OXY Options History — September 2014

In September 2014, OXY traded between $92.27 and $98.32. ATM implied volatility averaged 17.4%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 13.6%). 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 14 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-09-05: Highest Volume — 21,754 contracts
  • 2014-09-08: Largest IV spike — 10.1% change
  • 2014-09-30: Highest IV Rank — 46.4%
  • 2014-09-30: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.62$92.27$98.32$98.23$92.27
Max Pain$95.97$95.97$95.97$95.97$95.97
ATM IV17.4%15.3%21.1%15.5%21.1%
Expected Move5.7%5.4%6.0%5.6%6.0%
HV 20d13.6%10.2%17.2%12.2%17.0%
HV 60d16.0%14.6%17.1%16.2%16.2%
IV Rank19.7%4.4%46.4%6.2%46.4%
IV Percentile25.4%7.5%68.3%9.5%68.3%
Term Structure0.4%-0.7%2.9%0.7%0.3%
VWIV19.8%18.4%21.5%19.6%21.5%
Skew 25d1.2%0.2%2.5%0.3%1.7%
Skew 10d2.3%-0.2%8.2%-0.0%2.1%
Call IV 25d17.3%15.5%21.3%16.0%21.3%
Put IV 25d18.5%16.1%23.0%16.3%23.0%
Bid-Ask Spread %12.009.3714.3212.3210.81
Gamma HHI0.130.100.180.170.10
Net GEX48.5M24.2M98.5M93.1M35.2M
Net DEX-453.2M-967.4M-238.4M-925.0M-239.2M
Net VEX-6.4M-7.7M-5.5M-7.7M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.112.730.470.63
Total Volume12,511.6674,86121,75415,2387,998
Total OI567,827.19525,373597,724557,013549,800

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$98.23$95.9715.5%5.6%12.2%6.2%19.6%0.3%0.7%93.1M-925.0M-7.7M0.4712.32N/AN/A10,3764,862433,252123,761
2014-09-03$98.32$95.9715.6%5.5%10.4%6.7%18.4%0.7%0.3%98.5M-967.4M-7.6M0.1113.20N/AN/A7,193802440,572125,824
2014-09-04$98.24$95.9715.6%5.6%10.4%6.7%18.5%0.2%0.1%94.9M-919.3M-7.7M0.5513.39N/AN/A7,8814,319444,112125,764
2014-09-05$97.23$95.9715.3%5.4%10.2%4.4%18.8%0.9%0.3%77.9M-723.2M-7.1M0.2910.55N/AN/A16,8034,951447,243127,257
2014-09-08$94.58$95.9716.8%5.6%13.4%15.6%20.4%0.5%0.2%48.3M-442.9M-6.6M1.1411.50N/AN/A7,3848,384443,595124,883
2014-09-09$94.39$95.9716.9%5.6%13.4%15.9%19.4%1.1%-0.0%42.4M-399.9M-6.5M2.7312.71N/AN/A4,22011,518445,196128,215
2014-09-10$94.57$95.9717.1%5.6%13.5%17.6%19.3%1.4%-0.3%42.5M-408.0M-6.6M1.2314.32N/AN/A6,0017,379446,526136,024
2014-09-11$94.39$95.9717.8%5.7%13.4%22.6%19.9%2.3%-0.7%39.6M-374.0M-6.5M0.7914.00N/AN/A5,4844,328449,010137,536
2014-09-12$93.47$95.9717.4%5.7%13.8%20.0%20.2%1.3%-0.1%30.8M-268.2M-6.4M2.6011.86N/AN/A4,05110,520450,657140,103
2014-09-15$94.33$95.9718.2%5.7%14.1%25.4%19.6%0.5%-0.2%39.4M-396.1M-6.5M0.6312.72N/AN/A10,0486,329448,536141,901
2014-09-16$94.59$95.9717.7%5.7%14.2%21.7%20.1%0.8%-0.1%43.1M-420.5M-6.4M0.4512.92N/AN/A7,5013,402451,964143,612
2014-09-17$94.21$95.9717.0%5.6%13.3%16.4%20.5%0.8%0.1%33.4M-350.6M-6.2M1.4512.36N/AN/A2,0672,994452,345145,379
2014-09-18$93.93$95.9716.8%5.6%13.3%15.1%19.3%0.9%0.1%24.2M-298.2M-6.0M0.5510.54N/AN/A4,6562,564448,955145,141
2014-09-19$93.77$95.9716.2%5.5%13.1%11.1%19.5%0.6%-0.2%29.1M-277.1M-6.0M0.7410.34N/AN/A2,7982,063449,500145,143
2014-09-22$93.00$95.9716.8%5.6%13.2%15.2%19.7%1.2%1.2%33.6M-270.7M-5.5M0.6810.87N/AN/A9,5046,419403,454121,919
2014-09-23$92.57$95.9717.6%5.6%12.5%21.2%19.5%1.2%1.4%30.9M-238.4M-5.5M0.3713.02N/AN/A6,4842,424408,162124,983
2014-09-24$94.44$95.9718.7%5.7%15.0%29.1%20.1%2.2%0.7%52.0M-466.8M-6.1M0.409.37N/AN/A10,8834,368410,639126,418
2014-09-25$92.87$95.9718.9%5.8%15.8%30.2%20.0%1.4%1.8%37.2M-305.2M-5.8M1.2212.06N/AN/A7,3578,941414,737127,557
2014-09-26$94.39$95.9718.6%5.8%16.9%28.6%21.1%2.5%2.9%48.6M-481.9M-6.2M1.6211.40N/AN/A6,1419,959418,684131,267
2014-09-29$93.31$95.9720.0%5.8%17.2%38.3%20.4%2.3%0.6%43.3M-344.4M-5.8M0.5111.74N/AN/A7,5283,861414,717130,028
2014-09-30$92.27$95.9721.1%6.0%17.0%46.4%21.5%1.7%0.3%35.2M-239.2M-5.6M0.6310.81N/AN/A4,9053,093417,697132,103