OXY Options History — April 2013

In April 2013, OXY traded between $75.77 and $85.66. ATM implied volatility averaged 25.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.8% (HV 20d: 21.5%). Max pain ranged from $76.78 to $76.78. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.43.

Notable Days

2013-04-25: Highest Volume — 129,820 contracts
2013-04-08: Largest IV spike — 31.3% change
2013-04-26: Highest IV Rank — 50.8%
2013-04-23: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.14	$75.77	$85.66	$75.77	$85.66
Max Pain	$76.78	$76.78	$76.78	$76.78	$76.78
ATM IV	25.3%	18.4%	30.1%	18.4%	28.3%
Expected Move	7.0%	5.0%	8.3%	5.0%	6.5%
HV 20d	21.5%	17.0%	25.1%	17.0%	24.7%
HV 60d	18.9%	16.8%	21.2%	17.2%	20.4%
IV Rank	34.4%	10.4%	50.8%	10.4%	44.7%
IV Percentile	51.6%	6.7%	80.2%	6.7%	72.6%
Term Structure	-0.2%	-2.9%	3.4%	2.6%	0.2%
VWIV	24.7%	18.9%	29.5%	19.2%	23.4%
Skew 25d	1.9%	1.2%	2.6%	1.7%	1.9%
Skew 10d	4.3%	3.1%	6.1%	3.1%	5.3%
Call IV 25d	23.9%	17.6%	28.7%	17.6%	22.6%
Put IV 25d	25.8%	19.3%	30.7%	19.3%	24.4%
Bid-Ask Spread %	8.87	4.30	61.25	5.50	6.25
Gamma HHI	0.13	0.10	0.20	0.13	0.18
Net GEX	20.9M	-2.2M	59.4M	-2.2M	58.0M
Net DEX	-252.0M	-1.11B	116.3M	116.3M	-1.11B
Net VEX	-3.4M	-4.0M	-2.7M	-2.7M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.08	0.99	0.46	0.32
Total Volume	28,636.136	5,698	129,820	7,842	27,074
Total OI	294,593.364	227,939	377,377	227,939	377,377

