OXY Options History — August 2012

In August 2012, OXY traded between $80.88 and $87.72. ATM implied volatility averaged 24.9%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.3% (HV 20d: 27.2%). Max pain ranged from $81.57 to $83.97. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.78.

Notable Days

2012-08-07: Highest Volume — 18,283 contracts
2012-08-16: Largest IV spike — 28.1% change
2012-08-01: Highest IV Rank — 38.1%
2012-08-01: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.80	$80.88	$87.72	$84.28	$81.58
Max Pain	$82.83	$81.57	$83.97	$81.57	$81.57
ATM IV	24.9%	17.7%	38.7%	38.7%	23.5%
Expected Move	7.1%	6.3%	8.3%	8.3%	7.3%
HV 20d	27.2%	18.2%	30.2%	27.4%	18.2%
HV 60d	31.3%	29.7%	32.4%	31.6%	29.8%
IV Rank	12.9%	0.0%	38.1%	38.1%	12.2%
IV Percentile	15.9%	0.0%	66.3%	66.3%	10.7%
Term Structure	2.1%	-0.4%	4.0%	-0.4%	2.4%
VWIV	25.4%	22.1%	29.8%	29.8%	26.6%
Skew 25d	5.8%	4.7%	6.2%	5.7%	5.2%
Skew 10d	11.9%	9.3%	13.5%	12.9%	10.1%
Call IV 25d	22.5%	19.5%	27.1%	27.1%	23.7%
Put IV 25d	28.3%	25.6%	32.8%	32.8%	28.9%
Bid-Ask Spread %	4.93	3.91	5.91	5.73	4.90
Gamma HHI	0.13	0.08	0.31	0.12	0.08
Net GEX	10.1M	-179.1K	22.2M	10.6M	1.6M
Net DEX	-340.2M	-556.4M	-113.0M	-330.5M	-145.3M
Net VEX	-2.4M	-2.8M	-2.2M	-2.8M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.39	1.68	0.39	0.54
Total Volume	8,600.435	3,930	18,283	5,122	10,213
Total OI	268,625.913	204,523	309,334	294,409	236,424

