OXY Options History — January 2014

In January 2014, OXY traded between $83.58 and $91.70. ATM implied volatility averaged 22.8%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.7% (HV 20d: 16.1%). Max pain ranged from $76.78 to $93.57. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2014-01-22: Highest Volume — 26,913 contracts
  • 2014-01-30: Largest IV drop — 11.8% change
  • 2014-01-03: Highest IV Rank — 32.2%
  • 2014-01-03: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.53$83.58$91.70$90.07$84.04
Max Pain$87.51$76.78$93.57$93.57$76.78
ATM IV22.8%19.8%24.6%24.2%21.7%
Expected Move6.7%6.6%6.9%6.8%6.9%
HV 20d16.1%13.0%18.1%13.7%17.8%
HV 60d16.2%15.7%16.6%16.2%16.0%
IV Rank26.3%15.9%32.2%31.0%25.9%
IV Percentile60.9%24.6%77.8%76.6%49.2%
Term Structure-1.2%-3.2%1.2%-0.8%0.8%
VWIV23.8%21.0%26.1%25.6%24.3%
Skew 25d1.3%0.5%2.1%1.6%1.8%
Skew 10d2.4%0.8%4.7%3.4%2.7%
Call IV 25d22.6%19.3%24.6%24.2%21.0%
Put IV 25d23.9%20.5%26.4%25.7%22.8%
Bid-Ask Spread %12.639.7117.019.7110.72
Gamma HHI0.150.090.210.190.09
Net GEX30.8M-1.7M77.7M49.5M5.9M
Net DEX-165.2M-610.9M86.9M-382.2M46.5M
Net VEX-2.8M-3.3M-2.4M-3.3M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.150.960.150.77
Total Volume15,104.9057,00626,91317,0698,811
Total OI323,595205,070405,247363,746258,544

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$90.07$93.5724.2%6.8%13.7%31.0%25.6%1.6%-0.8%49.5M-382.2M-3.3M0.159.71N/AN/A14,8922,177227,531136,215
2014-01-03$89.75$93.5724.6%6.9%13.7%32.2%25.7%1.8%-0.7%49.4M-338.8M-3.2M0.3411.97N/AN/A10,9233,710244,962137,201
2014-01-06$90.02$93.5724.2%6.8%13.0%30.9%23.5%1.6%-2.2%61.1M-406.0M-3.1M0.8612.39N/AN/A4,1703,595247,355135,925
2014-01-07$91.70$91.1723.6%6.8%14.1%29.0%26.1%2.1%-1.9%76.3M-610.9M-3.2M0.549.73N/AN/A10,9625,962248,915137,760
2014-01-08$90.97$91.1722.5%6.8%14.4%25.1%24.7%1.9%-1.9%76.1M-495.3M-3.1M0.4414.29N/AN/A9,5244,200250,909138,858
2014-01-09$91.02$91.1724.0%6.7%14.1%30.2%23.3%1.1%-2.3%77.1M-535.2M-3.2M0.2310.98N/AN/A20,5264,742253,372141,082
2014-01-10$90.07$91.1723.6%6.7%14.1%28.7%23.6%1.2%-2.2%77.7M-363.4M-3.1M0.5011.25N/AN/A5,9072,938261,460142,173
2014-01-13$87.85$91.1724.4%6.7%16.9%31.7%23.5%1.0%-2.5%30.7M-107.0M-2.7M0.6914.65N/AN/A10,1627,025254,138138,326
2014-01-14$88.59$91.1724.0%6.8%17.1%30.3%22.8%1.1%-2.7%41.7M-191.8M-2.8M0.4712.76N/AN/A4,7742,232257,288141,332
2014-01-15$87.77$93.5724.1%6.6%17.4%30.7%24.8%1.1%-3.2%24.5M-78.0M-2.6M0.9310.89N/AN/A4,9044,570255,965141,262
2014-01-16$88.07$91.1721.9%6.7%17.2%22.9%22.7%1.8%-1.5%23.2M-85.6M-2.6M0.1712.70N/AN/A14,3672,491256,597142,173
2014-01-17$86.92$91.1720.9%6.7%15.8%19.7%24.0%1.6%-1.5%-1.7M-4.6M-2.4M0.5812.73N/AN/A13,2967,737262,492142,755
2014-01-21$86.34$91.1720.0%6.7%15.7%16.6%23.1%1.7%-0.0%7.9M-8.0M-2.4M0.8017.01N/AN/A9,7317,806132,30072,770
2014-01-22$87.29$91.1719.8%6.6%16.3%15.9%21.0%1.1%-0.1%13.0M-66.2M-2.5M0.2312.91N/AN/A21,9164,997137,53976,380
2014-01-23$85.82$91.1720.1%6.6%17.1%17.0%23.8%0.7%0.3%7.0M-746.7K-2.6M0.3912.96N/AN/A9,3713,654146,80778,812
2014-01-24$84.45$76.7822.3%6.8%17.7%24.6%22.9%0.5%0.1%1.7M55.7M-2.6M0.8510.82N/AN/A5,6084,780152,99281,005
2014-01-27$83.58$76.7822.8%6.7%17.5%26.1%25.5%0.8%-0.8%1.9M86.9M-2.5M0.4312.58N/AN/A8,1603,475149,27180,657
2014-01-28$84.75$76.7823.8%6.8%18.1%29.6%22.1%0.6%-1.3%7.1M13.8M-2.6M0.1716.14N/AN/A14,7212,482153,10482,883
2014-01-29$84.28$76.7824.5%6.8%18.1%31.9%21.9%1.5%-1.5%8.7M6.6M-2.7M0.7714.49N/AN/A8,5916,624161,31883,482
2014-01-30$84.74$76.7821.6%6.8%18.1%22.1%24.5%0.8%1.2%8.2M-5.8M-2.7M0.9613.49N/AN/A10,54010,150164,55087,035
2014-01-31$84.04$76.7821.7%6.9%17.8%25.9%24.3%1.8%0.8%5.9M46.5M-2.7M0.7710.72N/AN/A4,9863,825168,07190,473