OXY Options History — July 2012

In July 2012, OXY traded between $79.88 and $85.63. ATM implied volatility averaged 29.4%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 6.5% (HV 20d: 35.8%). Max pain ranged from $76.78 to $81.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-07-27: Highest Volume — 24,356 contracts
  • 2012-07-11: Largest IV drop — 20.1% change
  • 2012-07-31: Highest IV Rank — 33.4%
  • 2012-07-24: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.52$79.88$85.63$82.48$83.52
Max Pain$80.89$76.78$81.57$76.78$81.57
ATM IV29.4%25.5%36.4%25.5%36.4%
Expected Move8.2%7.3%9.6%7.7%8.3%
HV 20d35.8%26.9%40.1%39.5%28.6%
HV 60d31.0%30.4%32.0%31.1%31.6%
IV Rank18.9%10.9%33.4%10.9%33.4%
IV Percentile33.0%15.1%61.1%15.1%61.1%
Term Structure0.8%-0.9%2.5%2.5%-0.3%
VWIV29.5%25.7%33.4%25.7%30.0%
Skew 25d6.2%5.0%7.7%5.4%6.0%
Skew 10d12.9%10.7%16.9%11.3%11.5%
Call IV 25d26.2%23.7%30.3%24.3%27.2%
Put IV 25d32.5%28.7%36.6%29.7%33.2%
Bid-Ask Spread %6.164.699.515.324.74
Gamma HHI0.180.100.580.130.11
Net GEX12.3M2.3M48.1M7.3M6.2M
Net DEX-256.8M-422.1M-110.0M-258.0M-257.2M
Net VEX-2.6M-2.8M-2.4M-2.7M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.431.720.430.75
Total Volume11,489.193,61424,35618,99710,310
Total OI277,777.286258,458290,313258,458282,254

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$82.48$76.7825.5%7.7%39.5%10.9%25.7%5.4%2.5%7.3M-258.0M-2.7M0.435.32N/AN/A13,3135,684143,053115,405
2012-07-03$84.49$76.7826.2%7.3%40.1%12.3%25.8%5.0%2.2%12.5M-405.9M-2.7M0.926.05N/AN/A8,0777,442153,986118,395
2012-07-05$82.98$76.7827.0%7.3%38.3%14.0%27.5%5.4%2.5%10.9M-290.1M-2.7M0.975.08N/AN/A4,5484,396152,365121,313
2012-07-06$81.81$81.5727.7%8.4%38.7%15.4%29.7%7.0%0.9%10.8M-232.6M-2.8M0.665.61N/AN/A3,8442,551155,287123,654
2012-07-09$81.76$81.5731.6%8.5%38.7%23.4%33.4%7.2%1.1%10.0M-218.1M-2.7M1.726.00N/AN/A1,6822,884153,414121,910
2012-07-10$79.88$81.5734.7%9.1%38.7%29.9%31.8%7.4%0.2%5.3M-123.6M-2.6M0.855.93N/AN/A5,9905,107153,992123,240
2012-07-11$81.16$81.5727.7%8.8%39.1%15.5%32.6%7.4%0.4%8.3M-188.5M-2.6M1.235.60N/AN/A3,4564,241154,829125,732
2012-07-12$80.56$81.5730.3%8.7%39.2%20.7%32.2%7.7%0.8%6.7M-151.6M-2.6M1.254.69N/AN/A1,6082,006155,661127,410
2012-07-13$81.89$81.5728.5%8.2%39.6%17.2%29.1%6.5%1.4%12.3M-228.8M-2.6M1.175.88N/AN/A4,0994,794156,065128,010
2012-07-16$82.03$81.5729.3%8.4%38.9%18.8%28.8%6.5%0.7%12.9M-241.3M-2.5M0.736.08N/AN/A6,1874,489155,774126,284
2012-07-17$83.06$81.5727.1%7.8%38.6%14.2%28.5%5.9%1.0%18.1M-299.6M-2.5M0.655.21N/AN/A5,3013,471157,322128,060
2012-07-18$83.44$81.5727.1%7.8%38.6%14.3%27.4%5.7%0.8%22.3M-333.5M-2.5M0.545.46N/AN/A5,1342,753159,349128,359
2012-07-19$83.66$81.5726.6%7.6%38.6%13.3%28.4%5.6%1.1%28.1M-358.8M-2.4M0.506.34N/AN/A5,3382,648159,884128,114
2012-07-20$83.69$81.5726.5%7.6%30.2%13.0%26.4%6.0%1.5%48.1M-336.6M-2.5M0.477.02N/AN/A10,0204,707161,165129,148
2012-07-23$81.54$81.5730.8%8.8%32.1%21.8%31.7%6.7%-0.9%2.7M-160.5M-2.4M0.755.78N/AN/A5,8564,385140,920118,427
2012-07-24$80.36$81.5733.3%9.6%30.7%27.0%32.4%6.4%-0.6%2.3M-111.4M-2.5M0.596.82N/AN/A7,2304,282144,461120,044
2012-07-25$80.15$81.5732.7%9.4%30.1%25.7%32.8%5.6%-0.5%3.0M-110.0M-2.5M1.058.36N/AN/A5,4255,690148,587121,457
2012-07-26$83.80$81.5726.4%7.6%33.3%12.7%28.3%5.5%1.2%8.8M-293.4M-2.6M0.908.39N/AN/A7,7827,035150,151124,437
2012-07-27$85.05$81.5728.6%7.7%33.5%17.4%26.4%5.9%0.6%9.1M-370.6M-2.6M0.439.51N/AN/A17,0707,286153,190126,390
2012-07-30$85.63$81.5732.4%7.7%26.9%25.1%29.8%6.0%0.1%12.5M-422.1M-2.7M0.815.57N/AN/A12,82010,332159,489126,336
2012-07-31$83.52$81.5736.4%8.3%28.6%33.4%30.0%6.0%-0.3%6.2M-257.2M-2.6M0.754.74N/AN/A5,9024,408152,676129,578