OXY Options History — December 2014

In December 2014, OXY traded between $73.26 and $83.02. ATM implied volatility averaged 30.5%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 13.6% (HV 20d: 44.1%). Max pain ranged from $75.00 to $92.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2014-12-08: Highest Volume — 36,057 contracts
2014-12-08: Largest IV spike — 33.2% change
2014-12-10: Highest IV Rank — 100.0%
2014-12-15: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.20	$73.26	$83.02	$79.53	$80.61
Max Pain	$82.73	$75.00	$92.50	$90.00	$80.00
ATM IV	30.5%	24.6%	40.1%	27.0%	28.9%
Expected Move	8.5%	6.8%	10.8%	7.2%	8.2%
HV 20d	44.1%	36.8%	50.9%	37.0%	39.5%
HV 60d	34.6%	30.4%	36.9%	30.6%	36.5%
IV Rank	67.0%	40.2%	100.0%	59.5%	55.8%
IV Percentile	95.8%	89.7%	100.0%	97.2%	94.4%
Term Structure	0.2%	-1.7%	1.9%	-1.7%	-0.3%
VWIV	29.5%	22.8%	36.7%	24.6%	28.9%
Skew 25d	5.0%	3.2%	16.1%	6.9%	5.2%
Skew 10d	9.2%	5.3%	12.3%	10.7%	10.1%
Call IV 25d	28.7%	21.3%	38.9%	22.7%	27.1%
Put IV 25d	33.7%	26.8%	43.4%	29.6%	32.3%
Bid-Ask Spread %	26.58	10.32	45.28	45.12	10.73
Gamma HHI	0.17	0.08	0.53	0.08	0.20
Net GEX	8.9M	-5.5M	21.5M	-4.7M	16.2M
Net DEX	81.3M	-262.6M	552.5M	552.5M	-199.7M
Net VEX	-1.5M	-1.9M	-300.3K	-1.8M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.33	1.74	0.41	0.71
Total Volume	19,653.682	4,671	36,057	21,041	4,671
Total OI	312,743.773	21,216	480,211	480,211	140,034

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
2014-12-01	$79.53	$90.00	27.0%	7.2%	37.0%	59.5%	24.6%	6.9%	-1.7%	-4.7M	552.5M	-1.8M	0.41	45.12	N/A	N/A	14,946	6,095	359,820	120,391
2014-12-02	$80.50	$92.50	25.4%	7.2%	36.8%	51.8%	23.7%	4.8%	1.2%	-5.5M	549.6M	-1.8M	0.33	39.01	N/A	N/A	17,688	5,772	355,227	119,424
2014-12-03	$83.02	$85.00	28.1%	6.8%	38.0%	64.9%	22.8%	16.1%	1.7%	537.9K	323.1M	-1.4M	0.45	29.96	N/A	N/A	14,802	6,682	319,398	73,666
2014-12-04	$82.54	$82.50	24.6%	6.9%	37.7%	48.1%	25.3%	3.2%	0.0%	4.6M	-41.1M	-300.3K	0.62	27.70	N/A	N/A	3,380	2,096	17,424	3,792
2014-12-05	$81.28	$85.00	24.7%	7.0%	38.1%	48.6%	24.1%	4.5%	0.3%	5.1M	260.5M	-970.8K	1.38	28.79	N/A	N/A	7,240	10,000	296,155	58,637
2014-12-08	$76.02	$85.00	33.0%	8.7%	43.9%	88.2%	28.4%	4.1%	0.0%	2.1M	296.8M	-848.8K	0.51	32.29	N/A	N/A	23,822	12,235	279,005	61,545
2014-12-09	$77.36	$85.00	32.2%	8.5%	44.7%	84.8%	28.5%	3.8%	-0.5%	6.0M	215.6M	-1.1M	0.66	28.36	N/A	N/A	9,402	6,161	289,297	59,564
2014-12-10	$74.95	$85.00	37.0%	10.0%	45.2%	100.0%	33.3%	4.5%	-0.6%	3.3M	237.1M	-959.2K	0.64	25.43	N/A	N/A	17,908	11,484	282,424	60,250
2014-12-11	$74.97	$85.00	35.5%	9.7%	45.2%	93.4%	33.9%	3.2%	-0.8%	4.2M	214.1M	-1.3M	1.24	24.00	N/A	N/A	9,638	11,914	279,570	65,145
2014-12-12	$74.22	$85.00	40.1%	10.6%	44.5%	100.0%	35.9%	4.5%	-1.4%	4.0M	206.0M	-1.3M	1.02	18.56	N/A	N/A	16,731	17,050	271,414	66,839
2014-12-15	$73.26	$82.50	40.1%	10.8%	44.5%	99.9%	36.7%	4.6%	-0.6%	4.1M	212.0M	-1.4M	1.33	23.39	N/A	N/A	7,162	9,511	273,564	66,610
2014-12-16	$74.60	$82.50	38.1%	10.4%	45.3%	92.1%	35.6%	5.5%	1.2%	5.2M	176.9M	-1.4M	0.78	45.28	N/A	N/A	14,628	11,446	272,763	65,770
2014-12-17	$77.86	$80.00	35.3%	9.8%	48.1%	81.2%	34.9%	4.6%	-1.0%	9.9M	86.2M	-1.8M	1.09	40.68	N/A	N/A	13,035	14,170	282,701	70,316
2014-12-18	$78.95	$80.00	33.7%	9.4%	48.5%	74.7%	34.2%	5.0%	0.2%	12.8M	45.6M	-1.9M	0.82	43.96	N/A	N/A	17,402	14,225	287,935	73,153
2014-12-19	$81.52	$75.00	29.2%	8.6%	49.9%	56.9%	32.2%	3.7%	0.4%	13.9M	-262.6M	-1.5M	1.17	17.80	N/A	N/A	7,325	8,588	82,469	42,703
2014-12-22	$80.62	$80.00	27.5%	8.1%	49.8%	50.3%	28.1%	4.6%	1.3%	15.4M	-51.4M	-1.9M	0.52	21.59	N/A	N/A	12,055	6,222	266,334	63,718
2014-12-23	$82.88	$80.00	24.9%	7.6%	50.9%	40.2%	26.2%	4.1%	1.9%	19.4M	-214.7M	-1.9M	0.39	21.01	N/A	N/A	14,661	5,694	271,669	57,838
2014-12-24	$82.24	$80.00	25.6%	7.6%	50.3%	43.0%	27.7%	4.4%	1.7%	20.2M	-193.4M	-1.9M	0.71	22.15	N/A	N/A	8,322	5,914	272,608	59,131
2014-12-26	$82.19	$80.00	25.4%	7.5%	50.3%	42.2%	26.8%	3.8%	1.6%	21.5M	-206.9M	-1.9M	0.97	15.24	N/A	N/A	6,158	5,981	272,831	56,839
2014-12-29	$81.81	$80.00	27.0%	7.7%	41.5%	48.6%	27.9%	5.0%	0.1%	20.1M	-179.1M	-1.9M	1.23	13.47	N/A	N/A	6,754	8,274	270,724	55,893
2014-12-30	$81.40	$80.00	27.4%	7.7%	39.5%	50.1%	28.3%	4.7%	0.2%	18.5M	-238.8M	-1.5M	1.74	10.32	N/A	N/A	1,877	3,260	90,920	44,853
2014-12-31	$80.61	$80.00	28.9%	8.2%	39.5%	55.8%	28.9%	5.2%	-0.3%	16.2M	-199.7M	-1.6M	0.71	10.73	N/A	N/A	2,733	1,938	92,468	47,566