50.7%41.3%54.1%54.1%47.1%
HV 60d51.5%50.4%53.6%53.6%53.5%
IV Rank45.6%31.5%55.7%53.2%31.5%
IV Percentile83.0%67.9%92.1%90.5%67.9%
Term Structure-0.5%-1.9%1.3%-1.4%1.3%
VWIV43.8%37.5%48.4%47.2%37.5%
Skew 25d9.7%7.1%11.9%8.7%7.1%
Skew 10d20.8%13.9%24.8%19.0%13.9%
Call IV 25d38.5%33.7%43.1%42.3%33.7%
Put IV 25d48.2%40.7%53.4%51.0%40.7%
Bid-Ask Spread %5.673.769.176.697.43
Gamma HHI0.070.060.110.060.09
Net GEX3.4M-2.3M5.8M3.4M4.5M
Net DEX-675.1M-1.06B-246.6M-493.4M-768.4M
Net VEX-3.6M-3.9M-3.4M-3.8M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.422.450.900.73
Total Volume10,995.1432,36321,93415,58610,881
Total OI379,481.762322,134415,628381,594346,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$86.90$83.9746.1%13.2%54.1%53.2%47.2%8.7%-1.4%3.4M-493.4M-3.8M0.906.69N/AN/A8,1957,391184,232197,362
2011-11-02$89.43$83.9743.2%12.4%53.9%47.2%42.9%7.7%-0.5%4.7M-633.9M-3.8M0.884.95N/AN/A5,8955,170186,546199,695
2011-11-03$91.37$83.9739.9%11.4%53.2%40.5%41.3%7.5%0.3%5.5M-745.2M-3.8M1.297.84N/AN/A3,8765,015188,831201,450
2011-11-04$93.70$88.7741.5%11.8%52.5%43.7%44.8%11.1%-1.1%5.5M-858.8M-3.9M1.173.90N/AN/A10,10511,829189,887203,006
2011-11-07$94.55$88.7741.7%11.8%49.9%44.1%40.8%10.4%-1.4%5.8M-907.3M-3.7M0.894.23N/AN/A6,5185,781190,472204,316
2011-11-08$97.21$88.7738.1%11.1%49.8%36.8%40.0%9.6%-0.8%5.8M-1.06B-3.7M1.044.01N/AN/A5,2535,458191,934206,573
2011-11-09$92.62$91.1747.3%13.0%54.0%55.7%47.9%11.9%-1.9%4.9M-773.4M-3.9M1.603.76N/AN/A5,9219,491192,010208,150
2011-11-10$94.18$91.1743.5%12.5%54.1%47.9%44.9%10.8%-0.9%4.9M-858.0M-3.8M1.184.75N/AN/A5,0886,015193,532211,196
2011-11-11$95.79$91.1740.2%11.5%52.3%41.2%43.8%10.0%0.0%5.4M-962.0M-3.7M1.274.17N/AN/A3,5644,534194,801213,056
2011-11-14$93.87$91.1742.4%12.2%51.2%45.7%46.3%10.8%-1.0%5.2M-865.9M-3.6M0.854.37N/AN/A2,5422,159195,159213,982
2011-11-15$94.83$91.1739.7%11.4%50.8%40.1%45.0%9.6%-0.3%4.5M-921.2M-3.6M2.024.39N/AN/A4,1218,319194,934214,704
2011-11-16$93.67$91.1741.8%12.0%50.8%44.4%43.4%10.1%-0.3%3.7M-820.5M-3.6M0.555.09N/AN/A5,8533,210192,903219,193
2011-11-17$90.62$91.1744.6%12.8%52.8%50.1%48.4%11.1%-1.0%5.1M-616.2M-3.6M0.915.54N/AN/A7,4416,807192,902219,475
2011-11-18$90.52$91.1741.5%11.9%52.3%43.7%41.5%10.2%0.4%5.2M-589.3M-3.6M1.427.11N/AN/A7,11710,078194,295221,333
2011-11-21$88.68$91.1744.0%12.6%53.0%48.8%45.1%10.4%-0.8%622.2K-464.5M-3.5M1.385.65N/AN/A4,5896,343154,500167,634
2011-11-22$87.94$91.1741.7%12.0%52.2%44.3%42.7%9.3%0.1%-114.3K-433.4M-3.6M0.475.84N/AN/A4,1211,939157,241171,512
2011-11-23$84.23$91.1746.0%13.2%54.1%52.9%45.7%10.0%-0.6%-1.3M-295.8M-3.5M2.456.33N/AN/A3,7689,216159,469172,366
2011-11-25$83.20$91.1746.5%13.3%41.8%54.1%44.7%10.3%-0.6%-2.3M-246.6M-3.5M0.456.08N/AN/A1,628735161,596178,855
2011-11-28$86.98$91.1743.8%12.5%44.4%48.4%44.1%9.2%-0.4%-763.1K-397.0M-3.4M0.429.17N/AN/A4,6091,926161,683179,140
2011-11-29$88.47$91.1741.3%11.8%41.3%43.4%42.0%8.2%0.0%291.1K-471.0M-3.5M1.537.66N/AN/A3,3255,072163,208179,591
2011-11-30$94.91$91.1735.5%10.2%47.1%31.5%37.5%7.1%1.3%4.5M-768.4M-3.4M0.737.43N/AN/A6,2764,605163,923182,470