OXY Options History — April 2015 In April 2015, OXY traded between $74.19 and $81.44. ATM implied volatility averaged 22.5%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.0% (HV 20d: 21.5%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2015-04-29 : Highest Volume — 34,540 contracts2015-04-17 : Largest IV spike — 8.7% change2015-04-21 : Highest IV Rank — 36.5%2015-04-30 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $78.76 $74.19 $81.44 $74.19 $80.01 Max Pain $77.38 $75.00 $77.50 $75.00 $77.50 ATM IV 22.5% 21.0% 24.0% 22.8% 23.2% Expected Move 6.5% 5.9% 7.3% 5.9% 7.3% HV 20d 21.5% 17.0% 25.7% 25.7% 17.0% HV 60d 23.5% 20.9% 24.6% 24.1% 20.9% IV Rank 30.9% 24.9% 36.5% 32.1% 33.4% IV Percentile 56.5% 43.3% 70.6% 59.5% 61.9% Term Structure -0.0% -2.1% 2.4% 1.0% 0.3% VWIV 23.0% 20.3% 26.6% 20.3% 26.6% Skew 25d 2.6% 0.9% 3.8% 3.2% 2.0% Skew 10d 5.4% 2.4% 9.6% 8.4% 2.4% Call IV 25d 21.8% 20.1% 23.7% 21.5% 23.0% Put IV 25d 24.4% 22.9% 25.2% 24.7% 25.0% Bid-Ask Spread % 14.55 9.35 23.84 17.06 18.86 Gamma HHI 0.12 0.09 0.16 0.09 0.11 Net GEX 18.8M 4.9M 28.0M 4.9M 23.0M Net DEX -175.9M -338.9M 33.3M 33.3M -190.1M Net VEX -2.3M -2.9M -1.7M -1.7M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.34 1.53 0.60 0.55 Total Volume 18,571.286 7,596 34,540 11,834 21,159 Total OI 192,807.381 160,067 233,236 160,067 233,236
Daily Data (21 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 2015-04-01 $74.19 $75.00 22.8% 5.9% 25.7% 32.1% 20.3% 3.2% 1.0% 4.9M 33.3M -1.7M 0.60 17.06 N/A N/A 7,386 4,448 97,694 62,373 2015-04-02 $74.55 $77.50 23.8% 6.5% 25.7% 35.9% 22.1% 3.4% 0.5% 7.2M 14.9M -1.8M 0.85 10.15 N/A N/A 6,946 5,874 100,530 62,753 2015-04-06 $76.49 $77.50 22.2% 6.1% 23.7% 29.5% 21.7% 3.4% -1.3% 12.1M -64.0M -1.9M 1.20 11.46 N/A N/A 4,581 5,494 100,258 63,705 2015-04-07 $76.78 $77.50 22.4% 6.2% 23.7% 30.2% 23.0% 3.0% -1.3% 13.6M -77.8M -1.9M 1.34 9.35 N/A N/A 3,242 4,354 102,010 64,609 2015-04-08 $76.60 $77.50 22.7% 6.4% 23.2% 31.4% 21.5% 3.8% -0.1% 12.9M -75.5M -1.9M 0.34 11.82 N/A N/A 7,960 2,721 97,377 64,871 2015-04-09 $77.77 $77.50 21.8% 6.4% 23.6% 27.9% 22.1% 3.8% 0.2% 17.5M -145.8M -2.1M 0.60 9.51 N/A N/A 7,487 4,508 108,594 68,059 2015-04-10 $78.40 $77.50 21.6% 6.3% 23.7% 27.4% 21.0% 3.7% 0.6% 18.8M -191.8M -2.1M 0.57 12.83 N/A N/A 9,915 5,673 112,148 68,773 2015-04-13 $77.81 $77.50 21.7% 6.2% 22.0% 27.5% 20.7% 3.4% 2.4% 18.6M -146.0M -2.0M 0.53 15.91 N/A N/A 7,870 4,175 111,832 67,190 2015-04-14 $79.15 $77.50 21.1% 6.0% 22.5% 25.4% 21.5% 3.1% 0.2% 21.8M -226.6M -2.1M 1.01 10.51 N/A N/A 7,088 7,164 114,377 68,139 2015-04-15 $81.44 $77.50 21.0% 6.0% 23.4% 24.9% 22.1% 3.3% -0.1% 19.5M -338.9M -2.2M 1.16 9.87 N/A N/A 9,296 10,769 115,558 69,906 2015-04-16 $81.42 $77.50 21.1% 6.0% 22.7% 25.3% 21.4% 2.6% 1.2% 20.1M -332.0M -2.3M 1.53 11.15 N/A N/A 5,312 8,150 118,434 75,361 2015-04-17 $80.54 $77.50 22.9% 6.6% 19.8% 32.5% 23.5% 2.6% 0.2% 19.0M -288.4M -2.2M 0.38 10.33 N/A N/A 18,889 7,090 118,994 77,466 2015-04-20 $80.29 $77.50 23.1% 6.7% 19.9% 33.2% 23.9% 2.6% -0.6% 21.9M -235.1M -2.4M 0.42 20.72 N/A N/A 12,438 5,267 122,025 71,352 2015-04-21 $79.52 $77.50 24.0% 6.7% 20.5% 36.5% 24.2% 0.9% -2.1% 22.5M -188.0M -2.3M 0.86 15.24 N/A N/A 7,040 6,041 131,267 72,002 2015-04-22 $79.66 $77.50 23.8% 7.0% 20.2% 36.0% 24.3% 1.3% -1.0% 22.2M -203.1M -2.4M 0.82 16.62 N/A N/A 15,845 12,982 128,304 72,798 2015-04-23 $80.10 $77.50 22.8% 6.7% 19.6% 31.9% 23.4% 1.2% -0.2% 28.0M -254.1M -2.9M 0.88 16.25 N/A N/A 15,561 13,731 141,158 80,993 2015-04-24 $79.83 $77.50 22.5% 6.7% 19.8% 30.9% 24.2% 1.7% -0.7% 22.4M -218.5M -2.8M 1.24 17.44 N/A N/A 11,602 14,442 139,952 82,830 2015-04-27 $79.58 $77.50 23.2% 6.9% 18.9% 33.7% 25.1% 1.2% 0.0% 22.4M -180.2M -2.8M 1.19 19.25 N/A N/A 11,773 14,064 136,924 82,471 2015-04-28 $79.64 $77.50 22.6% 6.8% 18.3% 31.3% 25.4% 1.5% -0.0% 23.0M -181.5M -2.7M 1.28 17.46 N/A N/A 11,897 15,223 137,653 82,842 2015-04-29 $80.10 $77.50 22.6% 7.0% 17.3% 31.3% 25.7% 2.8% 0.5% 24.0M -205.8M -2.8M 0.85 23.84 N/A N/A 18,635 15,905 137,840 84,297 2015-04-30 $80.01 $77.50 23.2% 7.3% 17.0% 33.4% 26.6% 2.0% 0.3% 23.0M -190.1M -2.9M 0.55 18.86 N/A N/A 13,691 7,468 142,709 90,527
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