Daily Data (22 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
2013-04-01	$75.77	$76.78	18.4%	5.0%	17.0%	10.4%	19.2%	1.7%	2.6%	-2.2M	116.3M	-2.7M	0.46	5.50	N/A	N/A	5,388	2,454	109,951	117,988
2013-04-02	$77.43	$76.78	21.0%	5.4%	18.6%	19.6%	18.9%	1.9%	3.1%	3.2M	1.2M	-2.8M	0.25	5.68	N/A	N/A	29,366	7,445	111,367	118,925
2013-04-03	$77.79	$76.78	23.6%	5.6%	18.3%	28.4%	19.9%	1.2%	2.9%	9.1M	-68.1M	-3.0M	0.66	5.54	N/A	N/A	12,884	8,478	124,117	120,874
2013-04-04	$78.52	$76.78	19.5%	5.6%	18.5%	14.4%	20.6%	1.4%	3.4%	11.6M	-105.6M	-3.1M	0.23	5.72	N/A	N/A	20,912	4,816	125,832	124,175
2013-04-05	$78.55	$76.78	20.6%	6.7%	18.5%	18.2%	24.0%	2.2%	-0.0%	14.8M	-155.4M	-3.3M	0.26	6.49	N/A	N/A	13,797	3,593	138,568	125,013
2013-04-08	$77.85	$76.78	27.1%	6.8%	18.5%	40.4%	23.8%	2.2%	-0.2%	13.8M	-97.9M	-3.3M	0.72	8.23	N/A	N/A	22,516	16,121	143,685	124,657
2013-04-09	$78.28	$76.78	24.5%	6.5%	18.4%	31.6%	23.4%	2.2%	0.1%	14.6M	-114.6M	-3.2M	0.24	7.74	N/A	N/A	19,342	4,601	145,902	129,773
2013-04-10	$78.08	$76.78	20.0%	6.5%	18.1%	15.9%	23.5%	2.3%	0.2%	11.7M	-75.9M	-3.2M	0.65	7.97	N/A	N/A	4,720	3,061	142,537	129,459
2013-04-11	$80.81	$76.78	24.1%	6.9%	22.1%	30.3%	24.1%	1.6%	0.1%	23.1M	-312.4M	-3.3M	0.16	5.82	N/A	N/A	55,046	8,898	144,208	130,181
2013-04-12	$80.03	$76.78	24.7%	7.1%	21.8%	32.3%	24.5%	1.6%	-0.4%	25.8M	-280.7M	-3.5M	0.27	5.47	N/A	N/A	14,173	3,780	171,873	132,086
2013-04-15	$77.45	$76.78	28.0%	8.0%	24.5%	43.7%	27.9%	1.9%	-2.0%	14.6M	-75.8M	-3.4M	0.71	7.56	N/A	N/A	6,743	4,816	176,802	130,195
2013-04-16	$78.31	$76.78	25.9%	7.4%	24.5%	36.3%	26.2%	1.7%	-1.0%	19.2M	-134.1M	-3.4M	0.92	7.89	N/A	N/A	2,970	2,728	177,290	131,327
2013-04-17	$77.21	$76.78	27.1%	7.8%	22.7%	40.5%	27.1%	2.2%	-1.2%	10.1M	-28.5M	-3.3M	0.99	7.28	N/A	N/A	4,043	4,012	175,160	132,431
2013-04-18	$76.69	$76.78	28.1%	8.1%	21.7%	43.9%	28.3%	2.4%	-2.1%	7.3M	2.5M	-3.2M	0.35	5.56	N/A	N/A	8,093	2,822	173,771	131,033
2013-04-19	$76.40	$76.78	26.3%	7.5%	21.7%	37.7%	26.5%	2.6%	-0.8%	6.0M	38.7M	-3.1M	0.81	7.75	N/A	N/A	9,009	7,276	177,540	131,579
2013-04-22	$77.31	$76.78	27.0%	7.7%	22.0%	40.2%	26.6%	2.0%	-1.7%	14.4M	-70.1M	-3.3M	0.08	5.67	N/A	N/A	21,330	1,664	161,569	120,119
2013-04-23	$78.40	$76.78	29.1%	8.3%	22.2%	47.4%	29.5%	2.0%	-2.9%	23.5M	-213.7M	-3.5M	0.09	6.46	N/A	N/A	40,212	3,731	176,889	120,654
2013-04-24	$80.93	$76.78	28.1%	8.1%	24.5%	43.9%	28.7%	1.5%	-2.6%	36.8M	-528.0M	-3.7M	0.40	61.25	N/A	N/A	22,310	8,946	197,415	122,091
2013-04-25	$82.10	$76.78	27.5%	7.9%	24.8%	41.8%	27.6%	1.7%	-1.2%	39.3M	-628.1M	-3.8M	0.16	4.30	N/A	N/A	112,066	17,754	200,445	126,523
2013-04-26	$83.17	$76.78	30.1%	7.3%	25.0%	50.8%	25.9%	1.6%	-0.8%	46.8M	-737.7M	-4.0M	0.48	5.23	N/A	N/A	14,182	6,816	221,504	135,279
2013-04-29	$84.32	$76.78	28.3%	6.6%	25.1%	44.7%	23.2%	2.3%	0.1%	59.4M	-961.3M	-4.0M	0.31	5.78	N/A	N/A	30,593	9,414	238,787	134,103
2013-04-30	$85.66	$76.78	28.3%	6.5%	24.7%	44.7%	23.4%	1.9%	0.2%	58.0M	-1.11B	-3.9M	0.32	6.25	N/A	N/A	20,490	6,584	241,280	136,097