OXY Options History — April 2012

In April 2012, OXY traded between $83.74 and $93.55. ATM implied volatility averaged 28.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.7% (HV 20d: 28.2%). Max pain ranged from $71.98 to $93.57. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-04-26: Highest Volume — 18,341 contracts
  • 2012-04-30: Largest IV spike — 28.0% change
  • 2012-04-10: Highest IV Rank — 31.6%
  • 2012-04-13: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.00$83.74$93.55$93.55$87.54
Max Pain$78.21$71.98$93.57$93.57$76.78
ATM IV28.9%21.7%35.5%26.2%27.8%
Expected Move8.1%6.3%9.3%6.7%7.1%
HV 20d28.2%25.9%30.9%28.8%25.9%
HV 60d24.5%23.7%25.4%23.7%24.6%
IV Rank17.9%3.2%31.6%12.4%15.7%
IV Percentile35.7%1.6%62.7%22.2%26.2%
Term Structure0.7%-0.5%2.5%2.3%1.8%
VWIV28.8%23.9%33.4%23.9%26.0%
Skew 25d5.1%2.8%6.4%3.4%5.7%
Skew 10d11.7%6.5%15.7%11.0%15.4%
Call IV 25d26.7%21.1%30.3%22.8%22.5%
Put IV 25d31.7%25.7%36.4%26.2%28.2%
Bid-Ask Spread %5.004.117.125.865.10
Gamma HHI0.090.080.110.110.09
Net GEX-5.2M-9.8M3.8M3.8M-5.3M
Net DEX-116.9M-367.5M33.6M-367.5M-171.6M
Net VEX-2.5M-3.0M-2.3M-2.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.371.600.801.59
Total Volume10,192.94,44818,34110,7954,798
Total OI288,509.8263,802306,201280,084279,827

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$93.55$93.5726.2%6.7%28.8%12.4%23.9%3.4%2.3%3.8M-367.5M-2.9M0.805.86N/AN/A5,9894,806142,466137,618
2012-04-03$92.58$93.5725.4%6.8%27.8%10.8%24.6%2.8%2.2%1.9M-317.9M-3.0M1.005.73N/AN/A3,7193,725143,903139,185
2012-04-04$90.61$93.5728.4%7.3%28.5%16.9%26.7%3.2%1.9%-1.2M-238.2M-2.9M1.345.18N/AN/A4,0665,433144,746141,182
2012-04-05$89.53$93.5724.9%7.5%28.2%9.7%25.9%3.2%2.5%-3.4M-193.6M-2.8M0.974.81N/AN/A4,0873,980145,120144,323
2012-04-09$87.70$71.9831.4%8.6%28.8%23.0%30.3%5.5%0.0%-6.7M-105.3M-2.7M0.934.74N/AN/A6,7156,217145,088143,950
2012-04-10$86.00$74.3835.5%9.1%28.6%31.6%33.0%5.9%-0.1%-7.9M-44.0M-2.7M0.664.11N/AN/A5,9743,949145,656145,945
2012-04-11$85.23$74.3829.8%8.9%27.6%19.7%33.4%6.4%-0.0%-9.5M-3.6M-2.6M0.724.58N/AN/A5,4273,894145,415147,247
2012-04-12$87.45$71.9830.4%8.7%29.7%21.1%28.6%5.7%0.5%-7.1M-100.6M-2.6M0.375.38N/AN/A11,0004,108146,280146,592
2012-04-13$85.00$71.9832.5%9.3%30.9%25.3%32.2%5.9%-0.4%-8.4M-10.0M-2.5M1.314.89N/AN/A5,6287,398151,459148,163
2012-04-16$83.74$74.3832.2%9.2%29.9%24.6%31.7%6.1%-0.2%-9.8M33.6M-2.4M0.874.27N/AN/A5,9275,184150,572149,461
2012-04-17$85.15$74.3831.8%9.1%30.5%23.8%31.1%6.1%-0.5%-9.2M-13.2M-2.5M0.444.39N/AN/A5,4632,378151,392151,393
2012-04-18$84.42$74.3831.4%9.0%28.6%23.0%32.3%6.0%-0.0%-9.1M9.9M-2.4M1.604.48N/AN/A1,7102,738152,282151,863
2012-04-19$84.66$74.3830.7%8.8%28.7%21.6%30.0%5.7%0.7%-7.7M-1.6M-2.4M0.514.36N/AN/A4,6032,337152,588152,178
2012-04-20$85.04$74.3829.5%8.5%28.3%19.1%29.4%5.5%1.1%-5.6M-13.6M-2.4M1.244.73N/AN/A4,1355,108153,539152,662
2012-04-23$84.38$74.3830.4%8.7%27.0%21.1%31.1%5.8%-0.4%-6.1M-72.1M-2.3M0.584.41N/AN/A5,0952,931136,948126,854
2012-04-24$84.66$74.3829.1%8.3%26.0%18.3%29.1%5.2%-0.3%-5.5M-94.4M-2.3M0.685.82N/AN/A4,6963,176139,238128,468
2012-04-25$86.48$74.3826.4%7.6%27.7%12.8%27.4%4.5%0.0%-3.2M-168.3M-2.4M0.887.12N/AN/A9,2258,152142,321130,044
2012-04-26$88.20$76.7822.7%6.5%26.2%5.2%24.0%3.8%1.5%156.4K-252.4M-2.4M0.835.26N/AN/A10,0058,336145,891134,344
2012-04-27$88.04$76.7821.7%6.3%26.2%3.2%25.3%5.3%2.3%-4.2M-214.5M-2.4M1.064.84N/AN/A5,6996,047146,344137,649
2012-04-30$87.54$76.7827.8%7.1%25.9%15.7%26.0%5.7%1.8%-5.3M-171.6M-2.4M1.595.10N/AN/A1,8542,944142,895136,932