OXY Options History — March 2014

In March 2014, OXY traded between $89.18 and $93.34. ATM implied volatility averaged 18.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.1% (HV 20d: 16.0%). Max pain ranged from $81.57 to $81.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-03-05: Highest Volume — 43,702 contracts
  • 2014-03-18: Largest IV drop — 8.6% change
  • 2014-03-14: Highest IV Rank — 17.0%
  • 2014-03-20: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.84$89.18$93.34$92.18$91.45
Max Pain$81.57$81.57$81.57$81.57$81.57
ATM IV18.2%16.6%19.5%18.7%18.3%
Expected Move6.3%6.1%6.4%6.3%6.1%
HV 20d16.0%11.1%18.1%17.6%16.7%
HV 60d17.3%16.3%18.1%17.1%17.9%
IV Rank11.8%5.7%17.0%14.0%12.2%
IV Percentile11.5%1.6%22.2%14.3%11.5%
Term Structure0.4%-1.2%2.5%0.1%-0.2%
VWIV22.0%20.4%24.8%23.2%20.9%
Skew 25d1.5%1.3%2.1%1.6%1.7%
Skew 10d3.3%1.5%5.8%3.6%3.5%
Call IV 25d17.9%16.3%19.4%18.5%17.6%
Put IV 25d19.4%17.7%20.7%20.1%19.4%
Bid-Ask Spread %12.406.8218.179.7314.38
Gamma HHI0.200.140.250.160.21
Net GEX30.7M15.0M44.5M27.6M26.1M
Net DEX-362.9M-498.3M-159.3M-398.1M-303.2M
Net VEX-3.2M-3.3M-3.0M-3.0M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.101.240.270.63
Total Volume11,780.8572,81243,70211,3615,150
Total OI223,171202,684244,483202,684236,357

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$92.18$81.5718.7%6.3%17.6%14.0%23.2%1.6%0.1%27.6M-398.1M-3.0M0.279.73N/AN/A8,9512,410130,23472,450
2014-03-04$93.30$81.5718.0%6.3%17.5%11.2%22.8%1.7%0.3%33.8M-492.8M-3.1M0.307.64N/AN/A12,8283,866134,98773,545
2014-03-05$92.95$81.5718.1%6.3%17.7%11.7%24.8%1.8%0.4%35.1M-498.3M-3.2M0.106.82N/AN/A39,7893,913141,49674,180
2014-03-06$92.39$81.5718.0%6.2%18.1%11.1%21.5%1.7%0.5%30.9M-418.2M-3.2M0.658.88N/AN/A3,0051,950133,82176,607
2014-03-07$93.21$81.5718.2%6.2%17.9%11.8%21.3%1.3%0.7%42.6M-477.8M-3.3M0.2710.74N/AN/A11,2323,007134,55977,301
2014-03-10$93.30$81.5718.5%6.3%16.4%13.0%22.6%1.5%-0.7%41.1M-494.7M-3.3M0.398.01N/AN/A2,8471,110140,02775,340
2014-03-11$92.52$81.5718.6%6.3%17.0%13.7%20.4%1.5%-0.9%37.8M-430.3M-3.3M0.4610.73N/AN/A1,925887140,96775,851
2014-03-12$92.50$81.5718.4%6.3%16.8%12.9%22.4%1.5%-0.9%37.3M-417.8M-3.3M0.8011.20N/AN/A3,6452,907141,63076,208
2014-03-13$91.95$81.5718.8%6.4%17.0%14.3%21.8%1.5%0.1%34.0M-385.1M-3.2M0.6711.57N/AN/A2,0001,349143,25377,940
2014-03-14$92.63$81.5719.5%6.3%17.1%17.0%21.7%1.3%-1.2%36.2M-437.7M-3.2M1.2411.97N/AN/A2,0772,582143,60478,249
2014-03-17$92.95$81.5718.2%6.3%11.1%11.9%22.3%1.6%2.1%39.4M-448.8M-3.1M0.5211.40N/AN/A2,3211,207141,21777,405
2014-03-18$93.34$81.5716.6%6.2%11.1%5.7%21.9%1.4%2.5%44.5M-481.1M-3.1M0.6311.92N/AN/A3,4492,175142,02477,826
2014-03-19$91.31$81.5717.0%6.3%12.7%7.1%23.5%1.4%2.1%23.4M-307.9M-3.1M0.8115.56N/AN/A6,5255,281142,84978,875
2014-03-20$89.18$81.5717.8%6.4%15.1%10.2%22.9%1.4%2.3%15.0M-159.3M-3.0M0.4218.15N/AN/A21,3058,852145,46981,794
2014-03-21$90.28$81.5717.0%6.2%15.8%7.2%22.1%1.4%2.3%22.5M-246.8M-3.0M1.1017.94N/AN/A15,70217,229150,25585,981
2014-03-24$90.09$81.5718.3%6.2%15.5%12.3%21.4%1.9%0.0%20.7M-210.5M-3.2M1.0013.11N/AN/A4,8664,853142,45185,464
2014-03-25$90.83$81.5718.1%6.2%15.9%11.3%20.7%1.3%-0.0%24.6M-259.6M-3.2M0.5512.53N/AN/A5,1832,869144,38689,664
2014-03-26$89.77$81.5718.9%6.3%16.3%14.6%20.8%1.4%-0.0%18.0M-164.3M-3.2M1.2015.92N/AN/A4,0614,857146,00890,902
2014-03-27$90.83$81.5718.6%6.1%16.8%13.4%21.2%1.7%-0.3%25.2M-249.1M-3.3M0.8718.17N/AN/A3,7163,245147,06693,866
2014-03-28$91.70$81.5718.2%6.2%16.7%12.0%22.2%2.1%-0.3%27.8M-339.1M-3.3M0.1414.02N/AN/A10,7201,552148,79695,687
2014-03-31$91.45$81.5718.3%6.1%16.7%12.2%20.9%1.7%-0.2%26.1M-303.2M-3.2M0.6314.38N/AN/A3,1681,982143,82192,536