OXY Options History — May 2014

In May 2014, OXY traded between $90.63 and $95.81. ATM implied volatility averaged 16.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.8% (HV 20d: 13.7%). 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 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2014-05-06: Highest Volume — 25,295 contracts
  • 2014-05-05: Largest IV drop — 12.9% change
  • 2014-05-02: Highest IV Rank — 18.6%
  • 2014-05-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.81$90.63$95.81$91.16$95.67
Max Pain$83.74$81.57$83.97$83.97$83.97
ATM IV16.4%14.9%19.9%19.4%15.4%
Expected Move5.8%5.6%6.0%6.0%5.7%
HV 20d13.7%11.6%16.2%16.2%14.3%
HV 60d15.9%14.7%17.2%17.1%15.6%
IV Rank5.3%0.0%18.6%16.7%1.9%
IV Percentile4.5%0.0%28.6%21.4%2.4%
Term Structure-0.0%-0.7%1.2%1.2%-0.0%
VWIV20.4%18.1%23.1%21.6%19.7%
Skew 25d1.2%0.3%1.6%1.5%0.6%
Skew 10d1.9%0.1%4.2%1.0%1.1%
Call IV 25d16.1%14.2%19.1%19.1%15.5%
Put IV 25d17.2%15.5%20.6%20.5%16.1%
Bid-Ask Spread %18.3814.9023.9918.8314.90
Gamma HHI0.190.150.270.170.23
Net GEX66.0M41.1M98.0M51.4M90.5M
Net DEX-572.9M-869.8M-328.7M-460.9M-850.8M
Net VEX-4.7M-5.4M-4.2M-4.6M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.230.890.320.42
Total Volume14,136.2385,32425,2959,4938,198
Total OI352,110.81302,447380,727361,773354,882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$91.16$83.9719.4%6.0%16.2%16.7%21.6%1.5%1.2%51.4M-460.9M-4.6M0.3218.83N/AN/A7,2122,281263,21198,562
2014-05-02$90.63$83.9719.9%5.9%16.1%18.6%20.6%1.4%1.1%43.9M-402.9M-4.5M0.2318.75N/AN/A15,7973,565262,93599,812
2014-05-05$90.88$83.9717.3%6.0%14.4%8.5%20.8%1.3%-0.4%41.7M-399.5M-4.2M0.4921.92N/AN/A11,4595,634257,20096,401
2014-05-06$91.97$83.9717.3%5.9%14.5%8.2%20.5%1.1%-0.7%56.7M-533.4M-4.4M0.3623.47N/AN/A18,6236,672260,01898,815
2014-05-07$92.35$83.9717.5%5.9%13.7%9.3%19.7%1.1%-0.5%64.8M-596.8M-4.7M0.6022.39N/AN/A3,3261,998266,798102,828
2014-05-08$91.35$83.9717.6%5.9%13.7%9.5%20.8%0.5%-0.5%49.0M-475.3M-4.4M0.5216.56N/AN/A4,3342,243267,953103,099
2014-05-09$92.24$83.9717.0%5.9%12.8%7.0%23.1%0.8%-0.3%70.8M-587.3M-4.5M0.5019.18N/AN/A4,6102,294268,637103,797
2014-05-12$92.53$83.9716.4%5.8%11.9%4.7%22.1%1.5%-0.5%64.6M-602.1M-4.4M0.4716.54N/AN/A5,3762,526264,19999,894
2014-05-13$93.59$83.9716.1%5.8%12.0%3.8%19.7%1.6%0.0%81.1M-741.4M-4.6M0.7217.33N/AN/A13,1419,436265,919101,085
2014-05-14$93.45$83.9715.8%5.7%11.9%2.5%19.1%1.4%-0.3%86.5M-714.2M-4.6M0.4716.39N/AN/A5,0022,343270,297105,342
2014-05-15$93.15$83.9716.2%5.8%11.6%3.9%18.1%1.4%-0.4%81.4M-654.8M-4.6M0.4116.51N/AN/A12,0304,936269,571104,807
2014-05-16$91.83$83.9716.0%5.8%12.4%3.2%21.6%1.6%-0.2%47.9M-473.0M-4.4M0.3018.06N/AN/A16,2744,869273,063107,664
2014-05-19$92.07$83.9715.2%5.7%12.0%0.2%20.5%1.3%-0.1%47.7M-390.7M-4.3M0.8915.72N/AN/A7,7466,886225,19677,251
2014-05-20$91.61$83.9715.1%5.8%12.0%0.0%20.5%1.4%0.4%41.1M-328.7M-4.4M0.4623.99N/AN/A11,6205,343228,00383,354
2014-05-21$93.66$83.9714.9%5.6%14.4%0.0%21.8%1.3%0.3%65.6M-564.1M-4.8M0.3620.67N/AN/A13,7754,967234,53886,277
2014-05-22$93.31$81.5715.2%5.6%14.4%1.0%20.1%1.4%0.6%68.6M-543.1M-4.9M0.2817.99N/AN/A10,6133,012241,05088,515
2014-05-23$93.06$81.5715.0%5.6%14.2%0.3%19.7%1.2%0.3%98.0M-509.6M-4.8M0.2518.65N/AN/A6,8081,721245,22490,216
2014-05-27$93.52$83.9715.4%5.6%14.2%2.0%19.1%0.8%-0.2%67.4M-565.0M-4.9M0.4117.48N/AN/A9,0963,762244,89389,873
2014-05-28$95.06$83.9716.3%5.7%15.3%5.3%19.8%0.3%-0.4%78.7M-766.8M-5.2M0.3115.21N/AN/A17,3845,338248,05092,520
2014-05-29$95.81$83.9716.2%5.6%14.7%5.1%20.5%0.8%-0.1%88.0M-869.8M-5.4M0.2715.48N/AN/A11,5263,085257,42095,158
2014-05-30$95.67$83.9715.4%5.7%14.3%1.9%19.7%0.6%-0.0%90.5M-850.8M-5.3M0.4214.90N/AN/A5,7902,408258,36896,514