OXY Options History — May 2013

In May 2013, OXY traded between $84.02 and $90.93. ATM implied volatility averaged 23.6%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.2% (HV 20d: 23.8%). Max pain ranged from $76.78 to $83.97. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2013-05-03: Highest Volume — 104,955 contracts
  • 2013-05-02: Largest IV drop — 29.7% change
  • 2013-05-01: Highest IV Rank — 77.4%
  • 2013-05-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.30$84.02$90.93$84.02$88.36
Max Pain$82.12$76.78$83.97$76.78$83.97
ATM IV23.6%20.6%37.8%37.8%24.8%
Expected Move6.5%6.0%7.1%7.1%6.5%
HV 20d23.8%20.7%28.3%26.2%23.7%
HV 60d21.6%20.8%22.7%20.8%22.7%
IV Rank28.4%18.0%77.4%77.4%32.7%
IV Percentile39.0%19.0%96.8%96.8%53.6%
Term Structure1.5%-0.4%3.1%-0.4%1.8%
VWIV23.3%21.1%26.5%25.9%23.3%
Skew 25d1.9%0.9%3.0%2.5%1.1%
Skew 10d3.6%1.4%6.6%5.6%2.1%
Call IV 25d22.3%20.2%24.7%24.7%22.8%
Put IV 25d24.1%22.0%27.1%27.1%23.9%
Bid-Ask Spread %8.535.0114.897.1414.89
Gamma HHI0.300.170.540.200.26
Net GEX60.7M40.8M102.4M57.5M50.0M
Net DEX-1.08B-1.69B-646.3M-904.9M-857.7M
Net VEX-4.4M-4.9M-3.9M-4.1M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.071.431.040.30
Total Volume26,934.4554,741104,95524,47747,009
Total OI393,888.545309,909476,282380,483364,211

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$84.02$76.7837.8%7.1%26.2%77.4%25.9%2.5%-0.4%57.5M-904.9M-4.1M1.047.14N/AN/A12,00212,475242,433138,050
2013-05-02$84.54$76.7826.6%6.8%26.1%38.8%23.9%2.7%0.2%53.6M-956.2M-4.0M1.435.43N/AN/A10,79415,483242,586142,224
2013-05-03$87.10$79.1725.8%6.9%27.7%35.9%26.5%2.0%1.0%48.8M-1.28B-3.9M0.185.01N/AN/A89,04215,913243,701152,714
2013-05-06$85.76$79.1727.1%6.9%28.2%40.6%24.4%3.0%1.7%55.3M-1.11B-4.1M0.6611.84N/AN/A20,89713,700254,912146,415
2013-05-07$85.65$81.5726.2%6.9%28.3%37.5%24.8%2.9%1.8%55.5M-1.03B-4.4M0.599.22N/AN/A8,1184,796264,609153,284
2013-05-08$85.68$81.5721.6%6.7%28.2%21.7%23.5%2.7%2.3%57.2M-1.09B-4.3M0.079.27N/AN/A32,9042,436268,399153,927
2013-05-09$84.64$81.5722.9%6.9%26.5%26.2%23.9%1.8%1.6%78.4M-992.5M-4.6M0.328.13N/AN/A16,5275,309295,664154,455
2013-05-10$85.58$81.5720.6%6.7%26.3%18.0%23.8%1.6%2.4%102.4M-1.15B-4.7M0.557.53N/AN/A3,0571,684313,247157,065
2013-05-13$86.88$81.5723.5%7.0%22.8%28.1%24.7%0.9%1.8%91.0M-1.39B-4.6M0.7912.65N/AN/A10,1198,025306,422154,796
2013-05-14$87.36$81.5723.5%6.7%22.7%28.1%23.7%1.0%2.4%90.6M-1.49B-4.6M0.569.65N/AN/A12,5526,983310,148160,246
2013-05-15$87.26$81.5722.0%6.5%21.7%23.0%23.6%1.2%2.5%96.9M-1.49B-4.6M0.6010.48N/AN/A15,3219,121313,060162,583
2013-05-16$87.36$83.9721.6%6.2%21.2%21.6%21.5%1.4%2.9%88.9M-1.48B-4.5M0.2811.04N/AN/A20,5205,784305,903167,439
2013-05-17$89.10$83.9721.4%6.1%21.4%20.8%21.7%1.4%3.1%52.1M-1.69B-4.5M0.127.12N/AN/A27,6493,181307,688168,594
2013-05-20$89.91$83.9721.0%6.0%21.3%19.4%21.1%1.9%1.2%41.5M-909.9M-4.3M0.327.17N/AN/A11,0243,566198,031111,878
2013-05-21$89.31$83.9721.1%6.0%21.8%19.7%22.3%1.8%1.0%42.9M-873.1M-4.4M0.498.47N/AN/A4,7172,319204,002113,287
2013-05-22$87.43$83.9721.9%6.3%21.7%22.5%22.3%2.1%0.7%41.9M-703.4M-4.4M0.596.23N/AN/A12,3717,272204,852113,779
2013-05-23$86.88$83.9721.7%6.2%21.6%21.8%21.7%2.3%1.0%40.8M-646.3M-4.6M0.417.37N/AN/A6,4032,637208,022117,863
2013-05-24$87.12$83.9721.8%6.3%21.3%22.3%21.9%2.2%1.0%43.7M-699.8M-4.5M0.468.81N/AN/A3,6231,648213,302118,592
2013-05-28$88.92$83.9721.4%6.1%21.9%20.8%21.8%1.9%0.8%47.6M-873.4M-4.4M0.266.50N/AN/A12,8083,289212,441117,891
2013-05-29$90.74$83.9722.4%6.4%22.3%24.5%22.7%1.7%0.7%46.5M-1.04B-4.3M0.127.42N/AN/A31,1073,811214,550118,956
2013-05-30$90.93$83.9722.3%6.4%20.7%24.1%24.3%0.9%1.2%51.7M-1.15B-4.7M0.256.28N/AN/A43,76310,799232,556120,771
2013-05-31$88.36$83.9724.8%6.5%23.7%32.7%23.3%1.1%1.8%50.0M-857.7M-4.9M0.3014.89N/AN/A36,08310,926239,270124,941