OXY Options History — January 2013

In January 2013, OXY traded between $75.01 and $84.71. ATM implied volatility averaged 22.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.8% (HV 20d: 17.9%). Max pain ranged from $76.78 to $76.78. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2013-01-31: Highest Volume — 38,497 contracts
2013-01-31: Largest IV drop — 56.1% change
2013-01-30: Highest IV Rank — 100.0%
2013-01-30: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.30	$75.01	$84.71	$75.01	$84.71
Max Pain	$76.78	$76.78	$76.78	$76.78	$76.78
ATM IV	22.7%	16.7%	44.4%	20.6%	19.5%
Expected Move	5.9%	5.2%	6.5%	5.6%	5.5%
HV 20d	17.9%	13.6%	19.9%	18.3%	16.2%
HV 60d	20.5%	18.5%	21.6%	21.3%	19.6%
IV Rank	23.3%	0.0%	100.0%	12.0%	10.0%
IV Percentile	17.6%	0.0%	100.0%	2.4%	2.8%
Term Structure	0.8%	-1.0%	3.1%	3.0%	1.6%
VWIV	21.4%	19.0%	23.6%	21.0%	19.0%
Skew 25d	3.4%	1.4%	4.5%	4.1%	1.4%
Skew 10d	7.7%	3.8%	10.6%	9.2%	3.8%
Call IV 25d	19.6%	18.0%	22.7%	18.0%	18.8%
Put IV 25d	23.0%	20.2%	24.3%	22.1%	20.2%
Bid-Ask Spread %	6.30	4.44	8.01	5.64	5.85
Gamma HHI	0.21	0.14	0.54	0.16	0.23
Net GEX	9.6M	-2.5M	28.6M	-2.5M	24.1M
Net DEX	-115.3M	-466.2M	147.4M	147.4M	-466.2M
Net VEX	-2.0M	-2.4M	-1.7M	-1.8M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.18	2.41	1.15	0.36
Total Volume	15,369.381	4,726	38,497	11,079	38,497
Total OI	248,150.952	180,729	301,631	252,055	232,996

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
2013-01-02	$75.01	$76.78	20.6%	5.6%	18.3%	12.0%	21.0%	4.1%	3.0%	-2.5M	147.4M	-1.8M	1.15	5.64	N/A	N/A	5,143	5,936	109,076	142,979
2013-01-03	$75.31	$76.78	19.4%	5.6%	18.3%	7.2%	19.3%	3.4%	3.1%	-1.5M	129.5M	-1.8M	0.69	5.72	N/A	N/A	5,947	4,124	110,584	143,959
2013-01-04	$76.62	$76.78	16.7%	6.1%	18.8%	0.0%	23.6%	4.1%	1.6%	2.8M	49.8M	-1.8M	1.21	6.50	N/A	N/A	5,937	7,189	112,482	145,490
2013-01-07	$76.66	$76.78	19.3%	6.2%	18.8%	10.5%	23.5%	4.0%	1.4%	2.1M	54.5M	-1.8M	1.69	5.97	N/A	N/A	3,226	5,436	113,074	147,611
2013-01-08	$78.43	$76.78	21.1%	6.2%	19.9%	17.8%	22.8%	3.5%	1.2%	3.7M	-51.8M	-1.8M	0.74	5.58	N/A	N/A	16,794	12,433	113,660	148,935
2013-01-09	$78.80	$76.78	18.4%	6.1%	19.8%	6.9%	22.5%	3.7%	0.8%	7.0M	-101.1M	-1.7M	0.70	5.75	N/A	N/A	6,407	4,465	120,387	153,167
2013-01-10	$79.66	$76.78	21.8%	6.3%	19.9%	20.6%	22.1%	3.9%	0.6%	8.7M	-169.1M	-1.8M	0.60	7.22	N/A	N/A	8,970	5,403	122,662	155,464
2013-01-11	$79.73	$76.78	21.3%	6.1%	19.9%	18.8%	23.6%	3.6%	0.8%	7.1M	-162.2M	-2.0M	1.35	6.33	N/A	N/A	2,694	3,647	126,998	158,581
2013-01-14	$79.34	$76.78	22.0%	6.3%	19.2%	21.3%	22.8%	3.6%	0.2%	8.0M	-151.3M	-1.9M	1.11	6.81	N/A	N/A	4,151	4,589	126,796	157,409
2013-01-15	$79.17	$76.78	21.4%	6.1%	19.2%	18.8%	22.9%	3.5%	0.6%	9.8M	-133.1M	-1.9M	2.41	5.74	N/A	N/A	1,387	3,339	128,688	160,013
2013-01-16	$78.97	$76.78	20.5%	5.9%	19.4%	15.5%	20.7%	3.7%	1.5%	9.1M	-107.6M	-2.0M	0.74	5.76	N/A	N/A	6,233	4,613	128,743	161,105
2013-01-17	$79.07	$76.78	20.6%	5.9%	17.6%	15.6%	21.2%	3.4%	1.5%	12.7M	-133.1M	-1.9M	0.61	7.18	N/A	N/A	12,664	7,687	130,804	161,767
2013-01-18	$79.25	$76.78	19.4%	5.6%	17.5%	11.0%	19.6%	4.5%	1.7%	28.6M	-144.6M	-2.1M	0.25	7.05	N/A	N/A	13,599	3,429	136,743	164,888
2013-01-22	$80.23	$76.78	20.2%	5.8%	17.7%	13.9%	20.2%	3.5%	-0.0%	6.3M	-114.5M	-2.0M	0.71	6.57	N/A	N/A	10,736	7,621	72,739	107,990
2013-01-23	$79.58	$76.78	19.8%	5.7%	17.4%	12.3%	20.3%	3.7%	-0.6%	8.1M	-92.6M	-2.1M	0.39	4.44	N/A	N/A	5,168	2,012	77,590	112,281
2013-01-24	$80.04	$76.78	19.1%	5.5%	16.9%	9.8%	19.5%	2.7%	-0.1%	11.0M	-141.1M	-2.1M	0.82	5.84	N/A	N/A	9,777	8,042	81,157	112,728
2013-01-25	$80.67	$76.78	23.0%	5.2%	16.4%	25.4%	19.6%	3.2%	-0.3%	11.4M	-166.1M	-2.2M	0.18	8.01	N/A	N/A	6,053	1,109	85,569	115,469
2013-01-28	$80.46	$76.78	31.7%	5.6%	16.5%	60.5%	20.6%	3.4%	-0.4%	12.9M	-157.2M	-2.2M	0.68	6.97	N/A	N/A	6,722	4,562	87,816	114,517
2013-01-29	$81.68	$76.78	36.9%	6.0%	14.1%	81.2%	21.9%	2.8%	-0.4%	15.1M	-236.7M	-2.3M	0.39	6.49	N/A	N/A	16,314	6,401	91,926	116,901
2013-01-30	$81.88	$76.78	44.4%	6.5%	13.6%	100.0%	23.5%	1.6%	-1.0%	17.4M	-273.4M	-2.4M	0.59	6.79	N/A	N/A	21,609	12,692	98,722	120,704
2013-01-31	$84.71	$76.78	19.5%	5.5%	16.2%	10.0%	19.0%	1.4%	1.6%	24.1M	-466.2M	-2.3M	0.36	5.85	N/A	N/A	28,409	10,088	107,419	125,577