OXY Options History — December 2012

In December 2012, OXY traded between $70.61 and $75.83. ATM implied volatility averaged 23.4%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.0% (HV 20d: 18.4%). Max pain ranged from $74.38 to $79.17. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2012-12-21: Highest Volume — 18,178 contracts
2012-12-28: Largest IV spike — 26.0% change
2012-12-04: Highest IV Rank — 48.2%
2012-12-28: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.17	$70.61	$75.83	$70.61	$73.52
Max Pain	$77.14	$74.38	$79.17	$74.38	$76.78
ATM IV	23.4%	19.5%	30.7%	29.2%	26.7%
Expected Move	6.5%	6.0%	7.5%	6.9%	6.8%
HV 20d	18.4%	16.9%	21.8%	21.8%	19.2%
HV 60d	21.3%	20.0%	23.8%	23.8%	21.1%
IV Rank	22.5%	6.9%	48.2%	42.8%	37.8%
IV Percentile	19.8%	0.4%	70.6%	61.5%	51.6%
Term Structure	2.0%	0.3%	3.0%	0.3%	1.4%
VWIV	23.2%	20.9%	27.3%	23.6%	25.3%
Skew 25d	3.9%	2.9%	5.1%	3.6%	4.7%
Skew 10d	8.5%	5.5%	12.5%	7.0%	9.1%
Call IV 25d	21.6%	20.1%	24.6%	22.6%	22.8%
Put IV 25d	25.5%	23.7%	29.3%	26.2%	27.5%
Bid-Ask Spread %	5.71	3.43	9.89	5.97	5.72
Gamma HHI	0.22	0.17	0.38	0.28	0.17
Net GEX	-7.6M	-13.8M	10.2M	-13.8M	-6.8M
Net DEX	240.9M	82.3M	393.2M	393.2M	213.9M
Net VEX	-1.9M	-2.0M	-1.8M	-1.8M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.36	1.70	1.17	0.79
Total Volume	8,988.85	3,987	18,178	9,369	9,401
Total OI	252,865	239,392	270,636	244,462	248,906

Daily Data (20 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
2012-12-03	$70.61	$74.38	29.2%	6.9%	21.8%	42.8%	23.6%	3.6%	0.3%	-13.8M	393.2M	-1.8M	1.17	5.97	N/A	N/A	4,310	5,059	102,243	142,219
2012-12-04	$70.72	$74.38	30.7%	7.0%	21.8%	48.2%	24.1%	3.4%	0.4%	-13.3M	389.2M	-1.9M	0.81	7.43	N/A	N/A	5,633	4,588	103,848	144,634
2012-12-05	$71.49	$74.38	22.9%	6.4%	20.4%	19.3%	24.2%	2.9%	1.0%	-12.1M	356.8M	-1.9M	0.87	9.89	N/A	N/A	4,476	3,878	105,987	146,373
2012-12-06	$71.52	$74.38	22.3%	6.3%	18.4%	17.2%	23.1%	3.0%	1.0%	-11.0M	335.9M	-2.0M	0.76	7.12	N/A	N/A	2,351	1,791	105,689	146,919
2012-12-07	$72.33	$79.17	20.6%	6.6%	18.4%	10.8%	22.9%	3.3%	2.1%	-10.5M	281.9M	-1.9M	0.43	5.98	N/A	N/A	5,210	2,238	105,653	145,911
2012-12-10	$72.31	$79.17	22.8%	6.6%	18.4%	19.0%	23.6%	3.3%	2.1%	-11.5M	293.5M	-1.9M	0.59	5.05	N/A	N/A	4,614	2,701	105,867	143,754
2012-12-11	$72.95	$79.17	23.4%	6.5%	18.7%	21.0%	22.0%	4.1%	2.5%	-10.3M	259.8M	-1.9M	0.61	5.97	N/A	N/A	9,973	6,067	105,431	143,577
2012-12-12	$73.34	$79.17	19.5%	6.2%	16.9%	6.9%	22.6%	3.5%	2.3%	-8.1M	227.3M	-2.0M	0.85	5.60	N/A	N/A	6,065	5,184	110,200	145,341
2012-12-13	$72.39	$79.17	22.8%	6.5%	17.0%	19.6%	23.1%	3.8%	2.2%	-11.8M	281.5M	-1.9M	1.03	5.69	N/A	N/A	2,045	2,111	111,299	147,079
2012-12-14	$73.10	$79.17	22.9%	6.6%	17.3%	19.8%	22.1%	3.8%	2.2%	-8.8M	246.0M	-1.9M	0.53	4.85	N/A	N/A	2,772	1,459	111,855	146,971
2012-12-17	$73.44	$79.17	21.8%	6.2%	17.3%	15.6%	22.3%	3.6%	2.5%	-8.1M	228.7M	-1.9M	0.63	5.87	N/A	N/A	3,567	2,252	111,650	145,937
2012-12-18	$75.31	$76.78	21.4%	6.1%	17.8%	15.3%	20.9%	3.6%	3.0%	3.6K	119.0M	-1.9M	0.55	5.08	N/A	N/A	7,301	4,026	113,091	146,449
2012-12-19	$75.09	$76.78	21.7%	6.2%	17.5%	16.8%	22.0%	3.9%	2.7%	-3.6M	135.2M	-1.9M	0.36	5.50	N/A	N/A	8,478	3,019	114,323	147,078
2012-12-20	$75.83	$76.78	20.9%	6.0%	17.7%	13.3%	21.8%	3.7%	3.0%	10.2M	82.3M	-1.9M	0.62	5.60	N/A	N/A	6,898	4,249	119,678	146,892
2012-12-21	$74.99	$76.78	22.3%	6.4%	17.8%	19.2%	23.8%	4.2%	2.7%	-3.5M	120.4M	-1.9M	0.85	5.51	N/A	N/A	9,841	8,337	121,681	148,955
2012-12-24	$74.40	$76.78	22.3%	6.4%	17.5%	19.2%	22.0%	5.1%	2.7%	-5.7M	188.7M	-1.9M	0.76	3.43	N/A	N/A	2,271	1,716	102,299	137,093
2012-12-26	$73.79	$76.78	22.4%	6.4%	17.8%	19.8%	23.5%	5.1%	2.6%	-6.4M	207.5M	-1.8M	0.98	4.28	N/A	N/A	3,183	3,125	103,810	137,714
2012-12-27	$73.84	$76.78	22.9%	6.6%	17.5%	21.8%	23.9%	4.5%	2.5%	-5.8M	195.8M	-1.8M	1.41	4.91	N/A	N/A	3,544	4,990	105,286	138,473
2012-12-28	$72.34	$76.78	28.8%	7.5%	19.0%	46.7%	27.3%	4.7%	1.1%	-10.7M	262.0M	-1.9M	1.70	4.84	N/A	N/A	4,099	6,955	106,672	140,463
2012-12-31	$73.52	$76.78	26.7%	6.8%	19.2%	37.8%	25.3%	4.7%	1.4%	-6.8M	213.9M	-1.9M	0.79	5.72	N/A	N/A	5,263	4,138	107,015	141,891