OXY Options History — November 2013

In November 2013, OXY traded between $91.13 and $95.36. ATM implied volatility averaged 21.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.9% (HV 20d: 17.2%). Max pain ranged from $93.57 to $95.97. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2013-11-13: Highest Volume — 54,456 contracts
  • 2013-11-27: Largest IV spike — 9.2% change
  • 2013-11-29: Highest IV Rank — 26.4%
  • 2013-11-27: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.01$91.13$95.36$91.79$91.13
Max Pain$93.69$93.57$95.97$93.57$93.57
ATM IV21.1%20.0%22.9%21.0%22.9%
Expected Move7.0%6.9%7.2%7.0%7.2%
HV 20d17.2%14.9%18.6%16.8%18.5%
HV 60d15.5%14.6%16.5%14.6%16.5%
IV Rank20.4%16.4%26.4%19.9%26.4%
IV Percentile41.4%28.2%65.9%37.3%65.9%
Term Structure-0.0%-0.8%0.9%0.9%0.3%
VWIV25.5%23.1%28.5%28.3%26.8%
Skew 25d1.3%0.5%1.8%1.4%0.5%
Skew 10d2.4%0.5%5.5%2.4%0.5%
Call IV 25d20.8%19.4%23.3%20.3%23.3%
Put IV 25d22.1%21.1%23.8%21.7%23.7%
Bid-Ask Spread %6.622.7423.832.775.07
Gamma HHI0.290.200.910.230.20
Net GEX100.5M15.5M913.9M57.3M15.5M
Net DEX-743.4M-1.10B-377.0M-699.0M-377.0M
Net VEX-3.8M-4.1M-3.4M-3.9M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.061.340.910.82
Total Volume18,4047,00654,45610,65015,123
Total OI374,374307,507438,126411,468365,196

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$91.79$93.5721.0%7.0%16.8%19.9%28.3%1.4%0.9%57.3M-699.0M-3.9M0.912.77N/AN/A5,5745,076257,743153,725
2013-11-04$93.79$93.5721.7%6.9%18.5%22.3%24.0%1.5%-0.6%73.8M-972.7M-3.8M0.662.74N/AN/A6,4354,247249,681148,410
2013-11-05$92.79$95.9722.0%7.0%17.6%23.4%26.9%1.5%-0.8%67.7M-848.7M-3.8M0.592.75N/AN/A4,9392,893251,798149,628
2013-11-06$93.10$93.5721.9%6.9%17.6%23.1%25.9%1.3%-0.8%72.1M-892.9M-3.8M0.477.44N/AN/A4,7652,254253,033150,331
2013-11-07$91.99$93.5722.1%7.0%17.7%23.6%27.8%1.2%-0.5%61.2M-730.7M-3.7M0.655.29N/AN/A9,0145,849254,675150,453
2013-11-08$92.45$93.5721.5%6.9%17.8%21.7%23.8%1.3%-0.7%65.2M-794.3M-3.6M0.463.61N/AN/A7,7633,578257,435153,340
2013-11-11$93.10$93.5721.2%6.9%17.9%20.7%0.0%1.6%-0.7%74.4M-892.1M-3.5M0.833.05N/AN/A4,9364,120253,510149,310
2013-11-12$91.79$93.5721.4%7.0%18.6%21.4%23.1%1.3%-0.4%58.6M-703.4M-3.5M0.367.23N/AN/A7,2272,571254,636150,965
2013-11-13$93.09$93.5720.5%6.9%18.1%18.4%27.1%1.3%-0.4%70.8M-878.0M-3.4M0.066.34N/AN/A51,3193,137256,472152,035
2013-11-14$93.55$93.5720.4%7.0%17.7%17.8%24.7%1.8%-0.2%115.2M-1.03B-3.7M0.318.29N/AN/A34,90610,728265,829150,665
2013-11-15$93.61$93.5720.1%7.0%17.7%16.9%25.2%1.4%0.1%913.9M-1.10B-3.8M0.215.68N/AN/A25,0625,227279,406158,720
2013-11-18$93.17$93.5720.0%7.0%17.2%16.4%23.8%1.4%0.5%40.0M-541.8M-3.7M0.625.17N/AN/A7,3784,587186,409121,098
2013-11-19$92.99$93.5720.2%7.0%16.9%17.2%24.4%1.4%0.3%39.8M-524.5M-3.7M0.8811.97N/AN/A3,7173,289189,455123,454
2013-11-20$93.26$93.5720.6%7.0%14.9%18.6%24.4%1.4%0.5%39.9M-543.7M-3.7M0.216.09N/AN/A14,0872,891189,480125,069
2013-11-21$94.67$93.5720.3%7.0%15.0%17.7%24.2%1.6%-0.4%54.4M-744.7M-3.8M0.346.28N/AN/A18,5376,315201,181125,709
2013-11-22$95.36$93.5720.3%6.9%15.1%17.6%25.6%1.1%-0.1%54.1M-870.4M-3.9M0.255.63N/AN/A14,2433,553209,138128,792
2013-11-25$93.54$93.5720.8%7.0%16.6%19.4%23.3%1.0%0.6%50.6M-647.4M-3.9M0.428.79N/AN/A7,5263,186209,694125,608
2013-11-26$93.69$93.5720.8%7.0%16.1%19.2%26.1%1.0%0.9%51.8M-664.2M-3.9M1.344.47N/AN/A3,8735,181213,068127,166
2013-11-27$91.36$93.5722.7%7.2%18.5%25.8%28.5%0.7%0.6%33.6M-405.9M-3.9M0.9823.83N/AN/A21,74321,231214,442130,721
2013-11-29$91.13$93.5722.9%7.2%18.5%26.4%26.8%0.5%0.3%15.5M-377.0M-4.1M0.825.07N/AN/A8,2876,836225,889139,307