OXY Options History — July 2014 In July 2014, OXY traded between $93.77 and $98.66. ATM implied volatility averaged 20.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.2% (HV 20d: 17.4%). Max pain ranged from $91.17 to $100.77. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2014-07-02 : Highest Volume — 53,365 contracts2014-07-28 : Largest IV drop — 4.9% change2014-07-30 : Highest IV Rank — 36.2%2014-07-02 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $96.68 $93.77 $98.66 $98.66 $93.77 Max Pain $96.51 $91.17 $100.77 $91.17 $95.97 ATM IV 20.5% 18.9% 21.7% 20.2% 18.9% Expected Move 5.6% 5.5% 5.8% 5.6% 5.7% HV 20d 17.4% 14.9% 20.5% 17.6% 15.4% HV 60d 15.2% 14.1% 15.8% 15.3% 15.7% IV Rank 24.1% 19.6% 36.2% 21.3% 30.4% IV Percentile 55.0% 33.7% 71.4% 50.0% 33.7% Term Structure -0.3% -1.0% 0.6% 0.1% -0.8% VWIV 20.0% 18.8% 22.0% 19.3% 21.0% Skew 25d 0.4% -0.7% 1.5% -0.0% 0.2% Skew 10d 0.7% -2.4% 2.7% 1.6% -2.4% Call IV 25d 21.0% 18.6% 22.6% 20.9% 18.6% Put IV 25d 21.4% 18.8% 22.5% 20.9% 18.8% Bid-Ask Spread % 12.54 9.68 15.39 11.24 15.07 Gamma HHI 0.35 0.20 0.42 0.38 0.20 Net GEX 61.8M 34.2M 78.7M 69.5M 34.2M Net DEX -693.6M -960.8M -293.6M -960.8M -293.6M Net VEX -4.9M -5.3M -4.5M -5.3M -4.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.11 1.49 0.69 0.59 Total Volume 12,232.227 2,491 53,365 14,891 10,876 Total OI 368,369.273 347,156 402,661 348,586 402,661
Daily Data (22 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 2014-07-01 $98.66 $91.17 20.2% 5.6% 17.6% 21.3% 19.3% -0.0% 0.1% 69.5M -960.8M -5.3M 0.69 11.24 N/A N/A 8,813 6,078 237,885 110,701 2014-07-02 $98.12 $91.17 20.4% 5.8% 17.7% 22.3% 19.4% 1.5% -0.2% 66.1M -848.9M -5.2M 0.30 15.39 N/A N/A 40,995 12,370 237,540 114,821 2014-07-03 $98.05 $93.57 19.7% 5.7% 17.6% 19.6% 18.9% 0.8% 0.6% 55.2M -848.2M -5.2M 0.74 9.70 N/A N/A 3,240 2,392 236,753 118,566 2014-07-07 $97.50 $93.57 20.2% 5.7% 17.6% 21.4% 20.3% 1.2% 0.4% 62.9M -763.6M -4.9M 0.86 9.68 N/A N/A 2,689 2,317 234,209 112,947 2014-07-08 $97.77 $93.57 20.5% 5.7% 17.6% 22.7% 19.8% 0.8% 0.0% 65.0M -802.8M -5.0M 1.09 13.60 N/A N/A 3,009 3,280 234,590 114,142 2014-07-09 $97.84 $100.77 20.1% 5.7% 17.5% 20.8% 19.3% 1.3% 0.6% 65.4M -793.1M -5.0M 0.20 14.17 N/A N/A 5,276 1,045 235,958 115,983 2014-07-10 $96.36 $100.77 20.3% 5.6% 18.5% 21.8% 20.2% 0.8% 0.0% 53.5M -623.8M -4.8M 0.78 13.95 N/A N/A 5,210 4,049 236,092 116,104 2014-07-11 $96.43 $100.77 21.2% 5.6% 17.8% 25.3% 19.5% 0.9% -0.6% 51.4M -648.1M -4.9M 0.11 11.71 N/A N/A 29,501 3,276 238,667 116,786 2014-07-14 $97.14 $100.77 21.1% 5.6% 16.5% 25.0% 18.8% 0.4% -0.2% 68.6M -776.1M -5.0M 0.41 12.41 N/A N/A 3,501 1,429 256,550 116,620 2014-07-15 $95.51 $100.77 21.0% 5.6% 17.4% 24.4% 20.1% 0.1% -0.8% 52.3M -562.2M -4.8M 0.74 11.70 N/A N/A 4,225 3,107 254,769 117,220 2014-07-16 $97.63 $100.77 21.4% 5.6% 19.3% 25.9% 19.8% 0.2% -0.4% 74.7M -834.8M -4.9M 0.13 10.54 N/A N/A 10,909 1,467 255,592 118,915 2014-07-17 $95.92 $95.97 21.7% 5.7% 20.1% 27.4% 22.0% 0.2% -1.0% 56.0M -628.9M -4.9M 1.14 11.06 N/A N/A 5,045 5,752 259,457 118,619 2014-07-18 $96.86 $95.97 21.4% 5.6% 20.5% 26.0% 20.3% 0.4% 0.1% 71.1M -768.8M -4.9M 0.76 11.67 N/A N/A 6,850 5,190 260,247 120,917 2014-07-21 $96.53 $95.97 21.0% 5.6% 20.3% 24.6% 19.6% 0.3% -0.7% 66.1M -680.7M -4.8M 0.54 10.68 N/A N/A 6,306 3,433 249,003 111,712 2014-07-22 $97.19 $95.97 20.5% 5.6% 19.9% 22.6% 19.2% -0.2% -0.5% 75.3M -767.6M -4.8M 0.86 12.06 N/A N/A 3,356 2,885 253,946 114,740 2014-07-23 $97.50 $95.97 20.5% 5.6% 15.3% 22.5% 19.5% 0.9% -0.5% 78.7M -810.3M -4.8M 0.43 11.70 N/A N/A 1,737 754 255,421 116,514 2014-07-24 $96.81 $95.97 20.8% 5.6% 14.9% 23.7% 20.3% -0.2% -0.8% 70.8M -717.0M -4.7M 0.16 12.10 N/A N/A 8,179 1,290 256,366 116,779 2014-07-25 $96.06 $95.97 21.3% 5.6% 15.1% 25.5% 21.0% -0.1% -0.1% 58.3M -642.4M -4.8M 1.35 13.74 N/A N/A 4,719 6,367 262,627 117,159 2014-07-28 $95.80 $95.97 20.2% 5.5% 15.1% 21.5% 20.6% 0.1% -0.9% 62.5M -584.6M -4.7M 0.87 14.60 N/A N/A 9,017 7,821 257,772 118,265 2014-07-29 $95.33 $95.97 19.8% 5.5% 15.0% 19.8% 20.7% -0.7% -0.8% 57.2M -521.5M -4.7M 1.49 14.27 N/A N/A 1,529 2,278 264,811 124,669 2014-07-30 $94.16 $95.97 19.7% 5.6% 15.4% 36.2% 19.8% 0.2% -0.9% 44.4M -380.4M -4.6M 0.65 14.84 N/A N/A 10,651 6,896 264,809 126,220 2014-07-31 $93.77 $95.97 18.9% 5.7% 15.4% 30.4% 21.0% 0.2% -0.8% 34.2M -293.6M -4.5M 0.59 15.07 N/A N/A 6,823 4,053 271,855 130,806
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