OXY Options History — June 2013

In June 2013, OXY traded between $85.06 and $90.47. ATM implied volatility averaged 25.7%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.8% (HV 20d: 22.9%). Max pain ranged from $83.97 to $88.77. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-06-10: Highest Volume — 26,427 contracts
  • 2013-06-10: Largest IV spike — 21.4% change
  • 2013-06-05: Highest IV Rank — 58.1%
  • 2013-06-24: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.75$85.06$90.47$90.47$85.63
Max Pain$87.93$83.97$88.77$83.97$88.77
ATM IV25.7%19.1%32.2%28.1%19.1%
Expected Move7.1%6.1%7.7%6.7%6.1%
HV 20d22.9%21.1%25.0%22.8%21.1%
HV 60d23.1%22.4%23.8%23.1%23.6%
IV Rank35.7%13.0%58.1%43.9%13.0%
IV Percentile59.7%9.9%92.9%76.6%9.9%
Term Structure1.9%0.9%3.8%1.2%3.8%
VWIV25.0%21.7%32.1%25.2%21.7%
Skew 25d2.6%0.3%4.6%0.3%3.4%
Skew 10d5.1%0.6%8.6%1.8%5.8%
Call IV 25d23.8%20.4%25.8%23.6%20.4%
Put IV 25d26.5%23.8%29.8%23.9%23.8%
Bid-Ask Spread %8.504.6015.8210.367.02
Gamma HHI0.210.140.650.210.16
Net GEX43.1M23.8M121.7M50.7M33.2M
Net DEX-664.8M-1.06B-327.8M-1.06B-407.3M
Net VEX-4.3M-4.8M-3.9M-4.8M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.051.970.740.74
Total Volume13,616.36,00626,42710,3176,006
Total OI349,509.9303,001368,231363,032327,771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$90.47$83.9728.1%6.7%22.8%43.9%25.2%0.3%1.2%50.7M-1.06B-4.8M0.7410.36N/AN/A5,9214,396239,534123,498
2013-06-04$90.46$83.9728.3%6.7%21.9%44.7%24.1%0.5%1.2%48.1M-1.01B-4.6M0.468.84N/AN/A7,6083,473230,699121,665
2013-06-05$89.62$83.9732.2%7.0%22.3%58.1%32.1%0.3%1.2%48.7M-943.3M-4.7M0.4310.41N/AN/A17,5047,591232,814122,766
2013-06-06$88.82$86.3726.8%7.1%22.6%39.4%25.4%0.9%1.4%46.0M-816.2M-4.7M0.2410.07N/AN/A14,2263,437225,089124,870
2013-06-07$89.37$88.7722.8%6.9%22.1%25.5%24.2%2.1%2.0%49.9M-916.1M-4.6M0.8214.10N/AN/A12,0169,839230,327124,872
2013-06-10$88.57$88.7727.6%7.4%22.2%42.3%25.7%2.4%1.6%41.4M-763.4M-4.5M0.8715.82N/AN/A14,15712,270223,140130,916
2013-06-11$87.57$88.7730.1%7.6%22.1%50.7%26.2%2.7%1.5%35.9M-636.3M-4.6M0.6811.16N/AN/A3,8032,595223,267137,218
2013-06-12$87.28$88.7727.5%7.7%22.0%41.7%26.2%2.8%1.4%34.0M-596.0M-4.5M0.9310.74N/AN/A4,0443,742221,922137,909
2013-06-13$89.29$88.7725.8%7.4%23.4%35.9%25.3%3.0%1.8%40.8M-807.8M-4.5M0.407.96N/AN/A8,0233,178223,044139,124
2013-06-14$88.19$88.7725.6%7.3%23.9%35.2%26.3%2.8%2.0%38.7M-705.2M-4.4M1.979.69N/AN/A3,4086,701225,780139,731
2013-06-17$88.88$88.7725.0%7.2%23.0%33.4%25.3%2.9%2.0%41.4M-778.2M-4.3M0.627.87N/AN/A4,3832,703224,325140,082
2013-06-18$88.70$88.7723.6%6.8%22.8%28.6%24.1%2.9%2.2%43.8M-769.0M-4.2M0.825.83N/AN/A5,9164,840225,317140,737
2013-06-19$88.06$88.7723.2%6.7%22.8%27.1%23.2%2.7%2.6%42.4M-711.6M-4.2M0.788.15N/AN/A4,0043,124225,106142,378
2013-06-20$85.36$88.7726.3%7.5%24.2%37.8%26.1%4.6%1.3%28.4M-327.8M-4.0M0.674.66N/AN/A10,4597,031222,656140,586
2013-06-21$86.30$88.7724.9%7.1%24.5%33.0%24.7%4.1%1.9%121.7M-417.9M-4.0M0.464.60N/AN/A16,3607,600224,943143,288
2013-06-24$85.06$88.7727.0%7.7%25.0%40.1%25.8%4.2%0.9%23.8M-353.9M-3.9M0.585.89N/AN/A5,6623,263188,949114,052
2013-06-25$85.10$88.7726.1%7.5%23.7%37.0%24.3%4.0%1.5%25.0M-363.7M-3.9M0.055.15N/AN/A24,1351,144191,520116,362
2013-06-26$85.65$88.7722.5%6.5%22.4%24.7%22.8%3.1%3.0%31.9M-414.4M-3.9M0.575.42N/AN/A7,2404,100201,671117,010
2013-06-27$86.67$88.7721.9%6.3%22.9%22.6%22.1%3.2%3.2%36.5M-498.3M-4.0M0.526.28N/AN/A4,2192,205205,476119,784
2013-06-28$85.63$88.7719.1%6.1%21.1%13.0%21.7%3.4%3.8%33.2M-407.3M-3.9M0.747.02N/AN/A3,4432,563207,211120,560