OXY Options History — February 2013

In February 2013, OXY traded between $78.48 and $85.11. ATM implied volatility averaged 20.5%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.8% (HV 20d: 17.7%). Max pain ranged from $79.17 to $81.57. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-02-15: Highest Volume — 25,326 contracts
  • 2013-02-25: Largest IV spike — 40.0% change
  • 2013-02-25: Highest IV Rank — 42.7%
  • 2013-02-25: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.22$78.48$85.11$84.15$79.01
Max Pain$81.45$79.17$81.57$79.17$81.57
ATM IV20.5%17.3%28.5%17.3%20.7%
Expected Move5.7%5.2%6.5%5.8%5.5%
HV 20d17.7%14.8%20.7%16.8%19.9%
HV 60d18.1%17.3%19.6%19.6%18.1%
IV Rank13.9%2.1%42.7%2.1%14.6%
IV Percentile12.7%0.4%69.4%0.4%12.7%
Term Structure1.3%-0.6%2.9%1.2%0.6%
VWIV20.2%18.2%22.7%20.2%20.2%
Skew 25d3.2%2.5%3.9%3.0%3.4%
Skew 10d6.8%5.5%8.2%5.8%6.9%
Call IV 25d18.7%17.3%21.5%18.9%18.4%
Put IV 25d21.8%19.9%25.3%22.0%21.8%
Bid-Ask Spread %7.594.8715.2615.267.94
Gamma HHI0.220.100.680.340.10
Net GEX18.1M1.1M44.9M35.4M4.3M
Net DEX-239.5M-481.2M39.7M-479.0M11.0M
Net VEX-2.5M-2.5M-2.4M-2.4M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.221.930.990.67
Total Volume9,472.5793,33525,32622,7733,826
Total OI221,082.158161,551265,958248,667180,839

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$84.15$79.1717.3%5.8%16.8%2.1%20.2%3.0%1.2%35.4M-479.0M-2.4M0.9915.26N/AN/A11,47011,303119,088129,579
2013-02-04$84.44$81.5721.3%6.0%16.3%16.8%20.5%3.2%1.2%24.3M-442.7M-2.5M0.946.67N/AN/A5,1814,871116,516130,894
2013-02-05$84.85$81.5720.7%5.8%16.2%14.6%20.3%2.6%1.5%24.3M-466.3M-2.5M0.575.89N/AN/A6,9983,963117,440134,044
2013-02-06$85.11$81.5718.3%5.8%14.8%5.7%20.7%2.8%1.4%25.1M-481.2M-2.5M0.699.70N/AN/A3,6572,515119,784136,387
2013-02-07$84.62$81.5720.3%5.8%15.2%13.2%20.2%2.8%1.7%24.2M-455.9M-2.5M0.229.88N/AN/A6,1641,343119,721136,883
2013-02-08$84.80$81.5720.0%5.7%14.9%12.0%21.1%3.2%1.6%25.2M-467.2M-2.5M1.7810.27N/AN/A2,1833,891120,822137,573
2013-02-11$83.69$81.5719.3%5.5%16.0%9.6%19.6%3.1%2.4%26.6M-409.0M-2.5M0.796.72N/AN/A4,7463,757120,148137,708
2013-02-12$83.43$81.5718.9%5.4%15.9%8.1%19.3%3.3%2.7%28.7M-375.9M-2.5M1.025.58N/AN/A4,8654,965121,507138,205
2013-02-13$83.44$81.5718.3%5.2%15.8%5.7%19.5%3.1%2.9%27.7M-369.7M-2.5M1.935.72N/AN/A3,4886,714121,593141,468
2013-02-14$83.41$81.5718.6%5.3%15.8%7.1%19.9%3.0%2.7%28.3M-352.5M-2.5M0.579.46N/AN/A6,4223,693120,324143,911
2013-02-15$81.30$81.5719.0%5.5%18.7%8.5%19.6%3.3%2.6%44.9M-131.6M-2.4M0.464.87N/AN/A17,3767,950122,469143,489
2013-02-19$82.34$81.5718.7%5.4%19.1%7.2%18.2%2.5%0.5%6.9M-108.4M-2.5M0.475.71N/AN/A4,5852,15877,69683,855
2013-02-20$81.10$81.5719.2%5.5%19.6%9.1%19.4%3.2%0.9%4.9M-60.2M-2.5M0.525.17N/AN/A3,9752,05579,97285,328
2013-02-21$80.07$81.5720.4%5.9%20.0%13.5%20.3%3.2%-0.0%2.6M-21.7M-2.4M0.748.35N/AN/A6,0204,47381,30385,789
2013-02-22$80.24$81.5720.4%5.7%19.9%13.3%19.8%3.3%0.0%3.4M-23.0M-2.5M0.585.71N/AN/A2,1061,22983,61287,978
2013-02-25$78.82$81.5728.5%6.5%20.7%42.7%22.7%3.9%-0.6%1.9M23.6M-2.4M0.826.38N/AN/A4,2343,48983,20487,966
2013-02-26$78.48$81.5725.4%6.1%20.7%31.4%21.9%3.6%0.6%1.1M39.7M-2.4M0.697.17N/AN/A6,0154,14684,99089,284
2013-02-27$78.92$81.5724.9%5.7%19.9%29.6%20.6%3.6%0.2%3.4M18.9M-2.4M0.517.77N/AN/A2,7541,39988,41890,774
2013-02-28$79.01$81.5720.7%5.5%19.9%14.6%20.2%3.4%0.6%4.3M11.0M-2.4M0.677.94N/AN/A2,2911,53589,62891,211