OXY Options History — March 2013

In March 2013, OXY traded between $74.87 and $81.00. ATM implied volatility averaged 18.1%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.5% (HV 20d: 16.5%). Max pain ranged from $76.78 to $81.57. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-03-19: Highest Volume — 22,203 contracts
  • 2013-03-06: Largest IV drop — 13.2% change
  • 2013-03-04: Highest IV Rank — 21.4%
  • 2013-03-21: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.80$74.87$81.00$79.32$75.21
Max Pain$79.17$76.78$81.57$81.57$76.78
ATM IV18.1%15.3%22.6%20.5%17.5%
Expected Move5.2%4.5%5.7%5.6%5.0%
HV 20d16.5%15.0%18.0%15.0%16.8%
HV 60d17.9%17.3%18.6%17.5%17.6%
IV Rank8.3%0.0%21.4%13.6%7.5%
IV Percentile5.9%0.0%26.6%11.1%4.0%
Term Structure2.4%0.7%3.1%0.7%2.7%
VWIV18.1%16.3%20.1%19.4%17.7%
Skew 25d2.6%1.7%3.5%3.1%1.7%
Skew 10d5.2%3.1%6.7%5.5%3.1%
Call IV 25d17.1%15.3%18.9%18.2%16.7%
Put IV 25d19.7%17.4%22.2%21.4%18.4%
Bid-Ask Spread %6.875.0310.578.977.73
Gamma HHI0.120.090.220.140.13
Net GEX3.1M-3.9M13.6M7.7M-2.2M
Net DEX37.4M-112.9M150.4M-5.6M130.3M
Net VEX-2.4M-2.6M-2.3M-2.5M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.301.540.781.13
Total Volume9,644.74,69822,2035,91910,292
Total OI193,648.5179,283224,804182,483224,804

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$79.32$81.5720.5%5.6%15.0%13.6%19.4%3.1%0.7%7.7M-5.6M-2.5M0.788.97N/AN/A3,3322,58790,73191,752
2013-03-04$78.35$79.1722.6%5.6%15.3%21.4%19.5%3.3%1.7%2.3M40.9M-2.4M0.615.75N/AN/A2,9171,78190,78891,998
2013-03-05$79.13$79.1720.8%5.4%15.8%14.7%19.2%2.9%1.9%3.9M9.7M-2.4M0.305.29N/AN/A4,9311,48891,07792,126
2013-03-06$78.59$79.1718.0%5.3%15.6%4.8%18.3%2.8%2.1%3.7M21.8M-2.5M0.795.54N/AN/A2,8132,23091,01793,308
2013-03-07$78.40$79.1717.1%5.3%15.4%1.5%18.3%2.7%2.3%3.4M22.8M-2.4M1.265.03N/AN/A2,5703,24891,12093,071
2013-03-08$79.08$79.1715.5%4.9%16.0%0.0%17.5%2.4%2.7%5.2M-6.8M-2.5M0.927.16N/AN/A2,8582,62692,44094,426
2013-03-11$79.54$79.1716.1%4.9%16.3%2.0%17.0%2.1%2.9%7.0M-30.0M-2.5M0.678.92N/AN/A4,8563,24893,17394,618
2013-03-12$80.22$79.1716.8%4.8%16.3%4.5%16.5%2.1%2.5%8.7M-64.6M-2.5M0.408.26N/AN/A6,9382,80494,42396,017
2013-03-13$79.92$79.1715.3%4.9%16.3%0.0%16.7%2.3%2.6%7.9M-48.6M-2.5M0.546.07N/AN/A3,6641,97096,27897,022
2013-03-14$81.00$79.1715.6%4.5%17.2%0.9%16.3%2.1%3.1%13.6M-112.9M-2.5M0.566.13N/AN/A5,2052,90197,17996,292
2013-03-15$80.30$79.1716.6%4.8%17.4%4.5%16.4%1.9%3.0%10.4M-70.1M-2.5M0.386.62N/AN/A7,8933,02298,67597,393
2013-03-18$79.17$79.1716.9%4.8%15.7%5.4%17.1%2.3%2.8%5.9M-28.1M-2.5M0.725.98N/AN/A4,5603,30387,88691,397
2013-03-19$76.95$79.1718.9%5.4%17.5%12.3%20.1%3.3%2.4%908.0K71.9M-2.4M1.025.31N/AN/A11,01711,18689,61893,366
2013-03-20$75.46$79.1719.4%5.6%18.0%13.9%19.3%3.5%2.1%-2.0M130.7M-2.3M1.215.98N/AN/A5,4896,62493,01297,980
2013-03-21$75.20$79.1719.8%5.7%17.6%15.4%19.4%3.1%1.9%-2.4M138.8M-2.3M0.777.43N/AN/A4,9593,84094,951101,557
2013-03-22$75.49$79.1719.4%5.6%17.7%14.1%19.7%3.0%2.1%-1.3M125.9M-2.4M0.845.70N/AN/A4,0653,41297,914103,223
2013-03-25$74.90$79.1718.9%5.4%16.9%12.2%18.6%2.7%2.2%-2.6M140.6M-2.3M1.145.20N/AN/A8,5209,67696,985102,304
2013-03-26$74.87$79.1717.9%5.1%16.9%8.9%18.6%1.9%2.6%-3.9M150.4M-2.5M0.899.86N/AN/A11,23410,030101,638110,134
2013-03-27$74.98$79.1717.7%5.1%16.8%8.0%17.3%2.0%2.8%-3.8M131.2M-2.6M1.5410.57N/AN/A3,4715,334107,564113,713
2013-03-28$75.21$76.7817.5%5.0%16.8%7.5%17.7%1.7%2.7%-2.2M130.3M-2.6M1.137.73N/AN/A4,8425,450107,192117,612