Daily Data (23 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
2012-08-01	$84.28	$81.57	38.7%	8.3%	27.4%	38.1%	29.8%	5.7%	-0.4%	10.6M	-330.5M	-2.8M	0.39	5.73	N/A	N/A	3,681	1,441	163,619	130,790
2012-08-02	$82.20	$81.57	30.1%	8.3%	28.1%	20.4%	29.6%	4.8%	0.1%	7.5M	-205.6M	-2.6M	1.20	4.70	N/A	N/A	3,582	4,308	164,761	131,118
2012-08-03	$85.00	$81.57	25.9%	7.5%	30.1%	11.8%	27.8%	4.7%	1.2%	13.8M	-391.0M	-2.6M	1.68	4.55	N/A	N/A	3,281	5,528	165,082	132,821
2012-08-06	$84.70	$81.57	29.1%	7.8%	30.1%	18.4%	28.2%	6.1%	1.1%	12.6M	-357.3M	-2.5M	0.92	4.78	N/A	N/A	3,699	3,397	163,973	130,294
2012-08-07	$87.08	$81.57	29.3%	7.7%	30.0%	18.8%	26.3%	5.9%	1.2%	13.9M	-495.8M	-2.5M	0.86	5.52	N/A	N/A	9,809	8,474	164,346	130,821
2012-08-08	$87.47	$83.97	25.6%	7.6%	29.6%	12.0%	25.7%	5.9%	1.2%	14.9M	-529.5M	-2.6M	0.59	5.91	N/A	N/A	3,202	1,899	168,811	134,418
2012-08-09	$86.86	$83.97	23.9%	7.3%	29.6%	8.3%	23.4%	6.1%	1.8%	16.6M	-501.7M	-2.6M	0.83	5.22	N/A	N/A	2,801	2,333	169,698	135,039
2012-08-10	$87.72	$83.97	20.4%	6.6%	29.3%	0.5%	22.7%	6.0%	2.9%	15.8M	-556.4M	-2.5M	0.58	5.50	N/A	N/A	4,292	2,473	170,523	135,229
2012-08-13	$86.42	$83.97	23.4%	6.9%	30.0%	7.3%	24.5%	6.1%	2.5%	18.5M	-489.3M	-2.3M	1.01	4.52	N/A	N/A	3,017	3,050	170,961	133,744
2012-08-14	$86.27	$83.97	21.8%	6.9%	29.8%	3.7%	25.4%	6.2%	2.5%	21.4M	-478.1M	-2.4M	0.54	5.28	N/A	N/A	6,491	3,518	172,494	134,402
2012-08-15	$85.44	$83.97	17.7%	6.6%	30.1%	0.0%	24.8%	6.0%	3.7%	21.1M	-426.8M	-2.4M	0.83	4.31	N/A	N/A	7,215	6,003	172,317	134,799
2012-08-16	$85.66	$83.97	22.7%	6.5%	30.1%	10.6%	23.9%	6.1%	4.0%	22.2M	-425.0M	-2.3M	0.95	4.46	N/A	N/A	6,327	6,021	169,921	134,828
2012-08-17	$85.13	$83.97	23.2%	6.6%	30.2%	11.6%	22.1%	6.2%	3.5%	6.3M	-392.2M	-2.3M	0.58	5.44	N/A	N/A	4,656	2,719	171,508	137,826
2012-08-20	$85.05	$83.97	22.8%	6.5%	28.5%	10.7%	23.9%	6.1%	1.7%	3.6M	-263.3M	-2.2M	0.94	5.40	N/A	N/A	6,631	6,263	112,230	92,293
2012-08-21	$84.58	$83.97	23.7%	6.8%	28.0%	12.7%	24.1%	6.2%	2.1%	3.5M	-253.5M	-2.3M	0.74	4.63	N/A	N/A	8,284	6,092	116,818	96,542
2012-08-22	$85.25	$83.97	21.9%	6.3%	28.0%	8.8%	22.1%	6.1%	2.8%	5.3M	-287.9M	-2.4M	0.45	4.54	N/A	N/A	4,195	1,899	121,009	100,623
2012-08-23	$83.74	$83.97	24.2%	6.9%	24.3%	13.7%	25.6%	5.8%	2.4%	2.6M	-222.7M	-2.4M	0.49	5.18	N/A	N/A	6,054	2,983	122,667	101,495
2012-08-24	$84.36	$81.57	23.8%	6.8%	23.8%	12.9%	25.4%	5.8%	2.4%	5.9M	-267.3M	-2.5M	0.61	3.91	N/A	N/A	3,899	2,360	126,267	103,480
2012-08-27	$83.97	$81.57	24.3%	7.0%	23.7%	14.0%	23.9%	5.6%	2.0%	6.1M	-253.0M	-2.5M	0.75	5.15	N/A	N/A	4,647	3,480	126,803	101,835
2012-08-28	$83.93	$81.57	24.6%	7.0%	21.9%	14.6%	26.3%	5.9%	2.2%	5.8M	-247.7M	-2.4M	0.70	4.91	N/A	N/A	2,309	1,621	127,408	103,345
2012-08-29	$82.75	$81.57	26.0%	7.4%	22.2%	17.5%	25.6%	5.7%	1.9%	3.8M	-192.8M	-2.4M	0.60	4.56	N/A	N/A	3,142	1,900	127,695	103,953
2012-08-30	$80.88	$81.57	26.4%	7.6%	21.9%	18.3%	26.1%	5.3%	2.0%	-179.1K	-113.0M	-2.3M	1.21	4.26	N/A	N/A	3,896	4,725	128,341	105,025
2012-08-31	$81.58	$81.57	23.5%	7.3%	18.2%	12.2%	26.6%	5.2%	2.4%	1.6M	-145.3M	-2.3M	0.54	4.90	N/A	N/A	6,626	3,587	129,902	106,522