OXY Options History — September 2012

In September 2012, OXY traded between $79.32 and $88.24. ATM implied volatility averaged 25.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.5% (HV 20d: 25.0%). Max pain ranged from $81.57 to $86.37. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2012-09-05: Highest Volume — 2,594,368 contracts
  • 2012-09-10: Largest IV spike — 21.3% change
  • 2012-09-05: Highest IV Rank — 32.5%
  • 2012-09-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.37$79.32$88.24$79.76$82.59
Max Pain$83.22$81.57$86.37$81.57$83.97
ATM IV25.5%22.3%33.1%31.6%24.2%
Expected Move7.1%6.4%8.2%8.2%7.1%
HV 20d25.0%15.9%28.8%19.6%27.3%
HV 60d29.0%25.5%31.6%30.1%25.5%
IV Rank16.4%9.6%32.5%29.4%13.8%
IV Percentile22.0%4.4%61.9%54.0%16.7%
Term Structure1.8%0.9%3.3%1.2%2.5%
VWIV25.4%22.3%29.0%29.0%24.5%
Skew 25d4.7%4.1%5.5%4.6%4.2%
Skew 10d10.0%7.3%12.1%9.1%9.3%
Call IV 25d23.1%20.8%27.0%26.6%22.3%
Put IV 25d27.8%25.2%31.2%31.2%26.5%
Bid-Ask Spread %4.643.596.453.594.90
Gamma HHI0.120.080.360.080.10
Net GEX6.6M-1.3M24.7M-384.5K2.0M
Net DEX-293.7M-540.2M-51.3M-70.4M-268.6M
Net VEX-2.2M-2.3M-2.1M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.003.220.660.99
Total Volume151,184.4215,1462,594,36811,7005,381
Total OI256,542.211235,085278,268235,085269,355

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$79.76$81.5731.6%8.2%19.6%29.4%29.0%4.6%1.2%-384.5K-70.4M-2.2M0.663.59N/AN/A7,0354,665129,594105,491
2012-09-05$79.32$81.5733.1%8.1%15.9%32.5%27.8%4.1%0.9%-1.3M-51.3M-2.2M0.004.48N/AN/A2,586,1008,268130,889107,743
2012-09-06$80.90$81.5726.5%7.2%17.9%18.5%25.7%4.4%1.6%3.0M-146.4M-2.2M0.523.89N/AN/A14,6957,578133,899111,678
2012-09-07$83.64$81.5722.7%7.1%22.2%10.6%26.4%5.5%1.6%8.6M-299.6M-2.3M0.633.68N/AN/A9,1705,791139,043115,981
2012-09-10$82.84$81.5727.5%7.2%21.9%20.8%27.1%5.4%1.2%6.2M-232.4M-2.2M1.535.35N/AN/A2,5583,905134,173112,497
2012-09-11$82.96$81.5729.1%7.1%21.5%24.3%26.4%5.4%1.3%6.7M-237.7M-2.2M0.393.69N/AN/A3,6921,454135,018113,544
2012-09-12$83.36$81.5723.5%7.1%21.6%12.4%24.6%5.3%1.4%9.5M-265.4M-2.2M0.623.89N/AN/A5,1763,218136,622114,019
2012-09-13$86.81$81.5724.1%6.9%26.1%13.5%25.0%5.1%1.1%14.6M-452.6M-2.2M1.044.52N/AN/A12,48212,998137,718115,422
2012-09-14$88.24$81.5723.9%6.9%26.6%13.2%24.3%4.8%1.4%13.8M-540.2M-2.2M0.575.39N/AN/A16,3869,310138,538118,393
2012-09-17$86.43$83.9725.7%7.4%27.7%16.9%26.3%5.0%1.2%10.5M-409.8M-2.2M0.375.34N/AN/A29,90211,209135,479116,670
2012-09-18$85.65$86.3724.6%7.0%27.9%14.5%24.4%4.8%1.5%7.4M-492.4M-2.3M0.876.45N/AN/A3,4703,033154,178124,090
2012-09-19$83.94$86.3725.0%7.2%28.8%15.4%25.7%4.6%1.7%5.7M-351.0M-2.2M0.994.92N/AN/A6,1696,081149,600123,179
2012-09-20$84.07$86.3724.3%7.0%28.6%13.9%23.8%4.5%2.2%6.1M-364.4M-2.2M1.285.64N/AN/A8,44610,818151,629125,398
2012-09-21$83.87$83.9722.4%6.4%27.9%10.0%22.3%4.4%2.8%24.7M-326.8M-2.1M0.464.13N/AN/A14,5006,665151,605124,545
2012-09-24$83.31$83.9722.3%6.4%27.9%9.6%22.6%4.4%3.3%3.5M-308.2M-2.1M0.734.26N/AN/A6,2084,563134,444108,739
2012-09-25$81.89$83.9724.9%7.2%28.4%15.3%25.4%4.8%2.6%1.8M-248.0M-2.1M1.243.83N/AN/A9,58711,846137,575111,471
2012-09-26$81.58$83.9725.1%7.2%28.5%15.6%25.4%4.7%2.7%711.1K-232.5M-2.2M3.225.47N/AN/A2,9359,451141,977117,830
2012-09-27$82.78$83.9723.5%6.7%28.6%12.2%25.2%4.3%2.8%3.0M-282.2M-2.3M1.234.81N/AN/A3,4854,274142,797123,479
2012-09-28$82.59$83.9724.2%7.1%27.3%13.8%24.5%4.2%2.5%2.0M-268.6M-2.3M0.994.90N/AN/A2,7012,680143,681125,674