OXY Options History — December 2011

In December 2011, OXY traded between $83.80 and $94.26. ATM implied volatility averaged 36.0%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 9.0% (HV 20d: 44.9%). Max pain ranged from $67.18 to $91.17. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2011-12-06: Highest Volume — 1,961,950 contracts
2011-12-09: Largest IV drop — 19.7% change
2011-12-08: Highest IV Rank — 50.0%
2011-12-08: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.45	$83.80	$94.26	$92.93	$89.92
Max Pain	$73.12	$67.18	$91.17	$91.17	$74.38
ATM IV	36.0%	28.6%	44.6%	36.6%	28.6%
Expected Move	10.2%	8.3%	11.8%	10.5%	9.3%
HV 20d	44.9%	36.0%	49.4%	47.0%	36.0%
HV 60d	51.6%	46.2%	54.1%	53.6%	46.2%
IV Rank	32.4%	17.2%	50.0%	33.7%	17.2%
IV Percentile	63.4%	35.7%	86.1%	67.9%	35.7%
Term Structure	2.4%	-0.2%	4.2%	0.8%	4.0%
VWIV	40.3%	31.6%	80.9%	39.3%	33.6%
Skew 25d	7.6%	5.7%	9.6%	7.2%	6.4%
Skew 10d	17.1%	12.6%	21.6%	14.4%	12.6%
Call IV 25d	32.5%	27.1%	37.2%	34.6%	29.2%
Put IV 25d	40.1%	33.0%	46.8%	41.8%	35.6%
Bid-Ask Spread %	5.78	4.69	6.74	6.66	5.11
Gamma HHI	0.08	0.07	0.10	0.09	0.09
Net GEX	2.1M	-5.8M	6.4M	3.8M	6.4M
Net DEX	-547.8M	-746.0M	-236.1M	-676.2M	-632.0M
Net VEX	-3.0M	-3.4M	-2.7M	-3.4M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	1.95	1.32	0.90
Total Volume	103,560.619	1,910	1,961,950	6,836	1,910
Total OI	366,539.714	349,196	383,190	349,196	377,890

Daily Data (21 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
2011-12-01	$92.93	$91.17	36.6%	10.5%	47.0%	33.7%	39.3%	7.2%	0.8%	3.8M	-676.2M	-3.4M	1.32	6.66	N/A	N/A	2,941	3,895	165,930	183,266
2011-12-02	$92.05	$91.17	38.3%	11.0%	46.6%	37.2%	38.3%	7.2%	-0.2%	3.1M	-638.4M	-3.4M	0.90	6.37	N/A	N/A	3,455	3,111	166,790	185,052
2011-12-05	$94.26	$67.18	39.1%	10.8%	46.5%	38.7%	41.7%	8.6%	1.2%	4.3M	-746.0M	-3.3M	1.56	6.63	N/A	N/A	4,820	7,527	168,233	186,958
2011-12-06	$93.24	$67.18	38.3%	10.7%	46.5%	37.1%	80.9%	8.8%	1.1%	3.7M	-691.1M	-3.3M	0.00	6.36	N/A	N/A	1,954,095	7,855	168,063	187,191
2011-12-07	$92.39	$69.58	39.3%	10.7%	45.4%	39.3%	47.6%	8.9%	1.2%	3.0M	-649.9M	-3.3M	1.51	5.49	N/A	N/A	7,113	10,752	168,045	191,792
2011-12-08	$88.93	$69.58	44.6%	11.8%	44.1%	50.0%	47.8%	9.6%	0.9%	-629.0K	-486.1M	-3.3M	0.90	4.75	N/A	N/A	8,857	7,948	169,882	195,100
2011-12-09	$90.60	$67.18	35.8%	10.6%	44.2%	32.0%	39.2%	8.9%	1.8%	1.8M	-600.3M	-3.3M	0.80	5.55	N/A	N/A	6,080	4,893	174,825	196,654
2011-12-12	$88.08	$69.58	40.6%	11.0%	44.6%	42.0%	41.9%	9.0%	1.7%	-682.7K	-472.4M	-3.1M	1.92	5.49	N/A	N/A	3,900	7,504	174,366	197,608
2011-12-13	$87.98	$69.58	39.4%	10.7%	44.2%	39.4%	43.1%	8.3%	2.1%	-1.1M	-443.5M	-3.1M	1.95	5.72	N/A	N/A	4,847	9,463	174,567	198,492
2011-12-14	$84.86	$71.98	43.8%	11.7%	45.4%	48.6%	41.2%	8.7%	1.9%	-5.0M	-278.7M	-3.1M	1.70	4.69	N/A	N/A	4,657	7,911	175,507	204,333
2011-12-15	$83.99	$71.98	39.4%	11.3%	45.3%	39.4%	42.3%	8.0%	2.4%	-5.8M	-236.1M	-3.0M	1.66	5.05	N/A	N/A	3,056	5,062	176,898	205,393
2011-12-16	$85.67	$71.98	36.0%	10.3%	45.0%	32.6%	36.5%	7.1%	2.6%	-3.3M	-318.2M	-3.0M	1.53	5.64	N/A	N/A	3,327	5,096	177,217	205,973
2011-12-19	$83.80	$71.98	36.5%	10.5%	45.5%	33.4%	37.2%	7.5%	3.0%	-885.5K	-326.4M	-2.7M	0.85	6.61	N/A	N/A	11,312	9,581	166,074	185,591
2011-12-20	$88.45	$71.98	32.8%	9.4%	49.4%	26.0%	34.3%	7.0%	3.5%	3.3M	-525.3M	-2.9M	0.83	5.27	N/A	N/A	7,210	6,017	167,491	188,927
2011-12-21	$89.36	$71.98	31.6%	9.1%	49.4%	23.5%	35.3%	6.4%	3.7%	5.4M	-599.9M	-2.8M	1.33	6.01	N/A	N/A	4,672	6,211	170,168	192,337
2011-12-22	$90.41	$71.98	29.7%	8.5%	46.7%	19.5%	31.6%	6.1%	3.7%	6.2M	-634.5M	-2.9M	1.32	5.18	N/A	N/A	2,483	3,289	171,302	195,526
2011-12-23	$90.81	$71.98	29.0%	8.3%	46.3%	18.1%	32.0%	5.9%	4.2%	5.4M	-653.7M	-2.9M	1.13	6.29	N/A	N/A	5,454	6,159	171,380	196,569
2011-12-27	$91.60	$74.38	30.2%	8.7%	43.9%	20.6%	33.9%	5.7%	3.8%	6.4M	-694.2M	-2.8M	1.54	6.74	N/A	N/A	2,951	4,533	172,117	196,446
2011-12-28	$89.11	$74.38	33.4%	9.6%	44.8%	27.0%	36.5%	7.0%	3.6%	4.3M	-577.6M	-2.7M	1.03	5.73	N/A	N/A	5,503	5,649	172,504	198,370
2011-12-29	$89.94	$74.38	32.4%	9.3%	36.7%	25.1%	32.7%	6.5%	4.2%	5.5M	-623.8M	-2.8M	0.50	6.00	N/A	N/A	2,445	1,229	175,460	201,047
2011-12-30	$89.92	$74.38	28.6%	9.3%	36.0%	17.2%	33.6%	6.4%	4.0%	6.4M	-632.0M	-2.8M	0.90	5.11	N/A	N/A	1,003	907	176,554	201,336