OXY Options History — September 2013

In September 2013, OXY traded between $84.90 and $90.65. ATM implied volatility averaged 20.0%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.1% (HV 20d: 13.8%). Max pain ranged from $83.97 to $86.37. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-09-13: Highest Volume — 60,842 contracts
  • 2013-09-05: Largest IV drop — 21.7% change
  • 2013-09-03: Highest IV Rank — 37.2%
  • 2013-09-30: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.47$84.90$90.65$84.90$89.77
Max Pain$84.69$83.97$86.37$83.97$86.37
ATM IV20.0%17.7%26.0%26.0%23.0%
Expected Move5.6%5.1%6.2%6.2%6.2%
HV 20d13.8%11.7%15.4%11.7%14.5%
HV 60d14.7%13.9%15.9%15.7%13.9%
IV Rank16.4%8.5%37.2%37.2%26.7%
IV Percentile24.7%6.7%75.4%75.4%59.9%
Term Structure2.1%0.3%2.7%0.3%2.0%
VWIV20.1%17.7%24.5%21.4%21.5%
Skew 25d2.1%1.8%2.6%2.1%2.0%
Skew 10d4.7%3.2%6.0%3.9%5.3%
Call IV 25d19.2%17.1%21.0%21.0%20.9%
Put IV 25d21.3%19.7%23.1%23.1%22.9%
Bid-Ask Spread %7.324.7613.069.685.02
Gamma HHI0.270.170.370.280.20
Net GEX48.9M33.2M61.6M33.2M51.4M
Net DEX-533.7M-792.9M-299.9M-299.9M-704.7M
Net VEX-3.6M-3.9M-3.5M-3.5M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.091.350.291.35
Total Volume14,383.852,95460,8426,62010,696
Total OI313,049.5287,305332,864303,872322,940

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$84.90$83.9726.0%6.2%11.7%37.2%21.4%2.1%0.3%33.2M-299.9M-3.5M0.299.68N/AN/A5,1401,480185,962117,910
2013-09-04$86.15$83.9724.8%5.7%12.7%33.0%21.8%2.3%1.1%41.3M-420.5M-3.6M0.488.44N/AN/A6,9103,348188,116118,525
2013-09-05$86.12$83.9719.4%5.6%12.7%14.6%24.5%2.1%1.3%42.2M-411.7M-3.6M0.316.17N/AN/A13,4664,198189,148120,431
2013-09-06$85.41$83.9718.4%5.9%12.9%11.0%21.3%2.6%2.1%40.8M-349.6M-3.7M1.009.36N/AN/A1,4791,475186,127123,257
2013-09-09$86.08$83.9720.4%5.8%13.1%17.8%20.5%2.4%2.0%46.8M-425.0M-3.6M0.5813.06N/AN/A3,3541,960186,010121,449
2013-09-10$86.05$83.9719.8%5.7%13.1%15.8%20.8%2.3%2.4%47.8M-416.0M-3.5M0.4912.57N/AN/A4,1882,034186,101121,488
2013-09-11$87.16$83.9718.1%5.6%13.6%10.2%19.1%2.1%2.3%54.7M-534.6M-3.5M0.545.91N/AN/A4,5422,472188,075121,633
2013-09-12$87.34$83.9719.3%5.5%13.5%14.2%19.0%1.9%2.2%57.8M-569.2M-3.5M0.296.90N/AN/A5,2961,560189,823122,634
2013-09-13$85.88$83.9720.0%5.7%14.7%16.5%20.0%1.8%2.2%55.1M-392.7M-3.5M0.214.76N/AN/A50,37010,472189,670123,173
2013-09-16$86.07$83.9720.0%5.7%14.5%16.6%20.1%2.0%1.8%59.8M-407.6M-3.5M0.166.34N/AN/A17,7732,912200,969128,275
2013-09-17$87.31$83.9719.9%5.7%14.9%16.3%19.8%2.0%2.0%61.6M-563.3M-3.6M0.237.39N/AN/A9,9412,304203,274124,565
2013-09-18$88.59$83.9718.4%5.3%15.4%10.9%18.5%1.8%2.4%59.0M-733.5M-3.5M0.198.29N/AN/A8,8811,694205,973124,703
2013-09-19$88.40$83.9717.7%5.1%15.1%8.5%17.7%2.6%2.5%61.3M-703.4M-3.5M0.245.99N/AN/A11,1512,635203,965123,758
2013-09-20$87.87$83.9718.2%5.2%15.3%10.3%18.1%2.1%2.7%38.1M-663.0M-3.5M0.135.90N/AN/A13,4691,730207,963124,901
2013-09-23$87.69$86.3718.5%5.3%13.4%11.3%19.0%2.1%2.6%36.8M-451.2M-3.5M0.475.92N/AN/A9,0814,273181,180106,125
2013-09-24$89.06$86.3718.4%5.3%14.1%11.2%18.5%2.1%2.4%44.4M-577.0M-3.6M0.265.48N/AN/A8,6862,299185,917109,216
2013-09-25$89.17$86.3718.8%5.4%13.7%12.4%19.0%2.1%2.7%45.4M-589.0M-3.6M0.166.15N/AN/A9,1911,468188,245109,928
2013-09-26$89.81$86.3720.0%5.7%13.6%16.6%19.7%1.9%2.7%47.5M-668.5M-3.7M0.096.07N/AN/A28,9502,574194,450110,612
2013-09-27$90.65$86.3720.0%5.8%13.7%16.5%20.6%2.1%2.4%52.5M-792.9M-3.9M0.867.03N/AN/A7,6416,584213,055111,444
2013-09-30$89.77$86.3723.0%6.2%14.5%26.7%21.5%2.0%2.0%51.4M-704.7M-3.9M1.355.02N/AN/A4,5516,145211,988110,952