OXY Options History — February 2015 In February 2015, OXY traded between $77.80 and $83.06. ATM implied volatility averaged 25.7%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.9% (HV 20d: 26.6%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.82.
Notable Days 2015-02-18 : Highest Volume — 16,188 contracts2015-02-12 : Largest IV drop — 8.8% change2015-02-04 : Highest IV Rank — 58.7%2015-02-09 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $80.78 $77.80 $83.06 $80.16 $77.80 Max Pain $78.55 $77.50 $80.00 $77.50 $80.00 ATM IV 25.7% 21.8% 29.6% 28.4% 22.2% Expected Move 7.1% 6.1% 8.0% 8.0% 6.3% HV 20d 26.6% 22.1% 30.0% 30.0% 22.1% HV 60d 34.7% 30.6% 35.3% 34.9% 30.6% IV Rank 43.3% 27.9% 58.7% 53.8% 29.8% IV Percentile 77.5% 61.1% 90.5% 88.5% 61.5% Term Structure -0.3% -2.4% 1.2% 0.1% 0.9% VWIV 25.9% 21.5% 31.3% 27.3% 23.6% Skew 25d 5.0% 2.4% 7.3% 5.9% 2.4% Skew 10d 9.9% 5.5% 14.5% 9.5% 5.5% Call IV 25d 23.6% 19.7% 26.9% 26.2% 22.2% Put IV 25d 28.5% 24.7% 32.0% 32.0% 24.7% Bid-Ask Spread % 20.91 12.89 29.81 23.25 16.99 Gamma HHI 0.22 0.08 0.75 0.23 0.08 Net GEX 31.2M 3.6M 101.7M 26.4M 3.6M Net DEX -219.6M -414.8M 9.4M -238.4M 9.4M Net VEX -2.0M -2.3M -1.7M -2.2M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.38 1.21 0.41 1.12 Total Volume 12,530.789 9,513 16,188 12,734 10,310 Total OI 198,065.263 137,594 229,522 184,980 148,321
Daily Data (19 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 2015-02-02 $80.16 $77.50 28.4% 8.0% 30.0% 53.8% 27.3% 5.9% 0.1% 26.4M -238.4M -2.2M 0.41 23.25 N/A N/A 9,020 3,714 129,377 55,603 2015-02-03 $82.14 $77.50 28.5% 7.6% 27.3% 54.4% 25.5% 4.9% -0.7% 34.0M -342.6M -2.3M 0.71 21.57 N/A N/A 9,419 6,700 156,530 60,470 2015-02-04 $80.87 $77.50 29.6% 7.9% 27.8% 58.7% 29.3% 5.6% -0.5% 30.3M -267.7M -2.3M 0.91 22.32 N/A N/A 7,112 6,451 158,431 62,304 2015-02-05 $82.05 $77.50 28.2% 7.5% 28.1% 53.1% 28.0% 5.5% -1.6% 35.7M -350.9M -2.3M 0.65 25.95 N/A N/A 8,538 5,573 159,071 63,469 2015-02-06 $81.79 $77.50 27.2% 7.2% 28.1% 49.2% 28.8% 3.4% -0.6% 38.7M -348.7M -2.3M 1.03 24.69 N/A N/A 6,112 6,266 161,051 63,935 2015-02-09 $81.21 $77.50 27.5% 8.0% 28.3% 50.3% 31.3% 4.6% 1.2% 33.4M -286.3M -2.2M 0.80 23.30 N/A N/A 5,910 4,739 157,322 62,996 2015-02-10 $81.41 $77.50 27.5% 7.1% 24.9% 50.5% 25.4% 7.1% -2.4% 34.2M -269.2M -2.1M 0.84 24.13 N/A N/A 7,645 6,456 158,329 63,953 2015-02-11 $79.95 $77.50 28.7% 7.8% 26.0% 55.1% 29.7% 3.9% -1.7% 25.9M -173.6M -2.1M 0.87 29.81 N/A N/A 6,596 5,742 159,804 65,207 2015-02-12 $81.93 $77.50 26.2% 7.5% 27.0% 45.2% 27.5% 7.3% -0.9% 39.7M -319.0M -2.1M 0.81 28.99 N/A N/A 7,312 5,927 160,699 66,256 2015-02-13 $83.06 $77.50 25.2% 7.1% 27.2% 41.3% 24.9% 5.8% 0.7% 52.0M -414.8M -2.2M 0.89 23.57 N/A N/A 6,701 5,959 162,090 67,432 2015-02-17 $82.45 $77.50 25.7% 7.4% 26.1% 43.3% 27.5% 5.2% -0.4% 44.3M -344.1M -2.0M 1.07 16.55 N/A N/A 6,026 6,432 159,742 65,247 2015-02-18 $81.28 $80.00 23.9% 6.8% 26.8% 36.2% 26.0% 5.3% -0.2% 32.0M -257.1M -1.9M 0.59 17.60 N/A N/A 10,186 6,002 160,616 66,385 2015-02-19 $80.61 $80.00 24.5% 7.0% 26.6% 38.7% 24.1% 5.3% 0.8% 27.3M -194.7M -1.8M 0.96 13.97 N/A N/A 5,424 5,194 132,469 65,371 2015-02-20 $80.10 $80.00 23.6% 6.8% 26.6% 35.3% 22.1% 5.3% -1.0% 101.7M -164.5M -1.8M 0.38 12.89 N/A N/A 6,904 2,609 133,117 68,536 2015-02-23 $79.70 $80.00 23.4% 6.6% 26.7% 34.2% 21.9% 5.4% -0.5% 8.5M -57.2M -1.8M 0.69 16.03 N/A N/A 7,688 5,288 85,538 52,056 2015-02-24 $79.70 $80.00 22.5% 6.3% 25.9% 30.9% 23.3% 2.9% -0.1% 9.4M -60.2M -1.8M 0.83 18.05 N/A N/A 5,937 4,940 88,794 53,176 2015-02-25 $80.20 $80.00 21.8% 6.1% 25.7% 27.9% 21.5% 5.5% 0.4% 10.6M -81.5M -1.8M 0.78 20.62 N/A N/A 6,235 4,857 89,947 53,872 2015-02-26 $78.37 $80.00 23.5% 6.4% 23.4% 34.6% 24.1% 3.1% 0.7% 5.3M -12.0M -1.7M 1.21 17.01 N/A N/A 5,513 6,648 91,199 54,525 2015-02-27 $77.80 $80.00 22.2% 6.3% 22.1% 29.8% 23.6% 2.4% 0.9% 3.6M 9.4M -1.7M 1.12 16.99 N/A N/A 4,865 5,445 91,833 56,488
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