OXY Options History — April 2014

In April 2014, OXY traded between $89.57 and $93.52. ATM implied volatility averaged 20.6%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.8% (HV 20d: 17.8%). Max pain ranged from $81.57 to $83.97. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2014-04-17: Highest Volume — 76,743 contracts
  • 2014-04-02: Largest IV spike — 10.0% change
  • 2014-04-11: Highest IV Rank — 26.5%
  • 2014-04-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.85$89.57$93.52$91.07$91.89
Max Pain$83.74$81.57$83.97$81.57$83.97
ATM IV20.6%18.0%21.9%18.0%19.6%
Expected Move6.0%5.8%6.2%6.1%6.1%
HV 20d17.8%16.0%20.5%16.1%16.5%
HV 60d17.7%16.8%18.4%17.9%17.0%
IV Rank21.3%11.3%26.5%11.3%17.3%
IV Percentile36.5%8.3%52.8%8.3%23.8%
Term Structure-0.3%-1.3%0.9%-0.1%0.9%
VWIV21.1%18.4%22.9%21.8%20.7%
Skew 25d1.4%0.8%2.1%2.1%1.2%
Skew 10d2.7%-0.3%5.9%3.9%2.2%
Call IV 25d20.3%17.4%21.7%17.4%19.5%
Put IV 25d21.7%19.5%23.6%19.5%20.7%
Bid-Ask Spread %19.4613.6227.1213.6224.71
Gamma HHI0.180.150.240.180.18
Net GEX54.6M28.9M74.2M28.9M57.0M
Net DEX-541.0M-808.1M-241.3M-291.2M-554.2M
Net VEX-4.5M-5.2M-3.2M-3.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.070.780.080.78
Total Volume19,400.4295,50576,74322,15012,352
Total OI329,801.619244,860359,509244,860357,286

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$91.07$81.5718.0%6.1%16.1%11.3%21.8%2.1%-0.1%28.9M-291.2M-3.2M0.0813.62N/AN/A20,4471,703151,19993,661
2014-04-02$92.15$81.5719.8%5.9%16.7%18.4%19.7%1.4%-0.3%39.9M-445.6M-3.6M0.1218.78N/AN/A68,1788,439169,12494,316
2014-04-03$92.62$83.9719.7%5.8%16.6%17.7%20.3%1.1%-0.3%60.8M-631.2M-4.3M0.6115.76N/AN/A9,0015,511213,51197,543
2014-04-04$90.74$83.9720.3%5.9%17.8%20.1%21.0%1.1%-0.4%45.9M-386.7M-4.3M0.3820.24N/AN/A12,5594,785217,160100,914
2014-04-07$89.82$83.9721.5%6.1%18.1%25.0%22.3%1.1%-0.6%38.7M-282.4M-4.1M0.4716.86N/AN/A3,7491,756217,560100,358
2014-04-08$91.12$83.9721.4%6.0%18.8%24.5%20.4%1.5%-1.0%48.4M-437.3M-4.3M0.1622.12N/AN/A9,4101,530217,524101,204
2014-04-09$92.10$83.9721.3%6.0%19.2%24.0%22.9%2.1%-1.3%58.9M-572.7M-4.3M0.1418.24N/AN/A7,5381,078222,897101,764
2014-04-10$90.63$83.9721.4%6.1%19.9%24.6%21.9%2.0%-1.0%48.9M-385.5M-4.3M0.4617.76N/AN/A7,6483,492226,181102,110
2014-04-11$89.57$83.9721.9%6.2%20.1%26.5%21.2%1.9%-0.4%36.9M-241.3M-4.1M0.5519.43N/AN/A6,5043,571226,648103,665
2014-04-14$90.52$83.9721.1%6.1%20.5%23.3%22.7%1.6%-0.1%47.3M-347.3M-4.1M0.3027.12N/AN/A19,7815,886224,448102,923
2014-04-15$91.07$83.9721.3%5.9%20.5%24.2%21.8%1.6%-0.2%57.3M-435.1M-4.3M0.2422.72N/AN/A11,9452,825230,634106,190
2014-04-16$91.95$83.9720.3%6.1%19.3%20.0%18.4%1.5%0.1%74.2M-622.6M-4.3M0.5721.77N/AN/A6,1283,466235,186106,617
2014-04-17$92.71$83.9719.9%6.1%17.3%18.5%21.8%1.1%0.6%62.0M-808.1M-4.3M0.0718.25N/AN/A71,7245,019239,056108,357
2014-04-21$93.52$83.9720.0%6.0%17.1%19.2%19.8%1.2%-0.8%62.6M-738.8M-5.0M0.3122.68N/AN/A15,3504,823242,30792,159
2014-04-22$93.02$83.9721.0%6.0%17.2%22.9%22.0%1.0%-1.2%60.7M-706.7M-5.1M0.1716.85N/AN/A20,0393,475247,51594,793
2014-04-23$92.87$83.9720.8%6.1%17.0%22.3%22.7%1.0%-0.8%65.0M-714.6M-5.2M0.2417.59N/AN/A10,9932,654261,33897,113
2014-04-24$93.22$83.9720.9%6.0%16.4%22.8%20.0%1.1%-0.8%66.8M-733.3M-5.1M0.2318.18N/AN/A6,8021,572258,60997,425
2014-04-25$92.49$83.9720.7%6.0%16.3%21.9%21.5%1.2%-1.1%61.0M-649.5M-5.0M0.3615.64N/AN/A5,9372,144261,89497,615
2014-04-28$92.78$83.9720.8%6.1%16.0%22.2%21.4%0.8%0.8%61.1M-673.1M-4.9M0.2819.06N/AN/A5,4431,533256,93694,845
2014-04-29$92.97$83.9720.5%6.0%16.0%21.1%19.6%1.2%0.8%64.0M-702.8M-4.9M0.5921.30N/AN/A6,6683,951259,74295,507
2014-04-30$91.89$83.9719.6%6.1%16.5%17.3%20.7%1.2%0.9%57.0M-554.2M-4.7M0.7824.71N/AN/A6,9335,419260,94896,338