OXY Options History — November 2012

In November 2012, OXY traded between $70.83 and $76.37. ATM implied volatility averaged 25.4%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.1% (HV 20d: 23.3%). Max pain ranged from $62.38 to $76.78. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2012-11-16: Highest Volume — 41,261 contracts
2012-11-05: Largest IV spike — 20.5% change
2012-11-05: Highest IV Rank — 58.2%
2012-11-08: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.05	$70.83	$76.37	$75.87	$72.18
Max Pain	$74.38	$62.38	$76.78	$62.38	$74.38
ATM IV	25.4%	20.3%	34.9%	27.2%	21.9%
Expected Move	7.1%	5.8%	7.8%	7.3%	6.2%
HV 20d	23.3%	20.4%	25.4%	23.3%	20.8%
HV 60d	23.5%	22.3%	24.2%	23.2%	23.5%
IV Rank	26.4%	9.8%	58.2%	32.0%	15.7%
IV Percentile	27.6%	1.2%	82.1%	41.3%	5.2%
Term Structure	0.7%	-0.4%	1.7%	-0.0%	1.1%
VWIV	25.0%	21.5%	27.9%	26.4%	21.5%
Skew 25d	3.5%	2.3%	4.3%	2.6%	3.6%
Skew 10d	6.8%	3.8%	8.3%	5.0%	7.2%
Call IV 25d	23.5%	20.0%	26.3%	25.2%	20.5%
Put IV 25d	27.1%	23.2%	30.2%	27.8%	24.2%
Bid-Ask Spread %	5.59	2.96	9.03	4.99	6.47
Gamma HHI	0.19	0.12	0.28	0.12	0.26
Net GEX	-11.3M	-14.0M	-7.0M	-7.0M	-12.6M
Net DEX	203.1M	8.4M	346.4M	29.0M	326.2M
Net VEX	-1.8M	-1.9M	-1.6M	-1.8M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.25	2.31	0.44	0.50
Total Volume	13,651.619	5,858	41,261	10,362	9,711
Total OI	276,339.952	217,478	340,937	294,758	243,518

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
2012-11-01	$75.87	$62.38	27.2%	7.3%	23.3%	32.0%	26.4%	2.6%	-0.0%	-7.0M	29.0M	-1.8M	0.44	4.99	N/A	N/A	7,181	3,181	149,869	144,889
2012-11-02	$75.17	$62.38	29.0%	7.7%	22.9%	38.1%	26.8%	2.3%	-0.4%	-10.2M	54.0M	-1.8M	0.95	9.03	N/A	N/A	6,997	6,643	153,928	145,357
2012-11-05	$74.69	$76.78	34.9%	7.7%	21.1%	58.2%	27.5%	4.3%	-0.4%	-11.8M	84.9M	-1.7M	1.38	4.85	N/A	N/A	5,384	7,424	151,014	147,923
2012-11-06	$76.37	$76.78	34.3%	7.4%	23.2%	56.1%	27.2%	3.9%	-0.2%	-10.5M	8.4M	-1.8M	0.84	6.59	N/A	N/A	7,339	6,156	152,447	150,816
2012-11-07	$74.33	$76.78	27.5%	7.8%	24.6%	33.0%	27.2%	4.0%	0.0%	-13.3M	104.4M	-1.8M	0.97	5.41	N/A	N/A	4,670	4,533	153,576	151,294
2012-11-08	$73.33	$76.78	26.5%	7.8%	24.8%	29.6%	27.5%	3.9%	0.2%	-14.0M	147.4M	-1.7M	0.79	4.97	N/A	N/A	7,422	5,883	155,141	152,734
2012-11-09	$73.56	$76.78	25.2%	7.7%	24.6%	25.2%	26.4%	4.0%	0.4%	-12.6M	143.6M	-1.7M	0.59	5.23	N/A	N/A	5,517	3,243	157,829	153,834
2012-11-12	$73.45	$76.78	24.9%	7.4%	24.4%	24.3%	26.7%	3.4%	0.7%	-13.3M	142.8M	-1.7M	2.05	4.97	N/A	N/A	3,062	6,286	157,387	152,088
2012-11-13	$71.84	$76.78	25.2%	7.4%	25.2%	26.0%	25.5%	3.4%	0.6%	-13.8M	214.4M	-1.6M	0.48	2.96	N/A	N/A	7,704	3,729	157,264	153,138
2012-11-14	$70.99	$76.78	27.3%	7.8%	25.4%	33.2%	27.9%	4.1%	0.5%	-13.0M	232.0M	-1.6M	0.47	4.22	N/A	N/A	20,227	9,474	159,409	153,922
2012-11-15	$70.94	$76.78	27.0%	7.7%	24.0%	32.2%	27.6%	4.0%	0.6%	-12.1M	49.0M	-1.6M	0.25	4.89	N/A	N/A	25,860	6,436	185,222	155,715
2012-11-16	$70.83	$76.78	25.6%	7.3%	22.5%	27.2%	25.7%	3.6%	1.1%	-9.1M	232.3M	-1.6M	2.31	5.06	N/A	N/A	12,468	28,793	161,631	157,218
2012-11-19	$72.42	$74.38	23.1%	6.6%	24.0%	18.7%	22.7%	3.7%	1.0%	-10.6M	321.8M	-1.9M	0.50	6.92	N/A	N/A	11,939	5,951	84,707	132,771
2012-11-20	$71.85	$74.38	22.2%	6.4%	23.8%	15.5%	22.7%	3.8%	1.5%	-11.2M	346.4M	-1.9M	0.72	4.40	N/A	N/A	3,951	2,842	89,608	136,002
2012-11-21	$72.08	$74.38	22.3%	6.4%	23.5%	16.0%	22.3%	3.4%	1.5%	-9.7M	335.1M	-1.9M	0.44	4.56	N/A	N/A	5,404	2,368	91,398	137,587
2012-11-23	$73.10	$74.38	22.1%	6.3%	23.9%	15.0%	22.3%	3.5%	1.2%	-10.4M	292.3M	-1.9M	0.74	5.26	N/A	N/A	3,370	2,488	94,297	138,544
2012-11-26	$72.21	$74.38	22.5%	6.5%	24.0%	16.6%	22.8%	3.8%	1.2%	-11.1M	323.4M	-1.9M	1.08	6.38	N/A	N/A	3,439	3,729	93,781	136,906
2012-11-27	$72.44	$74.38	22.4%	6.4%	22.2%	16.2%	22.6%	2.8%	1.1%	-11.0M	312.8M	-1.9M	0.48	6.34	N/A	N/A	4,357	2,083	95,620	138,511
2012-11-28	$73.13	$74.38	22.3%	6.4%	21.2%	15.8%	23.0%	3.0%	1.2%	-9.4M	279.8M	-1.9M	0.81	6.70	N/A	N/A	4,526	3,673	97,975	138,699
2012-11-29	$73.19	$74.38	20.3%	5.8%	20.4%	9.8%	22.2%	3.2%	1.7%	-9.9M	284.6M	-1.9M	0.98	7.24	N/A	N/A	5,686	5,555	99,317	140,253
2012-11-30	$72.18	$74.38	21.9%	6.2%	20.8%	15.7%	21.5%	3.6%	1.1%	-12.6M	326.2M	-1.9M	0.50	6.47	N/A	N/A	6,484	3,227	101,178	142,340