OXY Options History — March 2012

In March 2012, OXY traded between $90.62 and $100.64. ATM implied volatility averaged 23.8%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.5% (HV 20d: 20.3%). Max pain ranged from $93.57 to $100.77. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-03-06: Highest Volume — 2,542,120 contracts
  • 2012-03-06: Largest IV spike — 24.7% change
  • 2012-03-06: Highest IV Rank — 24.7%
  • 2012-03-06: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.30$90.62$100.64$100.64$91.39
Max Pain$96.95$93.57$100.77$100.77$93.57
ATM IV23.8%20.2%32.2%22.6%24.4%
Expected Move6.9%6.3%8.1%6.3%6.9%
HV 20d20.3%14.2%27.0%20.2%27.0%
HV 60d24.4%21.5%27.2%27.2%23.2%
IV Rank7.5%0.0%24.7%5.0%8.7%
IV Percentile9.9%0.0%54.8%3.2%13.1%
Term Structure2.5%2.0%3.3%2.9%3.0%
VWIV25.1%22.4%29.1%26.3%24.8%
Skew 25d5.1%3.0%7.5%4.9%3.6%
Skew 10d12.2%6.6%17.3%11.0%7.7%
Call IV 25d22.6%19.4%25.9%20.8%23.3%
Put IV 25d27.7%24.7%32.7%25.7%26.9%
Bid-Ask Spread %5.644.227.946.686.17
Gamma HHI0.120.090.200.150.10
Net GEX2.6M-8.9M10.2M10.2M-2.9M
Net DEX-388.3M-566.7M-234.8M-566.7M-277.6M
Net VEX-3.2M-3.5M-2.9M-3.5M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.001.441.111.05
Total Volume126,255.9553,3512,542,1206,3478,146
Total OI278,314.182258,501298,362262,759285,609

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$100.64$100.7722.6%6.3%20.2%5.0%26.3%4.9%2.9%10.2M-566.7M-3.5M1.116.68N/AN/A3,0133,334133,374129,385
2012-03-02$100.15$100.7721.7%6.3%20.0%3.1%22.9%4.5%2.9%8.9M-534.7M-3.5M0.676.16N/AN/A2,0021,349134,062131,757
2012-03-05$99.35$100.7725.9%7.3%14.2%11.6%25.7%5.9%2.1%7.1M-499.9M-3.4M1.206.96N/AN/A5,7646,905132,649130,975
2012-03-06$96.96$100.7732.2%8.1%15.9%24.7%27.4%6.7%2.2%2.3M-393.8M-3.3M0.007.15N/AN/A2,537,7714,349136,053133,575
2012-03-07$95.86$100.7725.6%7.9%15.9%11.0%29.1%7.5%2.2%281.9K-357.1M-3.5M0.987.94N/AN/A10,27910,112137,909134,797
2012-03-08$96.79$95.9725.1%7.7%16.1%10.1%28.2%6.5%2.1%3.1M-430.7M-3.5M0.924.22N/AN/A4,8824,474142,509141,247
2012-03-09$96.64$95.9722.9%7.4%16.0%5.5%26.1%6.1%2.4%4.3M-429.1M-3.5M0.754.98N/AN/A4,4673,339144,504144,064
2012-03-12$94.47$95.9725.6%7.4%17.1%11.0%27.4%6.3%2.6%-1.6M-311.7M-3.3M1.444.92N/AN/A4,7486,826143,603142,059
2012-03-13$95.95$95.9720.3%6.8%17.4%0.2%25.3%5.3%2.8%2.9M-388.0M-3.3M0.755.45N/AN/A8,0316,028144,996144,770
2012-03-14$94.93$95.9720.2%6.7%17.6%0.0%24.2%6.1%2.8%-244.9K-345.3M-3.2M0.655.91N/AN/A4,5072,923148,419147,779
2012-03-15$94.91$95.9722.4%6.4%17.6%4.7%22.9%5.3%3.0%388.3K-337.3M-3.2M1.115.45N/AN/A5,8356,498147,367148,988
2012-03-16$96.53$95.9721.9%6.3%18.7%3.6%24.5%5.2%3.3%7.0M-445.8M-3.2M1.325.47N/AN/A5,1106,742147,656150,706
2012-03-19$97.41$95.9721.9%6.3%19.1%3.6%23.8%5.3%2.7%7.9M-486.8M-3.1M1.194.59N/AN/A6,5097,737132,738125,763
2012-03-20$94.01$95.9723.4%6.7%22.5%6.7%23.7%5.1%2.3%3.4M-374.0M-3.1M1.344.59N/AN/A6,7259,014136,311130,615
2012-03-21$93.79$95.9723.2%6.7%22.3%6.2%22.4%4.5%2.4%1.9M-359.5M-3.1M0.604.74N/AN/A8,0934,862138,250133,377
2012-03-22$91.89$95.9724.9%7.1%22.3%9.8%24.7%4.4%2.1%1.3M-286.4M-3.1M0.595.74N/AN/A10,0265,879141,816135,050
2012-03-23$93.69$95.9723.4%6.7%23.8%6.5%24.3%4.0%2.2%-8.9M-381.4M-3.1M0.845.44N/AN/A4,0383,404141,780137,225
2012-03-26$95.17$95.9722.3%6.4%24.5%4.3%22.8%3.0%2.4%7.7M-446.0M-3.0M0.975.03N/AN/A3,8113,693140,499133,911
2012-03-27$94.44$95.9723.4%6.7%24.2%6.7%23.8%3.4%2.0%5.8M-408.8M-3.0M1.186.24N/AN/A3,1723,728141,023135,221
2012-03-28$91.03$95.9725.0%7.2%26.8%10.0%25.5%3.9%2.2%-1.3M-246.0M-3.0M0.735.14N/AN/A8,7116,378141,815136,973
2012-03-29$90.62$95.9725.6%7.3%26.6%11.2%26.6%4.1%2.1%-2.9M-234.8M-2.9M1.355.08N/AN/A6,1398,278142,575139,158
2012-03-30$91.39$93.5724.4%6.9%27.0%8.7%24.8%3.6%3.0%-2.9M-277.6M-2.9M1.056.17N/AN/A3,9694,177143,528142,081