OXY Options History — July 2013

In July 2013, OXY traded between $84.76 and $88.38. ATM implied volatility averaged 23.8%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.8% (HV 20d: 17.0%). Max pain ranged from $81.57 to $88.77. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2013-07-30: Highest Volume — 37,422 contracts
2013-07-26: Largest IV spike — 44.6% change
2013-07-29: Highest IV Rank — 86.7%
2013-07-29: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.81	$84.76	$88.38	$86.39	$85.46
Max Pain	$82.56	$81.57	$88.77	$88.77	$81.57
ATM IV	23.8%	18.9%	40.5%	20.9%	23.4%
Expected Move	6.6%	5.8%	7.4%	6.1%	5.8%
HV 20d	17.0%	12.6%	20.2%	19.3%	15.2%
HV 60d	21.3%	19.0%	23.7%	23.6%	19.0%
IV Rank	29.3%	12.4%	86.7%	19.2%	27.9%
IV Percentile	45.3%	9.5%	99.6%	23.0%	51.6%
Term Structure	0.2%	-2.3%	3.6%	3.5%	0.1%
VWIV	23.0%	20.6%	26.3%	21.3%	20.6%
Skew 25d	2.6%	1.6%	3.3%	3.0%	1.7%
Skew 10d	4.9%	2.9%	6.3%	5.8%	2.9%
Call IV 25d	21.9%	20.1%	25.3%	20.1%	20.1%
Put IV 25d	24.5%	21.8%	27.5%	23.1%	21.8%
Bid-Ask Spread %	6.50	4.86	12.05	5.91	7.87
Gamma HHI	0.20	0.16	0.36	0.17	0.28
Net GEX	42.3M	33.5M	84.4M	37.0M	36.4M
Net DEX	-494.0M	-645.7M	-286.1M	-468.9M	-356.9M
Net VEX	-3.4M	-3.8M	-3.1M	-3.8M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.21	1.56	0.56	0.40
Total Volume	11,131.636	3,585	37,422	5,093	11,696
Total OI	336,650.864	314,281	355,459	326,248	354,087

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
2013-07-01	$86.39	$88.77	20.9%	6.1%	19.3%	19.2%	21.3%	3.0%	3.5%	37.0M	-468.9M	-3.8M	0.56	5.91	N/A	N/A	3,256	1,837	206,882	119,366
2013-07-02	$86.92	$88.77	19.9%	6.2%	19.5%	15.6%	21.3%	2.7%	3.6%	39.4M	-517.3M	-3.8M	1.23	7.63	N/A	N/A	4,019	4,956	208,291	119,987
2013-07-03	$86.14	$88.77	21.8%	6.2%	19.5%	22.3%	21.8%	2.6%	3.6%	35.0M	-447.1M	-3.8M	0.78	6.00	N/A	N/A	2,019	1,566	210,241	121,373
2013-07-05	$87.17	$81.57	21.2%	7.1%	19.9%	20.1%	24.4%	3.2%	0.3%	41.8M	-544.3M	-3.7M	0.51	6.01	N/A	N/A	4,008	2,038	210,857	122,403
2013-07-08	$87.18	$81.57	23.0%	7.0%	19.8%	26.4%	24.4%	3.3%	-0.0%	43.9M	-542.3M	-3.6M	0.97	6.03	N/A	N/A	2,602	2,525	212,052	121,017
2013-07-09	$86.31	$81.57	22.2%	6.8%	19.8%	23.7%	23.7%	3.3%	0.2%	39.5M	-446.9M	-3.5M	0.31	5.22	N/A	N/A	8,029	2,450	212,731	121,757
2013-07-10	$85.68	$81.57	18.9%	6.7%	19.6%	12.4%	24.0%	3.0%	0.2%	35.3M	-382.7M	-3.4M	0.79	7.06	N/A	N/A	3,591	2,821	214,281	123,000
2013-07-11	$86.78	$81.57	22.5%	6.4%	20.2%	24.5%	22.1%	2.8%	0.2%	44.0M	-492.5M	-3.4M	1.02	5.60	N/A	N/A	3,467	3,550	214,705	124,233
2013-07-12	$86.58	$81.57	22.6%	6.5%	18.2%	24.9%	23.0%	2.7%	0.4%	39.8M	-465.9M	-3.4M	1.56	6.31	N/A	N/A	5,554	8,655	215,305	123,880
2013-07-15	$86.86	$81.57	23.0%	6.6%	17.8%	26.4%	23.2%	2.4%	-0.0%	44.6M	-490.9M	-3.3M	0.98	5.88	N/A	N/A	6,862	6,725	215,616	128,742
2013-07-16	$86.05	$81.57	23.4%	6.7%	17.8%	28.0%	23.5%	2.2%	-0.1%	37.1M	-406.9M	-3.4M	0.75	5.90	N/A	N/A	4,095	3,069	219,667	133,460
2013-07-17	$86.31	$81.57	23.4%	6.7%	17.9%	27.8%	23.5%	2.1%	-0.2%	36.4M	-431.2M	-3.4M	0.52	6.50	N/A	N/A	3,491	1,812	221,169	134,290
2013-07-18	$87.59	$81.57	22.7%	6.5%	18.6%	25.3%	22.8%	2.6%	0.1%	52.2M	-569.2M	-3.3M	0.22	5.48	N/A	N/A	8,934	1,976	218,532	132,664
2013-07-19	$88.38	$81.57	22.4%	6.4%	14.8%	24.4%	22.6%	2.4%	0.0%	84.4M	-645.7M	-3.3M	0.21	4.86	N/A	N/A	13,278	2,742	218,855	133,060
2013-07-22	$88.26	$81.57	22.4%	6.4%	14.4%	24.2%	22.7%	2.9%	-0.8%	43.0M	-620.0M	-3.2M	0.48	5.10	N/A	N/A	7,683	3,665	194,323	119,958
2013-07-23	$88.32	$81.57	22.2%	6.4%	13.2%	23.7%	22.4%	3.2%	-0.9%	44.6M	-641.8M	-3.2M	0.56	5.49	N/A	N/A	6,974	3,916	198,001	121,669
2013-07-24	$87.33	$81.57	23.7%	6.8%	14.0%	28.7%	23.6%	3.0%	-1.6%	40.9M	-543.4M	-3.2M	0.50	6.10	N/A	N/A	5,610	2,797	199,223	123,474
2013-07-25	$87.38	$81.57	24.0%	6.9%	13.9%	29.8%	23.8%	2.9%	-1.6%	41.5M	-552.5M	-3.2M	1.15	6.64	N/A	N/A	5,494	6,325	202,121	124,277
2013-07-26	$87.09	$81.57	34.7%	7.0%	13.3%	66.6%	24.6%	2.2%	-1.3%	40.4M	-518.6M	-3.3M	0.39	6.92	N/A	N/A	8,615	3,345	203,963	128,715
2013-07-29	$86.83	$81.57	40.5%	7.4%	12.6%	86.7%	26.3%	2.2%	-2.3%	39.3M	-497.9M	-3.3M	0.76	12.05	N/A	N/A	12,158	9,269	204,569	129,294
2013-07-30	$84.76	$81.57	25.5%	5.9%	15.0%	35.1%	20.7%	1.6%	0.9%	33.5M	-286.1M	-3.1M	0.60	8.43	N/A	N/A	23,435	13,987	208,956	135,273
2013-07-31	$85.46	$81.57	23.4%	5.8%	15.2%	27.9%	20.6%	1.7%	0.1%	36.4M	-356.9M	-3.2M	0.40	7.87	N/A	N/A	8,327	3,369	211,954	142,133