OXY Options History — January 2015

In January 2015, OXY traded between $74.89 and $80.83. ATM implied volatility averaged 30.7%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.5% (HV 20d: 30.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-01-14: Highest Volume — 38,335 contracts
  • 2015-01-05: Largest IV spike — 15.4% change
  • 2015-01-14: Highest IV Rank — 84.1%
  • 2015-01-14: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.86$74.89$80.83$80.83$80.01
Max Pain$76.50$75.00$80.00$80.00$77.50
ATM IV30.7%25.2%36.1%28.2%27.3%
Expected Move8.6%7.3%9.9%8.1%7.7%
HV 20d30.2%23.4%40.2%37.8%30.0%
HV 60d35.2%34.0%37.0%36.3%35.1%
IV Rank62.8%41.5%84.1%53.2%49.7%
IV Percentile91.9%81.7%98.4%93.7%86.1%
Term Structure0.1%-0.8%1.3%0.2%1.1%
VWIV30.6%25.6%34.4%31.7%27.2%
Skew 25d4.7%3.5%5.7%5.4%4.0%
Skew 10d9.3%5.9%11.8%11.8%7.2%
Call IV 25d28.8%24.3%33.2%26.3%25.3%
Put IV 25d33.5%27.8%38.3%31.7%29.3%
Bid-Ask Spread %11.948.3316.3212.9816.32
Gamma HHI0.190.130.260.190.24
Net GEX14.8M4.0M27.6M17.3M27.6M
Net DEX-84.3M-243.2M99.1M-126.2M-243.2M
Net VEX-1.8M-2.2M-1.5M-1.9M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.221.420.640.44
Total Volume15,761.45,22938,33517,86518,692
Total OI235,558.75144,869354,551338,541213,971

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$80.83$80.0028.2%8.1%37.8%53.2%31.7%5.4%0.2%17.3M-126.2M-1.9M0.6412.98N/AN/A10,9156,950275,47263,069
2015-01-05$77.66$75.0032.5%8.9%40.2%70.2%32.2%5.7%-0.2%11.8M-94.9M-1.5M0.938.33N/AN/A5,1524,79196,53648,333
2015-01-06$77.00$75.0034.3%9.4%40.0%77.0%31.6%5.5%-0.1%9.6M-67.6M-1.5M0.2313.51N/AN/A16,0663,74797,60551,361
2015-01-07$77.01$75.0033.3%9.2%32.0%73.1%33.0%5.1%-0.7%7.5M-51.1M-1.5M1.4214.81N/AN/A3,1704,50699,52953,238
2015-01-08$77.70$75.0031.3%8.9%31.5%65.2%31.0%4.5%0.5%9.9M9.2M-1.6M0.7814.11N/AN/A10,9168,486262,96269,305
2015-01-09$77.64$75.0030.8%8.7%29.2%63.4%30.1%5.1%1.3%10.3M6.2M-1.7M0.838.82N/AN/A12,12010,041267,47671,016
2015-01-12$75.06$75.0033.5%9.3%31.8%73.8%32.6%5.3%-0.8%4.0M99.1M-1.6M0.798.69N/AN/A10,4648,296271,13669,853
2015-01-13$74.89$75.0034.9%9.8%31.6%79.4%33.9%5.5%-0.4%4.4M98.5M-1.6M0.558.88N/AN/A13,5787,519273,58971,382
2015-01-14$75.71$75.0036.1%9.9%31.4%84.1%34.4%4.7%-0.4%7.1M62.8M-1.7M0.6810.46N/AN/A22,85815,477275,27772,422
2015-01-15$75.99$77.5034.9%9.8%30.8%79.4%34.0%5.0%-0.8%8.2M48.6M-1.8M0.248.76N/AN/A25,0186,080278,33576,216
2015-01-16$78.06$75.0032.0%9.1%28.4%68.3%31.0%4.7%-0.5%20.1M-179.4M-2.0M0.4710.72N/AN/A7,0283,303132,86264,314
2015-01-20$78.01$77.5031.7%9.1%27.9%67.0%32.0%4.5%-0.4%15.9M-143.9M-1.9M0.5111.38N/AN/A3,5101,792113,75648,087
2015-01-21$79.24$77.5029.2%8.4%25.9%57.1%29.0%4.7%0.1%20.1M-200.7M-2.0M0.4312.34N/AN/A3,6531,576115,60249,086
2015-01-22$78.85$77.5028.0%8.0%25.7%52.2%29.2%4.3%-0.6%20.1M-152.9M-2.0M0.8112.25N/AN/A6,0344,860141,31652,999
2015-01-23$78.92$77.5027.3%7.8%23.4%49.5%27.1%3.6%-0.2%23.8M-163.6M-2.0M0.8213.50N/AN/A5,7814,718142,25053,875
2015-01-26$80.32$77.5025.2%7.3%24.3%41.5%25.6%3.6%1.1%23.5M-227.9M-1.9M0.2213.14N/AN/A5,1541,130114,65748,738
2015-01-27$79.41$77.5026.4%7.5%24.6%45.9%27.5%3.5%1.0%22.4M-201.6M-1.8M0.4713.36N/AN/A4,9432,306118,75449,073
2015-01-28$76.56$77.5029.3%8.5%27.5%57.5%30.3%5.1%0.7%12.8M-44.0M-1.8M1.0213.81N/AN/A9,0649,280146,13353,695
2015-01-29$78.35$77.5027.1%7.7%29.1%48.8%28.4%4.7%1.1%18.9M-113.8M-2.1M0.5412.56N/AN/A10,5575,697149,77358,122
2015-01-30$80.01$77.5027.3%7.7%30.0%49.7%27.2%4.0%1.1%27.6M-243.2M-2.2M0.4416.32N/AN/A12,9945,698154,44959,522