OXY Options History — January 2012

In January 2012, OXY traded between $91.91 and $99.29. ATM implied volatility averaged 30.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.5% (HV 20d: 28.7%). Max pain ranged from $74.38 to $91.17. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2012-01-17: Highest Volume — 56,082 contracts
  • 2012-01-12: Largest IV spike — 25.3% change
  • 2012-01-13: Highest IV Rank — 25.3%
  • 2012-01-06: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.96$91.91$99.29$92.74$95.75
Max Pain$87.21$74.38$91.17$74.38$91.17
ATM IV30.1%25.2%32.5%31.9%32.3%
Expected Move8.6%7.2%9.8%8.8%8.0%
HV 20d28.7%20.4%37.7%37.7%23.7%
HV 60d42.2%36.3%46.0%46.0%36.3%
IV Rank20.4%10.3%25.3%24.1%24.8%
IV Percentile42.4%11.9%57.1%55.6%54.8%
Term Structure1.1%-0.3%4.6%4.1%0.6%
VWIV32.0%27.9%35.4%32.7%28.9%
Skew 25d6.1%4.2%8.3%6.6%4.3%
Skew 10d13.3%8.2%17.8%13.7%8.2%
Call IV 25d27.9%24.9%30.1%29.0%26.6%
Put IV 25d34.0%29.1%38.3%35.6%31.0%
Bid-Ask Spread %6.225.188.207.095.18
Gamma HHI0.190.110.620.110.13
Net GEX15.0M8.1M44.6M9.8M10.5M
Net DEX-823.4M-1.37B-525.1M-792.0M-539.3M
Net VEX-2.6M-2.9M-2.4M-2.6M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.131.801.081.10
Total Volume18,368.55,08156,08211,2797,556
Total OI343,139.55204,911450,275376,308244,353

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$92.74$74.3831.9%8.8%37.7%24.1%32.7%6.6%4.1%9.8M-792.0M-2.6M1.087.09N/AN/A5,4285,851176,471199,837
2012-01-04$93.01$74.3831.1%8.5%36.7%22.4%32.7%5.6%4.5%11.1M-820.4M-2.6M1.776.35N/AN/A1,8803,328179,180202,978
2012-01-05$92.27$74.3832.0%8.7%36.6%24.4%30.9%6.0%4.6%11.0M-774.8M-2.6M0.837.65N/AN/A4,9114,072179,798204,003
2012-01-06$91.91$88.7729.3%9.8%36.5%18.7%35.0%8.3%0.3%11.4M-765.3M-2.6M1.806.01N/AN/A2,9165,261182,284204,256
2012-01-09$93.02$88.7729.7%9.2%33.8%19.6%34.0%7.7%0.9%13.5M-840.2M-2.5M1.085.89N/AN/A5,5165,934182,190205,564
2012-01-10$93.93$88.7731.1%9.2%33.4%22.5%30.7%6.6%0.4%14.2M-875.0M-2.5M0.475.56N/AN/A12,2365,730183,193207,151
2012-01-11$92.69$88.7725.9%9.1%32.0%11.8%33.8%6.4%0.9%13.3M-801.3M-2.5M1.316.26N/AN/A2,1982,883187,144208,989
2012-01-12$93.88$88.7732.5%9.3%32.2%25.3%32.8%6.5%0.7%15.6M-874.8M-2.5M0.906.02N/AN/A8,4177,547186,982210,017
2012-01-13$93.69$88.7732.5%9.3%28.7%25.3%34.5%6.4%1.0%15.2M-862.8M-2.5M0.136.09N/AN/A27,7573,622188,139212,866
2012-01-17$95.30$88.7731.1%8.9%28.5%22.4%35.2%6.8%1.2%18.6M-1.10B-2.4M0.335.76N/AN/A42,13113,951200,423211,470
2012-01-18$96.86$88.7732.5%9.3%28.3%25.3%34.5%7.1%-0.3%18.4M-1.31B-2.4M0.366.72N/AN/A28,77310,435211,779217,212
2012-01-19$95.83$88.7731.6%9.1%27.0%23.4%35.4%7.1%0.1%26.9M-1.29B-2.6M1.626.04N/AN/A8,68514,051222,083222,869
2012-01-20$96.32$88.7729.8%8.5%20.4%19.7%32.7%6.7%0.9%44.6M-1.37B-2.5M0.476.68N/AN/A10,9285,090221,628228,647
2012-01-23$97.95$88.7728.8%8.3%20.8%17.7%30.3%6.6%-0.1%8.1M-571.9M-2.6M0.786.79N/AN/A12,2159,556110,93893,973
2012-01-24$96.85$88.7728.0%8.0%21.3%16.1%29.4%5.3%0.0%9.5M-566.8M-2.7M1.168.20N/AN/A11,37713,179117,59199,287
2012-01-25$99.29$91.1725.2%7.2%22.6%10.3%27.9%4.2%0.5%13.5M-693.0M-2.6M0.795.46N/AN/A16,58113,155123,933107,471
2012-01-26$96.15$91.1727.2%7.8%26.0%14.4%29.6%4.9%0.3%11.5M-541.6M-2.8M0.765.62N/AN/A7,1985,449129,298112,413
2012-01-27$96.21$91.1727.6%7.8%23.5%15.3%29.1%4.8%0.7%13.3M-555.1M-2.9M1.145.36N/AN/A5,5106,308130,816114,994
2012-01-30$95.60$91.1732.4%8.0%23.7%25.0%29.0%4.4%0.3%9.7M-525.1M-2.9M0.765.68N/AN/A5,5574,198130,624109,947
2012-01-31$95.75$91.1732.3%8.0%23.7%24.8%28.9%4.3%0.6%10.5M-539.3M-2.9M1.105.18N/AN/A3,5983,958132,977111,376