OXY Options History — November 2014

In November 2014, OXY traded between $76.55 and $85.44. ATM implied volatility averaged 23.3%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 5.1% (HV 20d: 28.4%). Max pain ranged from $88.77 to $91.17. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-11-21: Highest Volume — 28,423 contracts
  • 2014-11-25: Largest IV spike — 18.4% change
  • 2014-11-04: Highest IV Rank — 53.4%
  • 2014-11-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.10$76.55$85.44$83.53$76.55
Max Pain$90.16$88.77$91.17$91.17$88.77
ATM IV23.3%19.9%25.7%23.6%25.4%
Expected Move6.5%5.9%7.0%6.6%7.0%
HV 20d28.4%21.4%34.5%34.4%34.2%
HV 60d24.7%23.4%29.4%23.4%29.4%
IV Rank41.9%25.2%53.4%43.4%51.7%
IV Percentile84.3%49.2%96.0%90.9%95.6%
Term Structure-0.3%-3.5%2.1%-0.1%1.9%
VWIV22.7%19.0%24.2%23.0%24.1%
Skew 25d4.5%3.1%7.5%3.7%7.5%
Skew 10d8.6%2.3%15.9%2.3%15.9%
Call IV 25d21.2%18.2%23.8%22.1%23.3%
Put IV 25d25.7%22.5%30.7%25.8%30.7%
Bid-Ask Spread %24.0617.3132.6623.5432.66
Gamma HHI0.200.060.770.180.09
Net GEX-16.2M-119.8M5.2M-9.6M-6.5M
Net DEX407.4M165.1M603.3M413.0M603.3M
Net VEX-3.0M-3.3M-1.8M-3.3M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.271.861.200.35
Total Volume17,567.9475,91328,42320,81418,535
Total OI598,082.211484,095641,184607,589502,021

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$83.53$91.1723.6%6.6%34.4%43.4%23.0%3.7%-0.1%-9.6M413.0M-3.3M1.2023.54N/AN/A9,46311,351448,558159,031
2014-11-04$81.94$91.1725.7%7.0%34.2%53.4%24.0%4.5%0.7%-11.1M550.2M-3.0M1.7425.94N/AN/A7,72513,469450,371162,476
2014-11-05$83.00$91.1724.9%6.8%34.5%49.3%24.2%4.0%0.8%-10.9M470.5M-3.3M1.5531.52N/AN/A5,5238,565452,663165,915
2014-11-06$82.87$91.1724.3%6.8%32.9%46.6%24.2%5.2%1.5%-11.9M484.0M-3.2M1.2626.18N/AN/A5,7187,222453,804163,455
2014-11-07$84.41$91.1723.1%6.7%33.7%40.6%23.0%3.4%2.1%-13.3M379.3M-3.3M0.5925.95N/AN/A17,68410,513455,137164,191
2014-11-10$84.30$91.1722.9%6.5%30.4%39.6%22.7%3.7%0.2%-11.2M352.8M-3.3M0.3924.96N/AN/A15,7696,118453,695162,753
2014-11-11$85.44$91.1723.6%6.4%30.7%43.1%22.4%4.4%-1.8%-12.7M288.7M-3.2M0.5524.76N/AN/A14,2337,792452,610161,270
2014-11-12$85.12$91.1722.5%6.3%27.0%37.9%21.7%4.7%1.3%-9.2M275.9M-3.3M0.8722.96N/AN/A7,5356,519463,573164,787
2014-11-13$82.80$91.1723.8%6.6%28.5%44.2%22.3%5.0%-1.6%-12.3M476.0M-3.0M1.3325.48N/AN/A10,79214,390464,523166,269
2014-11-14$83.17$91.1723.4%6.3%27.4%41.9%21.8%5.3%0.2%-15.3M458.6M-3.1M1.8620.92N/AN/A2,0673,846469,281170,927
2014-11-17$82.41$91.1724.4%6.7%27.5%46.8%22.9%4.6%-3.5%-13.9M504.5M-2.8M0.9918.04N/AN/A7,3027,206465,688168,050
2014-11-18$83.18$88.7722.9%6.5%25.6%39.8%22.7%5.9%-0.8%-15.4M452.7M-3.0M0.6719.64N/AN/A9,3566,309469,032168,707
2014-11-19$82.57$88.7723.3%6.5%25.1%41.6%22.8%4.9%-1.1%-16.8M519.3M-2.9M1.1123.45N/AN/A2,8823,194470,778168,640
2014-11-20$83.31$88.7722.7%6.5%24.9%38.8%23.6%3.3%-0.6%-25.6M441.8M-2.9M0.4423.46N/AN/A17,7757,831467,154166,072
2014-11-21$84.11$88.7721.1%6.1%24.9%31.1%22.5%3.3%-0.9%-119.8M320.8M-3.0M0.6521.01N/AN/A17,18611,237473,462167,722
2014-11-24$84.70$88.7719.9%5.9%21.4%25.2%19.0%5.1%-1.0%5.2M165.1M-3.0M0.2717.31N/AN/A10,7442,881361,962122,133
2014-11-25$82.83$88.7723.5%6.0%21.8%42.9%20.9%3.1%-1.0%1.3M286.6M-2.7M0.7723.02N/AN/A8,0486,223368,759123,919
2014-11-26$82.66$88.7722.4%6.3%21.4%37.2%22.5%3.9%-1.4%657.0K297.9M-2.8M0.5926.28N/AN/A6,7764,012369,340124,834
2014-11-28$76.55$88.7725.4%7.0%34.2%51.7%24.1%7.5%1.9%-6.5M603.3M-1.8M0.3532.66N/AN/A13,7504,785374,155127,866