OXY Options History — August 2013

In August 2013, OXY traded between $81.94 and $86.23. ATM implied volatility averaged 19.0%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.5% (HV 20d: 13.5%). Max pain ranged from $81.57 to $86.37. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.51.

Notable Days

2013-08-12: Highest Volume — 30,394 contracts
2013-08-15: Largest IV spike — 28.8% change
2013-08-30: Highest IV Rank — 25.1%
2013-08-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.13	$81.94	$86.23	$86.23	$84.65
Max Pain	$84.63	$81.57	$86.37	$81.57	$83.97
ATM IV	19.0%	15.2%	22.5%	19.7%	22.5%
Expected Move	5.6%	4.9%	6.2%	5.5%	6.2%
HV 20d	13.5%	11.4%	15.3%	15.2%	12.0%
HV 60d	17.7%	15.7%	19.2%	19.1%	15.7%
IV Rank	13.0%	0.0%	25.1%	14.9%	25.1%
IV Percentile	16.2%	0.0%	49.2%	15.1%	49.2%
Term Structure	1.4%	0.3%	2.9%	0.9%	0.6%
VWIV	19.5%	17.7%	22.8%	19.3%	21.5%
Skew 25d	2.0%	1.2%	2.6%	1.8%	1.9%
Skew 10d	3.6%	2.5%	4.8%	4.8%	3.3%
Call IV 25d	18.8%	17.3%	21.3%	18.8%	21.3%
Put IV 25d	20.8%	18.8%	23.2%	20.6%	23.2%
Bid-Ask Spread %	8.44	5.50	13.82	8.07	7.47
Gamma HHI	0.27	0.15	0.42	0.29	0.26
Net GEX	26.1M	9.5M	42.4M	42.4M	30.0M
Net DEX	-215.8M	-431.0M	-45.9M	-431.0M	-294.8M
Net VEX	-3.1M	-3.6M	-2.8M	-3.2M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.11	1.45	0.37	0.27
Total Volume	12,033.864	2,478	30,394	7,019	5,887
Total OI	329,281.727	245,543	400,232	357,593	303,780

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
2013-08-01	$86.23	$81.57	19.7%	5.5%	15.2%	14.9%	19.3%	1.8%	0.9%	42.4M	-431.0M	-3.2M	0.37	8.07	N/A	N/A	5,140	1,879	215,466	142,127
2013-08-02	$85.34	$81.57	16.2%	4.9%	15.0%	3.0%	17.7%	1.5%	2.0%	39.5M	-331.0M	-3.0M	0.87	8.78	N/A	N/A	8,095	7,030	215,321	141,797
2013-08-05	$84.60	$86.37	18.9%	5.6%	15.2%	12.4%	19.6%	2.5%	2.1%	30.8M	-245.0M	-2.9M	0.61	13.82	N/A	N/A	3,350	2,034	214,394	143,017
2013-08-06	$84.63	$86.37	19.4%	5.5%	14.9%	14.0%	19.2%	2.6%	2.2%	31.8M	-245.4M	-2.9M	1.23	11.14	N/A	N/A	5,286	6,527	215,027	142,478
2013-08-07	$84.34	$86.37	17.9%	5.5%	14.7%	8.7%	19.0%	2.5%	2.2%	28.3M	-213.3M	-2.9M	0.59	9.00	N/A	N/A	1,555	923	218,779	147,126
2013-08-08	$84.91	$86.37	17.5%	5.4%	14.1%	7.6%	19.3%	2.4%	2.5%	34.8M	-265.5M	-2.9M	0.50	7.74	N/A	N/A	3,769	1,883	218,873	147,503
2013-08-09	$84.72	$86.37	16.7%	5.4%	14.1%	4.5%	18.7%	2.5%	2.5%	34.9M	-245.9M	-2.8M	1.06	7.46	N/A	N/A	4,175	4,407	220,175	148,183
2013-08-12	$84.73	$86.37	18.6%	5.5%	14.1%	11.2%	18.7%	2.2%	2.6%	34.2M	-241.8M	-2.8M	0.44	9.53	N/A	N/A	21,085	9,309	218,602	147,545
2013-08-13	$84.33	$86.37	16.5%	5.5%	13.8%	4.0%	18.7%	1.9%	2.4%	27.4M	-222.7M	-2.9M	0.39	7.13	N/A	N/A	12,575	4,878	231,410	154,017
2013-08-14	$84.15	$86.37	15.2%	5.5%	13.7%	0.0%	19.2%	1.6%	2.3%	21.6M	-219.0M	-3.0M	0.53	7.84	N/A	N/A	4,933	2,590	241,451	155,656
2013-08-15	$83.48	$83.97	19.5%	5.6%	12.5%	15.0%	19.7%	1.8%	2.9%	9.5M	-136.2M	-2.9M	0.54	7.55	N/A	N/A	11,367	6,119	238,505	154,876
2013-08-16	$83.02	$83.97	19.5%	5.6%	11.8%	14.7%	19.2%	1.8%	2.7%	10.2M	-97.5M	-3.0M	0.35	7.12	N/A	N/A	14,429	4,993	243,500	156,732
2013-08-19	$82.64	$83.97	19.9%	5.7%	11.8%	16.2%	19.2%	1.9%	0.5%	13.3M	-76.5M	-2.9M	0.17	5.50	N/A	N/A	9,476	1,571	143,745	101,798
2013-08-20	$82.49	$83.97	19.9%	5.7%	11.7%	16.2%	19.4%	1.2%	0.3%	15.3M	-72.6M	-2.9M	0.11	7.04	N/A	N/A	12,673	1,334	149,886	102,797
2013-08-21	$81.94	$83.97	19.6%	5.6%	11.4%	15.2%	19.8%	1.6%	0.5%	14.0M	-45.9M	-3.0M	0.69	8.39	N/A	N/A	9,270	6,431	158,786	103,511
2013-08-22	$82.65	$83.97	19.2%	5.5%	12.1%	13.9%	18.7%	1.7%	0.3%	17.4M	-80.9M	-3.1M	0.25	10.69	N/A	N/A	4,944	1,231	162,468	108,505
2013-08-23	$84.62	$83.97	18.8%	5.4%	15.3%	12.3%	18.1%	2.1%	0.6%	25.4M	-251.8M	-3.3M	0.19	7.14	N/A	N/A	20,766	4,019	165,336	108,521
2013-08-26	$84.38	$83.97	19.8%	5.7%	15.3%	16.0%	19.8%	1.8%	0.3%	27.5M	-243.8M	-3.4M	0.37	9.64	N/A	N/A	6,604	2,427	171,815	110,623
2013-08-27	$83.83	$83.97	21.1%	6.1%	12.9%	20.3%	21.3%	2.3%	0.6%	25.4M	-209.5M	-3.4M	0.18	10.09	N/A	N/A	10,940	1,964	174,147	112,347
2013-08-28	$84.62	$83.97	21.0%	6.0%	13.0%	20.1%	20.7%	2.1%	0.5%	30.1M	-282.0M	-3.6M	0.14	7.49	N/A	N/A	6,354	913	181,151	113,476
2013-08-29	$84.65	$83.97	21.5%	6.2%	12.5%	21.6%	22.8%	1.9%	0.4%	31.4M	-295.5M	-3.6M	1.45	7.00	N/A	N/A	3,920	5,690	185,092	113,854
2013-08-30	$84.65	$83.97	22.5%	6.2%	12.0%	25.1%	21.5%	1.9%	0.6%	30.0M	-294.8M	-3.6M	0.27	7.47	N/A	N/A	4,618	1,269	185,667	118,113