OXY Options History — February 2012

In February 2012, OXY traded between $94.51 and $101.21. ATM implied volatility averaged 25.5%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.8% (HV 20d: 23.7%). Max pain ranged from $91.17 to $100.77. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2012-02-28: Highest Volume — 18,458 contracts
  • 2012-02-03: Largest IV drop — 17.4% change
  • 2012-02-01: Highest IV Rank — 20.1%
  • 2012-02-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.36$94.51$101.21$95.30$100.16
Max Pain$96.45$91.17$100.77$91.17$100.77
ATM IV25.5%21.4%30.0%30.0%25.5%
Expected Move7.2%6.4%7.9%7.5%6.5%
HV 20d23.7%19.8%26.1%21.4%20.3%
HV 60d33.5%27.2%36.7%36.1%27.2%
IV Rank11.0%2.5%20.1%20.1%10.9%
IV Percentile13.4%0.4%39.7%39.7%11.5%
Term Structure2.2%0.8%4.0%0.8%2.1%
VWIV27.3%23.9%30.4%27.7%25.2%
Skew 25d5.5%4.2%6.3%4.2%4.7%
Skew 10d12.3%10.0%14.8%10.0%11.7%
Call IV 25d23.6%20.8%26.2%25.2%21.9%
Put IV 25d29.1%25.8%32.5%29.4%26.6%
Bid-Ask Spread %5.324.317.155.036.00
Gamma HHI0.160.110.310.130.15
Net GEX11.5M3.8M19.6M9.5M9.5M
Net DEX-623.3M-760.3M-458.3M-512.3M-554.8M
Net VEX-3.3M-3.5M-2.9M-2.9M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.303.050.411.31
Total Volume11,091.955,40718,45814,2587,931
Total OI268,604.45228,658303,571247,772260,762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$95.30$91.1730.0%7.5%21.4%20.1%27.7%4.2%0.8%9.5M-512.3M-2.9M0.415.03N/AN/A10,0884,170134,319113,453
2012-02-02$94.51$91.1727.2%7.5%21.7%14.4%26.2%4.6%1.4%9.6M-488.8M-3.0M1.975.74N/AN/A4,7039,272142,788115,251
2012-02-03$98.49$95.9722.5%6.9%25.7%4.7%26.2%5.5%2.3%15.5M-692.3M-3.1M1.464.57N/AN/A4,6616,813144,670121,642
2012-02-06$99.81$95.9726.3%7.1%25.8%12.5%30.1%5.2%2.1%16.1M-725.5M-3.1M2.654.90N/AN/A2,9947,945143,446121,715
2012-02-07$100.61$95.9727.6%7.5%25.7%15.1%27.3%5.6%1.4%16.5M-760.3M-3.1M1.304.94N/AN/A6,2778,157143,952127,143
2012-02-08$99.62$95.9723.6%7.4%26.0%7.1%29.0%5.4%2.1%15.4M-711.1M-3.1M3.054.44N/AN/A3,87411,831146,011130,330
2012-02-09$100.03$95.9726.5%7.6%25.3%12.9%29.2%6.0%2.2%16.1M-723.3M-3.3M2.624.43N/AN/A2,7707,248147,190139,234
2012-02-10$98.56$95.9727.6%7.9%25.9%15.3%29.5%6.3%2.4%11.6M-628.1M-3.4M1.796.88N/AN/A2,6624,758147,196144,009
2012-02-13$99.87$95.9726.7%7.6%26.1%13.3%29.5%5.7%2.1%14.8M-722.8M-3.3M1.565.17N/AN/A2,1113,296146,941143,788
2012-02-14$99.81$95.9727.7%7.9%25.6%15.4%29.9%6.3%2.3%14.5M-724.2M-3.2M1.094.94N/AN/A4,3444,756147,556145,536
2012-02-15$99.58$95.9727.6%7.9%25.1%15.3%30.4%6.2%2.4%14.9M-693.2M-3.4M0.894.31N/AN/A4,4553,958149,185148,180
2012-02-16$100.12$95.9726.8%7.7%24.7%13.5%28.7%6.3%3.0%19.6M-730.8M-3.4M0.585.31N/AN/A5,3013,066151,087150,380
2012-02-17$99.73$95.9724.4%7.0%24.8%8.6%26.1%6.2%4.0%7.9M-688.5M-3.4M0.806.00N/AN/A5,3704,302151,683151,888
2012-02-21$100.20$95.9724.3%7.0%24.2%8.4%26.0%6.0%2.1%4.8M-504.6M-3.4M0.765.18N/AN/A9,7027,420115,318113,340
2012-02-22$99.10$100.7723.2%6.7%24.2%6.2%25.3%5.8%2.4%3.8M-458.3M-3.4M1.104.62N/AN/A3,4993,836119,822118,489
2012-02-23$100.45$100.7722.3%6.4%23.0%4.4%26.6%5.0%2.5%6.6M-531.6M-3.3M2.495.52N/AN/A2,0415,082121,375120,674
2012-02-24$99.67$100.7721.4%6.4%19.8%2.5%23.9%5.4%2.7%4.2M-496.2M-3.3M0.555.32N/AN/A10,5215,744122,340123,276
2012-02-27$100.28$95.9724.1%6.6%19.9%8.1%24.6%5.0%2.1%8.0M-537.5M-3.5M0.867.15N/AN/A4,5273,896128,113124,178
2012-02-28$101.21$95.9725.6%6.6%19.8%11.2%24.5%4.7%2.2%10.4M-582.3M-3.5M0.305.99N/AN/A14,1604,298129,946125,883
2012-02-29$100.16$100.7725.5%6.5%20.3%10.9%25.2%4.7%2.1%9.5M-554.8M-3.4M1.316.00N/AN/A3,4394,492133,199127,563