OXY Options History — February 2014

In February 2014, OXY traded between $83.63 and $92.63. ATM implied volatility averaged 19.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.9% (HV 20d: 18.7%). Max pain ranged from $76.78 to $81.57. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2014-02-14: Highest Volume — 37,348 contracts
2014-02-07: Largest IV drop — 8.6% change
2014-02-03: Highest IV Rank — 34.9%
2014-02-04: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.12	$83.63	$92.63	$83.72	$92.63
Max Pain	$79.30	$76.78	$81.57	$76.78	$81.57
ATM IV	19.6%	16.6%	24.0%	24.0%	17.4%
Expected Move	6.5%	6.2%	6.9%	6.9%	6.2%
HV 20d	18.7%	15.8%	21.6%	17.8%	17.9%
HV 60d	17.0%	15.7%	18.3%	15.9%	17.1%
IV Rank	17.4%	5.6%	34.9%	34.9%	8.7%
IV Percentile	26.8%	2.8%	74.6%	74.6%	6.3%
Term Structure	-0.2%	-1.5%	0.8%	-1.1%	0.2%
VWIV	23.0%	19.9%	25.6%	25.6%	19.9%
Skew 25d	2.0%	1.5%	2.5%	1.9%	1.7%
Skew 10d	3.9%	2.2%	5.3%	3.2%	3.4%
Call IV 25d	18.9%	15.8%	23.4%	23.2%	17.1%
Put IV 25d	20.9%	18.0%	25.2%	25.1%	18.8%
Bid-Ask Spread %	10.39	6.45	17.50	12.70	9.96
Gamma HHI	0.17	0.09	0.45	0.09	0.17
Net GEX	27.4M	4.6M	66.6M	4.6M	29.1M
Net DEX	-288.7M	-602.9M	71.5M	53.8M	-453.5M
Net VEX	-2.9M	-3.0M	-2.7M	-2.7M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.25	1.37	1.37	0.64
Total Volume	10,210.737	2,546	37,348	8,064	9,233
Total OI	247,104	187,001	280,041	250,655	203,719

Daily Data (19 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
2014-02-03	$83.72	$76.78	24.0%	6.9%	17.8%	34.9%	25.6%	1.9%	-1.1%	4.6M	53.8M	-2.7M	1.37	12.70	N/A	N/A	3,404	4,660	162,658	87,997
2014-02-04	$83.63	$76.78	23.8%	6.9%	17.7%	34.0%	25.1%	1.7%	-1.5%	4.6M	71.5M	-2.7M	0.68	12.07	N/A	N/A	3,051	2,063	164,156	89,384
2014-02-05	$83.77	$76.78	23.9%	6.9%	15.8%	34.4%	23.8%	1.8%	-1.5%	5.2M	65.0M	-2.7M	0.52	17.23	N/A	N/A	6,962	3,639	164,930	90,113
2014-02-06	$84.91	$76.78	22.8%	6.9%	17.0%	30.0%	25.0%	1.8%	-0.2%	7.3M	-16.1M	-2.8M	0.46	17.50	N/A	N/A	4,177	1,901	168,253	91,957
2014-02-07	$86.94	$76.78	20.8%	6.8%	19.5%	22.2%	23.5%	2.2%	0.1%	12.6M	-156.2M	-2.9M	0.39	10.63	N/A	N/A	6,046	2,342	169,247	92,535
2014-02-10	$87.03	$76.78	21.2%	6.8%	19.3%	24.0%	23.4%	2.0%	-0.2%	13.9M	-144.8M	-2.9M	0.94	8.61	N/A	N/A	2,236	2,111	166,366	90,943
2014-02-11	$87.91	$76.78	20.6%	6.7%	17.6%	21.6%	22.2%	2.0%	-0.7%	18.6M	-200.7M	-2.9M	0.68	8.00	N/A	N/A	9,165	6,225	167,074	91,572
2014-02-12	$88.47	$76.78	19.9%	6.7%	17.5%	18.7%	23.1%	2.0%	-0.6%	23.4M	-249.7M	-2.9M	0.41	8.99	N/A	N/A	4,686	1,932	171,994	94,036
2014-02-13	$88.55	$79.17	19.5%	6.6%	17.2%	17.1%	25.1%	2.1%	-0.5%	25.1M	-258.7M	-2.9M	0.57	6.45	N/A	N/A	1,618	928	173,976	94,434
2014-02-14	$91.90	$79.17	19.6%	6.5%	21.6%	17.5%	22.8%	2.4%	-0.0%	49.9M	-576.1M	-3.0M	0.32	12.91	N/A	N/A	28,271	9,077	174,591	94,542
2014-02-18	$92.40	$81.57	18.2%	6.4%	20.8%	12.1%	21.4%	1.9%	0.8%	55.6M	-602.9M	-2.9M	0.79	10.46	N/A	N/A	12,340	9,714	177,440	94,523
2014-02-19	$91.11	$81.57	17.6%	6.4%	21.4%	9.6%	22.3%	2.5%	0.3%	49.8M	-469.4M	-2.9M	0.46	9.96	N/A	N/A	7,794	3,604	180,489	98,186
2014-02-20	$91.55	$81.57	17.4%	6.3%	21.2%	8.9%	23.0%	2.4%	0.3%	53.9M	-509.2M	-2.9M	0.41	8.78	N/A	N/A	4,564	1,887	180,780	98,126
2014-02-21	$91.55	$81.57	16.9%	6.3%	20.0%	6.9%	22.7%	2.5%	0.5%	66.6M	-526.6M	-2.9M	0.36	8.08	N/A	N/A	5,630	2,046	181,680	98,361
2014-02-24	$92.20	$81.57	16.6%	6.3%	18.7%	5.6%	22.8%	2.2%	0.0%	23.5M	-390.0M	-2.9M	0.48	9.34	N/A	N/A	9,489	4,559	118,209	68,792
2014-02-25	$91.96	$81.57	16.9%	6.3%	18.0%	6.6%	22.5%	1.5%	0.2%	25.1M	-384.9M	-2.9M	0.27	9.72	N/A	N/A	5,001	1,371	123,561	70,525
2014-02-26	$91.36	$81.57	17.8%	6.3%	18.1%	10.2%	22.3%	1.7%	0.2%	24.3M	-355.0M	-3.0M	0.25	8.87	N/A	N/A	6,779	1,706	126,514	71,161
2014-02-27	$91.68	$81.57	17.1%	6.3%	17.8%	7.8%	20.4%	1.5%	0.3%	27.0M	-381.2M	-3.0M	0.56	7.18	N/A	N/A	2,435	1,358	130,537	71,615
2014-02-28	$92.63	$81.57	17.4%	6.2%	17.9%	8.7%	19.9%	1.7%	0.2%	29.1M	-453.5M	-3.0M	0.64	9.96	N/A	N/A	5,627	3,606	131,450	72,269