OXY Options History — May 2012

In May 2012, OXY traded between $75.50 and $89.15. ATM implied volatility averaged 32.3%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 7.2% (HV 20d: 25.1%). Max pain ranged from $76.78 to $88.77. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2012-05-17: Highest Volume — 88,031 contracts
2012-05-30: Largest IV spike — 25.9% change
2012-05-30: Highest IV Rank — 43.9%
2012-05-17: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.15	$75.50	$89.15	$89.15	$76.07
Max Pain	$82.45	$76.78	$88.77	$76.78	$79.17
ATM IV	32.3%	24.6%	41.5%	24.6%	35.6%
Expected Move	9.1%	6.7%	11.4%	6.8%	9.9%
HV 20d	25.1%	22.7%	27.1%	25.3%	25.2%
HV 60d	24.7%	23.1%	26.2%	23.3%	26.0%
IV Rank	24.9%	9.2%	43.9%	9.2%	31.7%
IV Percentile	49.2%	11.1%	77.8%	11.1%	61.5%
Term Structure	0.9%	-1.0%	2.7%	1.9%	1.4%
VWIV	32.3%	23.6%	39.8%	24.1%	35.0%
Skew 25d	6.7%	4.1%	8.5%	4.1%	8.3%
Skew 10d	14.2%	11.5%	19.6%	12.0%	16.3%
Call IV 25d	29.5%	22.6%	36.7%	22.9%	32.8%
Put IV 25d	36.2%	26.9%	44.2%	27.0%	41.2%
Bid-Ask Spread %	5.53	4.08	7.92	5.33	6.47
Gamma HHI	0.12	0.07	0.46	0.09	0.09
Net GEX	-6.1M	-15.1M	685.9K	-2.4M	-2.6M
Net DEX	-11.8M	-244.8M	222.3M	-244.8M	4.6M
Net VEX	-2.3M	-2.7M	-1.9M	-2.4M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.13	1.96	0.68	0.79
Total Volume	17,702.818	6,475	88,031	15,851	10,466
Total OI	284,601.636	223,115	392,667	282,608	250,644

Daily Data (22 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
2012-05-01	$89.15	$76.78	24.6%	6.8%	25.3%	9.2%	24.1%	4.1%	1.9%	-2.4M	-244.8M	-2.4M	0.68	5.33	N/A	N/A	9,445	6,406	144,095	138,513
2012-05-02	$88.66	$76.78	26.0%	6.7%	25.2%	12.1%	23.6%	4.3%	2.3%	-1.9M	-230.7M	-2.4M	0.53	4.25	N/A	N/A	4,821	2,577	148,754	141,443
2012-05-03	$86.20	$76.78	25.6%	7.1%	25.9%	11.1%	25.6%	5.2%	2.1%	-6.3M	-110.8M	-2.3M	0.94	5.07	N/A	N/A	4,663	4,394	151,325	140,820
2012-05-04	$84.34	$88.77	27.9%	8.3%	26.6%	15.9%	29.0%	5.9%	0.1%	-7.8M	-47.4M	-2.2M	1.33	5.16	N/A	N/A	5,454	7,278	151,009	143,081
2012-05-07	$84.17	$88.77	30.0%	8.3%	25.8%	20.3%	30.1%	6.1%	0.1%	-8.4M	-28.0M	-2.2M	1.04	4.95	N/A	N/A	4,813	4,983	152,359	140,216
2012-05-08	$83.43	$86.37	31.3%	8.4%	25.1%	22.8%	29.4%	6.0%	0.4%	-8.4M	-15.7M	-2.1M	1.36	4.95	N/A	N/A	4,979	6,756	153,998	142,709
2012-05-09	$80.88	$86.37	30.3%	8.9%	27.1%	20.9%	31.7%	6.3%	0.1%	-10.7M	81.3M	-2.0M	1.01	5.82	N/A	N/A	6,310	6,381	155,073	144,488
2012-05-10	$81.59	$86.37	30.3%	8.7%	25.4%	20.9%	30.7%	5.9%	0.4%	-10.5M	58.1M	-2.1M	0.87	5.72	N/A	N/A	7,432	6,472	156,751	146,781
2012-05-11	$80.38	$86.37	29.9%	8.6%	24.0%	20.0%	31.6%	5.8%	1.0%	-10.9M	102.1M	-2.0M	1.96	4.76	N/A	N/A	3,028	5,934	158,654	149,531
2012-05-14	$78.37	$86.37	33.2%	9.5%	25.0%	26.7%	33.5%	6.3%	-0.2%	-11.8M	163.5M	-1.9M	1.03	4.08	N/A	N/A	9,753	10,007	157,550	148,230
2012-05-15	$76.68	$83.97	35.1%	10.1%	24.7%	30.6%	36.8%	6.7%	0.2%	-11.9M	210.8M	-1.9M	1.10	6.07	N/A	N/A	12,294	13,501	162,967	152,747
2012-05-16	$76.04	$83.97	35.6%	10.2%	24.6%	31.7%	36.2%	7.1%	0.6%	-10.5M	215.6M	-2.1M	1.28	5.21	N/A	N/A	9,533	12,180	170,718	156,573
2012-05-17	$75.50	$83.97	39.8%	11.4%	24.5%	40.4%	39.8%	7.5%	-1.0%	-9.6M	222.3M	-2.1M	0.13	6.35	N/A	N/A	77,662	10,369	173,846	159,145
2012-05-18	$76.44	$81.57	38.2%	11.0%	25.1%	37.1%	39.4%	7.4%	0.4%	-15.1M	-196.0M	-2.6M	1.23	7.92	N/A	N/A	11,315	13,914	231,954	160,713
2012-05-21	$77.61	$81.57	33.7%	9.7%	26.1%	27.8%	34.0%	7.6%	0.1%	-2.2M	-41.6M	-2.5M	0.35	6.02	N/A	N/A	11,504	4,080	126,011	97,104
2012-05-22	$77.58	$81.57	33.5%	9.6%	26.0%	27.5%	32.9%	7.8%	0.7%	-843.3K	-53.1M	-2.6M	0.52	5.59	N/A	N/A	12,956	6,760	131,521	99,082
2012-05-23	$77.84	$81.57	33.6%	9.6%	24.4%	27.6%	33.6%	8.5%	1.4%	-62.5K	-61.8M	-2.6M	0.83	6.91	N/A	N/A	12,365	10,207	135,216	101,605
2012-05-24	$78.10	$79.17	31.5%	9.0%	22.8%	23.2%	33.1%	7.7%	2.7%	685.9K	-79.2M	-2.7M	1.00	4.72	N/A	N/A	5,834	5,863	139,399	105,448
2012-05-25	$77.75	$79.17	30.2%	9.3%	22.7%	20.7%	33.0%	7.6%	1.9%	-1.1M	-64.5M	-2.7M	1.39	6.11	N/A	N/A	2,713	3,762	140,784	107,507
2012-05-29	$79.55	$79.17	33.0%	8.8%	25.0%	26.3%	31.7%	7.2%	1.8%	27	-113.0M	-2.7M	0.65	5.33	N/A	N/A	6,329	4,133	138,313	106,536
2012-05-30	$77.05	$79.17	41.5%	10.0%	25.2%	43.9%	35.2%	8.1%	0.7%	-1.7M	-30.3M	-2.6M	0.84	4.98	N/A	N/A	5,355	4,481	140,050	107,973
2012-05-31	$76.07	$79.17	35.6%	9.9%	25.2%	31.7%	35.0%	8.3%	1.4%	-2.6M	4.6M	-2.6M	0.79	6.47	N/A	N/A	5,862	4,604	140,654	109,990