OXY Options History — June 2014

In June 2014, OXY traded between $95.74 and $100.95. ATM implied volatility averaged 16.5%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.4% (HV 20d: 14.1%). Max pain ranged from $81.57 to $91.17. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-06-05: Highest Volume — 57,658 contracts
  • 2014-06-12: Largest IV spike — 11.2% change
  • 2014-06-30: Highest IV Rank — 19.3%
  • 2014-06-13: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.77$95.74$100.95$95.74$98.49
Max Pain$85.65$81.57$91.17$83.97$91.17
ATM IV16.5%14.7%19.6%15.6%19.6%
Expected Move5.7%5.6%5.9%5.7%5.7%
HV 20d14.1%11.0%18.1%14.0%17.6%
HV 60d15.2%14.0%16.1%15.6%15.9%
IV Rank6.7%0.0%19.3%2.6%19.3%
IV Percentile11.0%0.0%40.9%3.2%40.9%
Term Structure0.7%-0.8%3.8%-0.1%1.1%
VWIV19.9%18.9%21.0%18.9%20.6%
Skew 25d0.7%-1.1%1.8%0.6%0.1%
Skew 10d1.9%-0.2%3.8%0.7%1.7%
Call IV 25d16.7%14.9%21.1%15.7%21.1%
Put IV 25d17.4%15.5%21.1%16.3%21.1%
Bid-Ask Spread %15.138.4820.7514.2811.60
Gamma HHI0.320.230.410.230.41
Net GEX72.6M55.2M83.5M77.0M65.6M
Net DEX-929.7M-1.19B-710.5M-812.1M-898.7M
Net VEX-5.4M-5.6M-5.2M-5.3M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.071.300.310.24
Total Volume12,534.7143,08657,6587,1698,484
Total OI344,115.619331,747354,145347,000337,598

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$95.74$83.9715.6%5.7%14.0%2.6%18.9%0.6%-0.1%77.0M-812.1M-5.3M0.3114.28N/AN/A5,4591,710251,66095,340
2014-06-03$96.20$83.9715.3%5.7%14.0%1.6%20.4%0.6%0.2%78.6M-858.2M-5.4M0.1013.81N/AN/A12,1681,274253,79295,950
2014-06-04$96.12$83.9715.4%5.7%13.6%1.9%21.0%0.5%0.0%80.1M-855.8M-5.4M0.5815.45N/AN/A2,7941,623255,70596,569
2014-06-05$96.83$83.9714.9%5.7%13.7%0.0%20.2%1.4%0.5%83.5M-947.1M-5.4M0.0718.94N/AN/A53,7773,881256,16897,054
2014-06-06$96.33$83.9715.0%5.7%13.1%0.5%19.9%0.6%-0.1%70.6M-786.0M-5.3M0.6916.42N/AN/A13,2429,100237,67899,162
2014-06-09$96.15$83.9715.0%5.7%13.0%0.6%19.3%0.7%0.3%73.0M-750.4M-5.4M0.6620.75N/AN/A4,7733,135238,006101,170
2014-06-10$95.95$83.9715.0%5.7%13.0%0.5%19.5%0.7%-0.2%73.8M-721.1M-5.3M0.3517.68N/AN/A2,286800239,103101,221
2014-06-11$95.86$83.9714.7%5.7%12.6%0.0%18.9%0.6%0.8%72.9M-710.5M-5.4M0.5915.95N/AN/A2,7521,620239,473101,570
2014-06-12$97.17$83.9716.3%5.8%13.3%6.3%20.4%0.9%0.4%81.7M-879.6M-5.5M0.4416.41N/AN/A13,0535,807240,150101,884
2014-06-13$99.07$83.9716.8%5.9%14.5%8.2%19.7%0.9%-0.1%75.8M-1.11B-5.6M0.2518.36N/AN/A10,9762,724242,662104,910
2014-06-16$99.18$83.9717.4%5.8%13.0%10.6%20.3%0.9%0.2%78.1M-1.12B-5.5M0.3014.12N/AN/A10,4813,148240,961103,653
2014-06-17$98.60$83.9717.6%5.8%13.4%11.6%18.9%0.7%0.3%75.7M-1.05B-5.5M0.3318.92N/AN/A5,4721,787243,209104,542
2014-06-18$99.09$86.3717.1%5.8%13.1%9.4%19.8%0.5%-0.8%76.0M-1.11B-5.5M0.7117.95N/AN/A4,0532,883245,485105,541
2014-06-19$99.18$86.3716.6%5.7%11.2%7.4%19.3%0.1%0.8%72.2M-1.09B-5.4M1.3016.55N/AN/A2,5403,295244,076106,878
2014-06-20$99.81$86.3716.5%5.7%11.0%7.2%20.1%0.5%0.5%73.7M-1.17B-5.4M0.2117.47N/AN/A10,6852,242244,699109,446
2014-06-23$100.95$0.0016.5%5.6%11.1%7.0%20.3%0.9%2.0%71.6M-1.19B-5.3M0.6313.35N/AN/A9,1725,773229,908101,839
2014-06-24$97.36$81.5718.0%5.7%18.1%13.0%19.5%-1.1%1.7%60.1M-784.8M-5.3M1.009.96N/AN/A6,9516,929231,504103,537
2014-06-25$98.48$91.1716.8%5.6%17.6%8.2%19.7%1.7%3.8%63.5M-904.9M-5.3M0.3411.02N/AN/A5,7021,946232,752105,932
2014-06-26$98.50$91.1717.7%5.6%17.5%11.8%20.8%1.8%2.5%64.9M-910.5M-5.3M0.7710.28N/AN/A3,8302,932234,204106,722
2014-06-27$98.09$91.1717.9%5.7%17.6%12.6%19.5%1.1%0.4%55.2M-859.4M-5.3M1.168.48N/AN/A5,5396,431235,832108,883
2014-06-30$98.49$91.1719.6%5.7%17.6%19.3%20.6%0.1%1.1%65.6M-898.7M-5.2M0.2411.60N/AN/A6,8581,626231,672105,926