OXY Options History — May 2015 In May 2015, OXY traded between $75.84 and $80.48. ATM implied volatility averaged 21.8%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.6% (HV 20d: 15.2%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.95.
Notable Days 2015-05-14 : Highest Volume — 32,707 contracts2015-05-08 : Largest IV drop — 6.6% change2015-05-05 : Highest IV Rank — 34.6%2015-05-01 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $77.50 $75.84 $80.48 $80.48 $78.25 Max Pain $78.13 $77.50 $80.00 $77.50 $77.50 ATM IV 21.8% 19.6% 23.5% 22.6% 22.1% Expected Move 6.3% 5.5% 6.9% 6.9% 6.0% HV 20d 15.2% 12.5% 18.0% 17.0% 15.5% HV 60d 20.4% 19.9% 21.2% 20.7% 20.1% IV Rank 28.1% 19.5% 34.6% 31.3% 29.0% IV Percentile 45.7% 26.2% 65.5% 55.2% 44.0% Term Structure -0.1% -1.3% 1.1% 0.4% -0.4% VWIV 22.1% 18.9% 24.8% 24.8% 21.3% Skew 25d 2.8% 1.3% 4.3% 1.3% 2.5% Skew 10d 5.2% 2.0% 8.5% 4.2% 4.7% Call IV 25d 20.7% 18.3% 23.0% 22.4% 19.9% Put IV 25d 23.5% 20.6% 25.3% 23.6% 22.5% Bid-Ask Spread % 16.65 10.86 21.94 16.78 18.31 Gamma HHI 0.09 0.06 0.12 0.11 0.07 Net GEX 9.8M 1.1M 27.3M 27.3M 12.2M Net DEX -5.6M -218.1M 109.0M -218.1M -63.3M Net VEX -2.6M -2.9M -2.5M -2.9M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.35 1.91 0.59 0.61 Total Volume 13,318.75 4,151 32,707 18,895 12,950 Total OI 226,888.45 189,385 267,498 234,090 213,311
Daily Data (20 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 2015-05-01 $80.48 $77.50 22.6% 6.9% 17.0% 31.3% 24.8% 1.3% 0.4% 27.3M -218.1M -2.9M 0.59 16.78 N/A N/A 11,871 7,024 143,318 90,772 2015-05-04 $80.03 $80.00 23.0% 6.7% 15.2% 32.9% 23.3% 2.2% 0.3% 25.3M -187.1M -2.8M 1.27 11.67 N/A N/A 1,827 2,324 139,003 87,797 2015-05-05 $78.71 $80.00 23.5% 6.9% 16.6% 34.6% 23.3% 2.6% 0.4% 20.2M -89.8M -2.8M 1.06 11.41 N/A N/A 8,759 9,260 144,932 89,717 2015-05-06 $79.20 $80.00 22.8% 6.5% 16.7% 32.0% 22.6% 2.8% -1.2% 22.8M -112.9M -2.7M 1.13 13.64 N/A N/A 7,493 8,471 147,462 92,821 2015-05-07 $77.63 $80.00 23.4% 6.8% 17.5% 34.1% 24.0% 2.2% 0.7% 11.9M -4.3M -2.7M 1.91 16.59 N/A N/A 6,057 11,563 149,759 94,894 2015-05-08 $77.90 $80.00 21.8% 6.4% 17.3% 28.1% 23.8% 2.7% 1.1% 9.2M -11.9M -2.6M 0.98 14.95 N/A N/A 5,148 5,026 145,259 98,197 2015-05-11 $76.68 $77.50 22.9% 6.3% 18.0% 32.4% 22.0% 3.7% -0.8% 8.0M 59.3M -2.5M 1.14 15.84 N/A N/A 2,446 2,799 144,703 97,760 2015-05-12 $76.70 $77.50 23.3% 6.3% 16.8% 33.9% 21.4% 3.9% -1.3% 7.6M 74.0M -2.5M 0.71 10.86 N/A N/A 12,164 8,620 150,612 99,945 2015-05-13 $76.20 $77.50 23.0% 6.5% 12.5% 32.7% 23.5% 3.9% 0.6% 3.7M 106.2M -2.5M 1.72 14.09 N/A N/A 5,833 10,059 153,688 100,280 2015-05-14 $76.21 $77.50 21.7% 6.2% 12.5% 27.5% 21.0% 3.8% 1.0% 5.0M 109.0M -2.5M 0.80 15.22 N/A N/A 18,202 14,505 154,348 101,613 2015-05-15 $76.84 $77.50 20.3% 5.7% 12.8% 22.0% 20.5% 3.1% -0.8% 5.4M 61.4M -2.5M 1.21 18.66 N/A N/A 6,704 8,130 160,298 107,200 2015-05-18 $77.24 $77.50 19.6% 5.5% 13.1% 19.5% 18.9% 2.4% 0.3% 2.1M 32.5M -2.5M 0.35 21.84 N/A N/A 5,068 1,761 105,448 83,937 2015-05-19 $75.84 $77.50 20.4% 5.8% 14.1% 22.4% 22.4% 3.3% -0.3% 1.1M 72.6M -2.5M 0.56 17.24 N/A N/A 4,375 2,461 109,421 85,042 2015-05-20 $76.67 $77.50 20.4% 5.9% 14.8% 22.6% 20.2% 3.1% -0.2% 3.4M 39.8M -2.5M 0.75 21.94 N/A N/A 7,775 5,854 114,561 87,099 2015-05-21 $76.98 $77.50 21.1% 6.1% 14.7% 25.4% 21.3% 1.9% -0.3% 5.9M 10.8M -2.7M 0.60 17.48 N/A N/A 8,207 4,905 119,147 88,653 2015-05-22 $77.06 $77.50 20.4% 5.9% 14.7% 22.4% 20.5% 2.1% -0.5% 6.4M 1.6M -2.7M 0.90 20.08 N/A N/A 5,590 5,015 122,415 89,282 2015-05-26 $76.78 $77.50 21.4% 6.3% 14.7% 26.6% 22.4% 4.3% -0.4% 5.0M 22.0M -2.7M 1.16 18.64 N/A N/A 3,173 3,677 118,389 89,022 2015-05-27 $76.89 $77.50 20.8% 6.3% 14.7% 24.3% 22.5% 2.8% -0.1% 5.7M 9.8M -2.6M 0.92 17.38 N/A N/A 4,547 4,182 118,532 89,269 2015-05-28 $77.72 $77.50 21.6% 6.4% 15.2% 27.4% 23.2% 1.9% -0.5% 8.5M -22.6M -2.7M 0.63 20.47 N/A N/A 7,713 4,837 120,012 89,851 2015-05-29 $78.25 $77.50 22.1% 6.0% 15.5% 29.0% 21.3% 2.5% -0.4% 12.2M -63.3M -2.7M 0.61 18.31 N/A N/A 8,065 4,885 123,047 90,264
« Apr 2015 | All History | Jun 2015 » Home OXY History May 2015