OXY Options History — June 2012

In June 2012, OXY traded between $74.21 and $82.31. ATM implied volatility averaged 31.4%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.5% (HV 20d: 29.9%). Max pain ranged from $76.78 to $79.17. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2012-06-18: Highest Volume — 20,438 contracts
2012-06-06: Largest IV drop — 25.3% change
2012-06-01: Highest IV Rank — 43.6%
2012-06-01: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.95	$74.21	$82.31	$75.40	$82.31
Max Pain	$76.89	$76.78	$79.17	$79.17	$76.78
ATM IV	31.4%	23.8%	41.4%	41.4%	23.8%
Expected Move	9.0%	7.3%	10.9%	10.9%	7.7%
HV 20d	29.9%	24.1%	39.9%	24.1%	39.9%
HV 60d	27.7%	25.9%	31.2%	25.9%	31.2%
IV Rank	23.1%	7.6%	43.6%	43.6%	7.6%
IV Percentile	42.3%	9.5%	76.6%	76.6%	9.5%
Term Structure	1.6%	0.6%	3.0%	1.1%	3.0%
VWIV	31.8%	27.7%	37.5%	37.5%	28.0%
Skew 25d	7.3%	4.8%	9.4%	8.7%	4.8%
Skew 10d	14.2%	11.8%	18.4%	18.4%	11.8%
Call IV 25d	28.6%	22.8%	35.0%	35.0%	24.6%
Put IV 25d	35.8%	29.4%	43.7%	43.7%	29.4%
Bid-Ask Spread %	4.57	2.34	12.42	5.92	12.42
Gamma HHI	0.12	0.08	0.38	0.08	0.11
Net GEX	2.4M	-3.1M	14.1M	-2.4M	5.3M
Net DEX	-127.9M	-278.2M	76.5M	23.1M	-253.2M
Net VEX	-2.6M	-2.8M	-2.4M	-2.6M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.34	2.03	0.70	0.91
Total Volume	12,936.238	5,748	20,438	15,289	18,198
Total OI	260,690.667	235,553	278,869	254,163	259,906

Daily Data (21 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
2012-06-01	$75.40	$79.17	41.4%	10.9%	24.1%	43.6%	37.5%	8.7%	1.1%	-2.4M	23.1M	-2.6M	0.70	5.92	N/A	N/A	9,010	6,279	142,129	112,034
2012-06-04	$76.93	$76.78	41.1%	10.7%	25.1%	42.9%	37.0%	9.4%	0.7%	-1.0M	-36.7M	-2.7M	0.69	2.54	N/A	N/A	9,896	6,819	143,220	111,731
2012-06-05	$77.91	$76.78	38.7%	10.2%	25.9%	38.1%	34.7%	8.6%	1.0%	617.3K	-83.4M	-2.7M	0.52	2.60	N/A	N/A	11,004	5,706	148,188	113,604
2012-06-06	$81.16	$76.78	28.9%	8.9%	30.3%	18.0%	30.8%	7.7%	1.5%	5.4M	-234.1M	-2.8M	0.57	2.47	N/A	N/A	11,543	6,547	151,281	115,826
2012-06-07	$81.52	$76.78	30.3%	9.2%	28.2%	20.9%	31.0%	7.4%	1.1%	5.6M	-261.6M	-2.8M	0.56	2.34	N/A	N/A	12,956	7,294	153,692	117,342
2012-06-08	$81.62	$76.78	28.7%	8.8%	28.0%	17.6%	33.2%	6.8%	1.5%	10.6M	-266.9M	-2.7M	1.89	2.73	N/A	N/A	3,097	5,841	155,616	120,008
2012-06-11	$79.81	$76.78	34.8%	9.7%	28.7%	30.1%	32.5%	7.6%	0.6%	2.1M	-170.3M	-2.7M	1.37	2.99	N/A	N/A	3,915	5,354	153,362	117,440
2012-06-12	$80.21	$76.78	31.5%	9.4%	27.2%	23.4%	33.0%	7.6%	1.0%	2.5M	-181.3M	-2.6M	1.17	2.94	N/A	N/A	3,978	4,641	154,409	118,878
2012-06-13	$79.91	$76.78	31.0%	9.7%	25.9%	22.3%	33.6%	8.4%	1.1%	2.6M	-171.7M	-2.7M	1.36	2.80	N/A	N/A	5,137	7,011	155,497	119,551
2012-06-14	$80.12	$76.78	33.3%	9.6%	25.6%	27.0%	32.8%	8.0%	1.1%	2.6M	-177.4M	-2.6M	0.55	3.45	N/A	N/A	4,992	2,751	155,844	122,166
2012-06-15	$81.80	$76.78	28.9%	8.3%	26.1%	17.9%	27.8%	7.9%	2.1%	14.1M	-278.2M	-2.6M	0.34	4.24	N/A	N/A	10,311	3,477	156,692	122,177
2012-06-18	$80.43	$76.78	26.5%	7.6%	26.9%	12.9%	27.9%	7.7%	2.1%	3.0M	-185.3M	-2.5M	0.70	4.00	N/A	N/A	12,054	8,384	135,416	100,137
2012-06-19	$80.62	$76.78	25.9%	7.4%	26.5%	11.7%	27.7%	7.4%	2.6%	3.2M	-231.1M	-2.5M	0.94	3.86	N/A	N/A	7,541	7,116	142,037	103,290
2012-06-20	$81.01	$76.78	25.4%	7.3%	26.5%	10.6%	27.8%	6.9%	2.8%	4.2M	-223.6M	-2.6M	2.03	3.74	N/A	N/A	1,900	3,848	143,449	107,781
2012-06-21	$76.07	$76.78	31.1%	8.9%	35.1%	22.4%	31.5%	7.5%	1.6%	-2.0M	22.7M	-2.5M	0.89	6.58	N/A	N/A	10,074	8,981	136,456	108,670
2012-06-22	$76.29	$76.78	30.7%	8.8%	35.1%	21.5%	32.3%	6.8%	2.1%	-1.3M	13.9M	-2.5M	0.77	5.40	N/A	N/A	7,365	5,654	140,157	114,086
2012-06-25	$74.21	$76.78	33.3%	9.5%	36.3%	27.0%	33.1%	6.3%	1.1%	-3.1M	76.5M	-2.4M	0.79	3.49	N/A	N/A	5,103	4,027	138,762	113,352
2012-06-26	$75.84	$76.78	32.0%	9.2%	36.2%	24.3%	32.9%	5.8%	1.3%	-1.3M	18.4M	-2.5M	0.45	5.38	N/A	N/A	4,661	2,113	139,732	114,932
2012-06-27	$77.05	$76.78	31.1%	8.9%	35.0%	22.5%	31.5%	5.8%	2.0%	-109.9K	-34.1M	-2.5M	1.76	7.24	N/A	N/A	3,765	6,618	140,471	115,299
2012-06-28	$77.68	$76.78	30.9%	8.9%	34.8%	22.1%	31.4%	5.6%	2.2%	1.0M	-52.1M	-2.6M	0.80	8.77	N/A	N/A	3,716	2,984	141,013	118,871
2012-06-29	$82.31	$76.78	23.8%	7.7%	39.9%	7.6%	28.0%	4.8%	3.0%	5.3M	-253.2M	-2.7M	0.91	12.42	N/A	N/A	9,516	8,682	141,431	118,475