OXY Options History — August 2014

In August 2014, OXY traded between $93.94 and $99.82. ATM implied volatility averaged 17.2%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.2% (HV 20d: 17.0%). Max pain ranged from $95.97 to $95.97. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-08-14: Highest Volume — 173,024 contracts
  • 2014-08-18: Largest IV drop — 9.2% change
  • 2014-08-07: Highest IV Rank — 44.4%
  • 2014-08-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.96$93.94$99.82$93.94$99.55
Max Pain$95.97$95.97$95.97$95.97$95.97
ATM IV17.2%14.7%20.8%18.8%14.8%
Expected Move5.7%5.4%6.2%5.8%5.4%
HV 20d17.0%14.5%20.2%15.4%14.7%
HV 60d16.4%15.7%17.1%15.7%16.0%
IV Rank18.3%0.2%44.4%29.6%1.0%
IV Percentile21.1%0.4%62.3%32.9%0.8%
Term Structure0.1%-0.9%1.2%-0.4%0.5%
VWIV20.0%18.6%22.3%19.8%19.3%
Skew 25d1.2%-0.5%2.1%1.3%1.5%
Skew 10d2.2%-0.2%3.9%1.2%1.4%
Call IV 25d17.1%14.2%21.6%19.5%14.6%
Put IV 25d18.3%15.2%22.2%20.8%16.1%
Bid-Ask Spread %12.2610.2514.5312.9612.94
Gamma HHI0.210.130.380.210.18
Net GEX62.2M36.9M100.2M41.9M100.0M
Net DEX-694.2M-1.11B-313.4M-313.4M-1.07B
Net VEX-5.7M-7.2M-4.3M-4.5M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.061.710.830.06
Total Volume27,047.6196,719173,02411,52093,422
Total OI430,532.905382,358555,219407,281481,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$93.94$95.9718.8%5.8%15.4%29.6%19.8%1.3%-0.4%41.9M-313.4M-4.5M0.8312.96N/AN/A6,2875,233274,903132,378
2014-08-04$96.69$95.9719.2%5.8%18.9%32.5%20.2%0.5%0.3%78.0M-691.1M-4.7M0.4113.18N/AN/A9,5563,929271,507128,353
2014-08-05$95.12$95.9719.6%5.9%19.6%35.7%21.4%0.2%1.2%55.1M-491.1M-4.6M1.7111.27N/AN/A4,5467,771274,797130,084
2014-08-06$95.40$95.9720.2%6.0%19.7%39.9%21.2%-0.5%0.4%58.2M-520.6M-4.8M0.9012.82N/AN/A3,5423,177276,993133,915
2014-08-07$94.33$95.9720.8%6.2%19.4%44.4%20.6%1.2%0.5%36.9M-363.5M-4.6M1.0510.81N/AN/A4,7615,004278,708136,088
2014-08-08$95.78$95.9720.2%6.0%20.2%39.4%22.3%0.9%0.6%56.6M-551.6M-4.7M0.4612.67N/AN/A4,6212,130280,688136,845
2014-08-11$95.75$95.9720.0%5.9%20.0%38.0%22.1%1.6%-0.6%48.9M-537.4M-4.5M0.8511.15N/AN/A5,4494,606276,503133,357
2014-08-12$95.79$95.9719.5%5.9%19.1%34.7%22.1%2.1%-0.8%43.7M-529.0M-4.4M0.4812.40N/AN/A8,1513,893277,293135,629
2014-08-13$95.96$95.9717.8%5.8%17.3%22.5%19.8%1.5%-0.7%43.5M-548.2M-4.3M0.9313.90N/AN/A6,8136,309281,789137,129
2014-08-14$95.94$95.9717.8%5.8%16.1%22.2%20.5%1.4%-0.9%41.3M-548.8M-4.3M0.1510.25N/AN/A149,95223,072280,700136,800
2014-08-15$96.41$95.9717.0%5.8%15.8%16.8%19.7%1.6%-0.9%62.7M-812.4M-6.2M0.3611.47N/AN/A15,0365,472402,854152,365
2014-08-18$96.55$95.9715.4%5.6%15.8%5.5%19.1%1.8%0.4%40.7M-550.7M-6.2M0.2711.03N/AN/A23,3456,405271,615110,743
2014-08-19$97.70$95.9715.0%5.6%16.1%2.7%18.8%1.5%0.2%55.2M-718.7M-6.4M0.3512.20N/AN/A13,6574,729286,256115,445
2014-08-20$97.64$95.9714.9%5.6%16.1%1.5%19.8%1.7%0.6%56.8M-692.9M-6.4M0.4612.56N/AN/A4,6082,126288,756116,677
2014-08-21$98.15$95.9714.7%5.5%16.0%0.2%18.9%1.0%0.4%65.4M-830.5M-6.7M0.2014.53N/AN/A19,5883,990301,223125,771
2014-08-22$98.31$95.9715.2%5.6%15.6%3.7%18.7%1.0%0.3%67.3M-823.6M-6.5M0.0813.04N/AN/A44,5283,737302,106119,663
2014-08-25$99.12$95.9715.0%5.4%15.8%2.5%18.8%0.8%0.7%82.9M-963.1M-6.9M0.4212.21N/AN/A8,2383,424335,531120,143
2014-08-26$98.99$95.9715.2%5.4%15.6%4.2%18.6%1.3%0.3%83.2M-931.7M-6.8M0.1911.70N/AN/A9,3671,819337,016121,136
2014-08-27$99.21$95.9715.2%5.4%14.7%4.1%18.8%0.8%0.2%88.5M-986.0M-7.0M0.1112.36N/AN/A14,7811,560342,871121,757
2014-08-28$99.82$95.9715.0%5.4%14.5%2.7%18.7%1.2%0.1%100.2M-1.11B-7.1M0.2311.97N/AN/A15,7713,595350,630122,272
2014-08-29$99.55$95.9714.8%5.4%14.7%1.0%19.3%1.5%0.5%100.0M-1.07B-7.2M0.0612.94N/AN/A88,4135,009357,680124,222