OXY Options History — October 2014 In October 2014, OXY traded between $81.84 and $93.17. ATM implied volatility averaged 25.6%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.6% (HV 20d: 27.2%). Max pain ranged from $91.17 to $95.97. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.91.
Notable Days 2014-10-01 : Highest Volume — 52,105 contracts2014-10-15 : Largest IV spike — 19.3% change2014-10-10 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $86.96 $81.84 $93.17 $90.49 $85.32 Max Pain $93.26 $91.17 $95.97 $95.97 $91.17 ATM IV 25.6% 21.5% 35.4% 25.9% 22.2% Expected Move 6.8% 6.2% 8.2% 6.4% 6.4% HV 20d 27.2% 17.0% 34.6% 17.9% 34.4% HV 60d 20.2% 16.6% 23.7% 16.6% 23.3% IV Rank 62.6% 33.0% 100.0% 80.6% 36.2% IV Percentile 90.7% 74.2% 100.0% 98.0% 80.2% Term Structure -0.8% -4.3% 1.1% -4.3% 0.3% VWIV 24.4% 21.7% 28.8% 22.6% 23.0% Skew 25d 3.3% -0.4% 8.6% -0.4% 4.2% Skew 10d 6.0% -1.6% 14.4% -0.5% 8.6% Call IV 25d 24.6% 19.7% 32.0% 26.5% 20.8% Put IV 25d 27.9% 23.8% 40.6% 26.1% 25.0% Bid-Ask Spread % 17.92 10.99 33.29 12.73 29.09 Gamma HHI 0.10 0.08 0.16 0.10 0.11 Net GEX 15.5M -4.1M 56.9M 26.2M -2.2M Net DEX 101.7M -450.6M 464.0M -131.1M 255.4M Net VEX -4.5M -6.2M -3.3M -5.6M -3.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.22 2.15 0.22 2.15 Total Volume 20,758.565 7,754 52,105 52,105 36,913 Total OI 590,003.261 551,623 608,191 551,623 603,123
Daily Data (23 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 2014-10-01 $90.49 $95.97 25.9% 6.4% 17.9% 80.6% 22.6% -0.4% -4.3% 26.2M -131.1M -5.6M 0.22 12.73 N/A N/A 42,626 9,479 418,330 133,293 2014-10-02 $91.38 $93.57 23.9% 6.4% 18.6% 66.0% 22.0% 2.8% -0.2% 39.5M -226.8M -5.9M 0.45 12.84 N/A N/A 18,164 8,211 438,084 136,197 2014-10-03 $92.09 $93.57 22.4% 6.3% 18.8% 55.5% 21.7% 1.1% -0.2% 47.8M -311.6M -6.0M 0.69 15.01 N/A N/A 9,537 6,607 451,749 138,716 2014-10-06 $93.17 $93.57 22.4% 6.2% 17.0% 55.7% 21.9% 2.4% -0.3% 56.9M -450.6M -6.2M 0.48 12.68 N/A N/A 8,345 4,033 440,645 137,544 2014-10-07 $91.05 $93.57 23.6% 6.3% 18.7% 64.4% 22.5% 1.2% 0.3% 34.3M -188.2M -5.6M 0.55 11.56 N/A N/A 5,017 2,737 446,334 139,034 2014-10-08 $91.76 $93.57 23.4% 6.5% 19.0% 62.7% 22.4% 1.8% 0.5% 41.2M -258.0M -5.7M 1.15 12.96 N/A N/A 8,601 9,879 448,164 139,405 2014-10-09 $88.80 $93.57 27.2% 6.8% 22.0% 96.5% 23.5% 1.9% -0.6% 18.8M 23.5M -5.3M 1.03 14.05 N/A N/A 7,397 7,605 449,613 140,895 2014-10-10 $87.87 $93.57 27.8% 7.1% 22.0% 100.0% 25.0% 2.4% -1.1% 12.9M 100.2M -5.1M 1.21 15.75 N/A N/A 6,526 7,887 450,918 143,498 2014-10-13 $84.36 $93.57 32.3% 7.7% 25.3% 100.0% 25.7% 1.9% -1.2% 4.3M 314.1M -4.2M 0.81 16.26 N/A N/A 7,574 6,128 447,763 136,716 2014-10-14 $85.12 $93.57 29.7% 7.7% 25.6% 85.1% 26.7% 3.9% 1.1% 7.6M 274.2M -4.5M 0.90 15.70 N/A N/A 9,036 8,137 451,060 138,832 2014-10-15 $81.84 $93.57 35.4% 8.2% 28.3% 100.0% 28.8% 8.6% -3.5% -375.3K 464.0M -3.6M 0.51 10.99 N/A N/A 26,065 13,349 452,218 141,313 2014-10-16 $82.96 $93.57 32.8% 7.8% 29.2% 87.5% 26.5% 8.2% -3.3% 4.1M 367.9M -3.9M 0.46 12.83 N/A N/A 9,010 4,161 461,640 141,178 2014-10-17 $84.80 $93.57 28.4% 7.2% 30.9% 66.6% 28.1% 3.3% -1.0% 5.1M 268.3M -3.9M 0.53 14.16 N/A N/A 14,840 7,880 465,445 142,746 2014-10-20 $85.16 $93.57 25.7% 7.1% 31.0% 53.5% 23.8% 4.5% 1.1% 8.9M 188.6M -3.9M 0.64 15.03 N/A N/A 8,904 5,683 438,134 134,280 2014-10-21 $87.53 $93.57 22.4% 6.5% 33.0% 37.3% 25.7% 4.0% 1.1% 15.4M 18.9M -4.2M 0.80 11.42 N/A N/A 14,084 11,298 443,950 137,748 2014-10-22 $86.04 $93.57 23.4% 6.7% 32.2% 42.3% 26.5% 4.2% -1.2% 12.4M 119.9M -4.1M 1.40 12.84 N/A N/A 9,903 13,861 451,096 141,285 2014-10-23 $87.09 $93.57 21.5% 6.5% 32.4% 33.0% 25.2% 4.1% 0.3% 12.2M 53.1M -4.0M 1.35 25.16 N/A N/A 13,005 17,619 450,075 144,873 2014-10-24 $86.01 $93.57 23.0% 6.6% 31.8% 40.4% 25.4% 3.6% -1.5% 22.5M 167.1M -4.0M 1.02 28.15 N/A N/A 13,907 14,250 454,937 149,984 2014-10-27 $82.98 $93.57 26.3% 6.8% 33.6% 56.1% 23.5% 2.0% -2.3% -4.1M 403.2M -3.3M 1.32 33.29 N/A N/A 5,561 7,336 445,251 146,790 2014-10-28 $84.59 $91.17 22.9% 6.7% 34.6% 39.9% 22.3% 3.5% -0.3% -2.7M 307.4M -3.6M 0.63 26.27 N/A N/A 6,265 3,947 446,693 150,167 2014-10-29 $85.35 $91.17 22.6% 6.5% 34.5% 38.4% 24.0% 3.7% -0.2% -1.1M 258.3M -3.5M 1.16 30.26 N/A N/A 6,278 7,283 448,930 150,749 2014-10-30 $84.36 $91.17 23.4% 6.7% 34.2% 42.2% 24.3% 3.9% -0.7% -3.3M 320.5M -3.5M 1.53 23.20 N/A N/A 4,944 7,575 449,800 150,880 2014-10-31 $85.32 $91.17 22.2% 6.4% 34.4% 36.2% 23.0% 4.2% 0.3% -2.2M 255.4M -3.6M 2.15 29.09 N/A N/A 11,709 25,204 450,170 152,953
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