OXY Options History — March 2015

In March 2015, OXY traded between $71.87 and $78.30. ATM implied volatility averaged 23.0%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.4% (HV 20d: 21.7%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-03-26: Highest Volume — 14,115 contracts
  • 2015-03-18: Largest IV drop — 9.4% change
  • 2015-03-13: Highest IV Rank — 39.1%
  • 2015-03-13: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.25$71.87$78.30$77.76$73.12
Max Pain$76.48$75.00$80.00$80.00$75.00
ATM IV23.0%21.4%24.6%22.9%23.0%
Expected Move6.4%6.0%7.1%6.2%6.2%
HV 20d21.7%18.0%25.0%20.6%25.0%
HV 60d26.4%24.4%30.5%30.5%25.1%
IV Rank32.8%26.3%39.1%32.3%32.8%
IV Percentile63.7%51.2%73.8%65.1%61.5%
Term Structure0.3%-1.3%2.4%-0.5%0.5%
VWIV22.4%19.9%24.8%21.6%21.1%
Skew 25d3.8%1.9%5.3%2.8%3.2%
Skew 10d7.9%4.5%11.9%4.8%7.3%
Call IV 25d21.7%19.9%23.1%22.3%22.0%
Put IV 25d25.5%24.0%28.0%25.0%25.2%
Bid-Ask Spread %13.769.5621.6017.9415.43
Gamma HHI0.110.080.250.080.09
Net GEX233.4K-7.3M5.1M3.4M1.9M
Net DEX73.4M-14.2M151.8M949.9K82.6M
Net VEX-1.6M-1.7M-1.4M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.191.830.901.07
Total Volume7,840.4092,41814,1159,47011,404
Total OI147,409136,837157,786144,764157,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$77.76$80.0022.9%6.2%20.6%32.3%21.6%2.8%-0.5%3.4M949.9K-1.7M0.9017.94N/AN/A4,9774,49390,16654,598
2015-03-03$78.14$80.0022.4%6.0%20.7%30.3%21.3%4.4%-0.2%5.1M-14.2M-1.7M0.9621.60N/AN/A6,8976,60491,16355,653
2015-03-04$78.30$80.0022.3%6.0%18.4%29.9%24.4%4.2%-0.6%4.3M-8.0M-1.7M1.1819.73N/AN/A5,4286,42490,51358,637
2015-03-05$77.58$77.5022.4%6.0%18.0%30.6%21.0%1.9%-1.3%2.4M8.2M-1.7M0.8014.66N/AN/A5,4734,39691,13760,435
2015-03-06$74.68$77.5024.4%6.6%21.0%38.4%22.0%2.7%0.8%319.2K96.8M-1.5M0.809.56N/AN/A5,8904,74191,40460,991
2015-03-09$74.80$77.5023.1%6.6%21.1%33.3%23.4%4.4%0.9%222.4K60.9M-1.5M1.0110.78N/AN/A2,1582,17084,98657,367
2015-03-10$73.82$77.5024.3%6.8%21.3%37.9%24.0%4.1%-0.5%-1.3M89.1M-1.5M0.8410.62N/AN/A2,2991,92485,23357,940
2015-03-11$74.26$77.5023.7%6.7%21.5%35.4%24.4%4.0%0.1%-934.9K78.9M-1.6M1.1510.88N/AN/A1,1241,29486,13358,917
2015-03-12$74.58$77.5023.2%6.6%21.1%33.6%22.7%4.0%-0.3%-859.5K76.0M-1.6M0.5910.31N/AN/A1,67298186,38359,835
2015-03-13$72.84$77.5024.6%7.1%19.5%39.1%23.9%5.3%0.5%-2.8M122.8M-1.5M0.869.87N/AN/A3,0332,60586,70959,955
2015-03-16$73.11$75.0024.6%7.1%18.5%38.9%24.8%4.5%0.7%-2.5M110.9M-1.5M0.5110.25N/AN/A3,0201,53785,49859,394
2015-03-17$72.36$75.0024.4%7.0%18.5%38.2%24.5%4.6%0.0%-3.1M129.8M-1.4M1.6210.18N/AN/A1,5562,52685,87659,803
2015-03-18$74.01$75.0022.1%6.3%20.9%29.2%22.4%4.3%0.6%-1.4M76.3M-1.5M0.5417.74N/AN/A3,2611,75186,68360,559
2015-03-19$71.87$75.0023.1%6.6%22.7%33.1%23.1%4.7%-0.6%-4.6M151.8M-1.4M0.5212.84N/AN/A8,1894,28587,18461,541
2015-03-20$72.72$75.0023.1%6.4%23.5%33.0%20.7%4.3%2.4%-7.3M114.7M-1.5M0.1912.66N/AN/A10,7572,07692,09062,447
2015-03-23$72.86$75.0021.6%6.1%23.6%27.3%20.8%3.1%0.2%873.0K85.5M-1.4M0.6614.69N/AN/A2,5951,70282,40654,431
2015-03-24$72.45$75.0021.4%6.0%23.6%26.3%19.9%3.3%0.6%230.7K100.3M-1.4M1.8313.29N/AN/A1,0701,95984,07955,425
2015-03-25$73.72$75.0021.6%6.2%24.6%27.3%21.6%3.1%0.9%2.3M62.3M-1.6M0.6515.04N/AN/A6,9354,50084,36556,745
2015-03-26$73.72$75.0022.5%6.3%23.6%31.0%22.2%3.5%0.9%3.5M54.4M-1.6M0.9712.87N/AN/A7,1816,93493,41160,146
2015-03-27$72.72$75.0023.3%6.4%23.8%34.0%22.1%3.9%1.2%1.6M86.2M-1.6M1.4416.61N/AN/A1,3051,88590,24559,866
2015-03-30$73.99$75.0022.4%6.0%24.9%30.5%21.3%4.1%0.9%3.8M48.0M-1.6M1.4015.20N/AN/A4,7736,70593,88260,981
2015-03-31$73.12$75.0023.0%6.2%25.0%32.8%21.1%3.2%0.5%1.9M82.6M-1.6M1.0715.43N/AN/A5,4975,90795,88761,899