OXY Options History — June 2015 In June 2015, OXY traded between $77.30 and $79.44. ATM implied volatility averaged 19.1%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.8% (HV 20d: 18.3%). Max pain ranged from $77.50 to $77.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2015-06-29 : Highest Volume — 50,111 contracts2015-06-29 : Largest IV spike — 19.0% change2015-06-29 : Highest IV Rank — 29.2%2015-06-29 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $78.47 $77.30 $79.44 $78.92 $77.90 Max Pain $77.50 $77.50 $77.50 $77.50 $77.50 ATM IV 19.1% 16.9% 22.1% 19.7% 21.7% Expected Move 5.5% 4.8% 6.4% 5.9% 6.1% HV 20d 18.3% 15.3% 20.4% 15.7% 20.3% HV 60d 18.4% 17.1% 20.0% 20.0% 17.1% IV Rank 17.3% 8.5% 29.2% 19.9% 27.6% IV Percentile 20.6% 7.5% 44.4% 24.2% 41.7% Term Structure 0.2% -0.7% 1.6% -0.3% 0.3% VWIV 19.4% 16.7% 23.0% 20.8% 21.1% Skew 25d 2.4% 1.0% 3.8% 2.4% 2.2% Skew 10d 4.5% -1.2% 8.8% 4.5% 3.6% Call IV 25d 18.6% 16.5% 21.4% 19.5% 21.4% Put IV 25d 21.0% 18.6% 24.6% 21.9% 23.6% Bid-Ask Spread % 15.41 11.76 20.60 20.60 15.06 Gamma HHI 0.11 0.06 0.42 0.07 0.15 Net GEX 19.9M 10.8M 53.0M 15.2M 20.5M Net DEX -108.5M -175.9M -12.3M -112.7M -102.9M Net VEX -2.6M -2.8M -2.4M -2.7M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.36 4.60 0.63 4.08 Total Volume 17,080.455 7,286 50,111 10,665 21,117 Total OI 215,124.364 187,299 239,120 214,743 239,120
Daily Data (22 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 2015-06-01 $78.92 $77.50 19.7% 5.9% 15.7% 19.9% 20.8% 2.4% -0.3% 15.2M -112.7M -2.7M 0.63 20.60 N/A N/A 6,540 4,125 125,531 89,212 2015-06-02 $79.44 $77.50 19.5% 5.9% 15.8% 19.1% 21.1% 2.1% -0.6% 17.6M -147.9M -2.7M 0.82 19.76 N/A N/A 3,994 3,292 125,255 89,052 2015-06-03 $78.40 $77.50 20.0% 6.1% 15.3% 21.0% 23.0% 2.2% -0.7% 14.9M -82.0M -2.7M 0.98 14.20 N/A N/A 5,412 5,321 130,067 91,780 2015-06-04 $77.30 $77.50 20.9% 5.7% 15.9% 24.4% 20.2% 2.8% -0.7% 10.8M -12.3M -2.7M 1.06 12.95 N/A N/A 6,172 6,512 130,966 92,844 2015-06-05 $79.20 $77.50 18.9% 5.4% 16.7% 16.6% 19.0% 2.2% 0.0% 21.9M -135.3M -2.8M 0.36 11.76 N/A N/A 16,044 5,701 133,747 94,768 2015-06-08 $77.30 $77.50 19.9% 5.6% 18.9% 20.5% 20.5% 1.9% 0.1% 12.1M -49.8M -2.7M 0.60 12.73 N/A N/A 7,649 4,602 128,311 91,709 2015-06-09 $77.61 $77.50 19.8% 5.7% 18.1% 20.3% 20.3% 1.8% 0.4% 13.7M -70.4M -2.7M 0.63 12.66 N/A N/A 7,355 4,667 128,917 92,320 2015-06-10 $78.82 $77.50 18.8% 5.3% 18.8% 16.1% 19.2% 2.3% -0.7% 21.2M -150.1M -2.7M 0.92 13.64 N/A N/A 4,645 4,271 129,344 92,861 2015-06-11 $78.80 $77.50 18.3% 5.3% 18.6% 14.1% 18.5% 1.0% 0.4% 22.3M -148.6M -2.7M 0.59 14.10 N/A N/A 7,215 4,249 129,714 92,915 2015-06-12 $77.85 $77.50 19.4% 5.5% 19.2% 18.6% 18.9% 2.8% -0.3% 15.1M -79.5M -2.7M 0.58 17.25 N/A N/A 7,324 4,236 131,412 92,897 2015-06-15 $77.47 $77.50 19.7% 5.7% 19.2% 19.8% 19.5% 2.5% 0.0% 13.6M -57.3M -2.7M 0.54 13.49 N/A N/A 6,384 3,466 129,575 88,777 2015-06-16 $78.57 $77.50 19.6% 5.7% 19.7% 19.4% 18.8% 2.4% -0.4% 21.3M -124.3M -2.7M 0.68 13.55 N/A N/A 5,228 3,566 130,668 88,995 2015-06-17 $78.90 $77.50 18.2% 5.2% 18.4% 13.8% 19.5% 2.1% 1.0% 25.0M -156.9M -2.6M 1.23 20.13 N/A N/A 6,547 8,082 131,149 89,138 2015-06-18 $79.02 $77.50 17.7% 5.0% 18.1% 11.7% 18.0% 2.5% 1.0% 28.6M -175.9M -2.7M 0.38 13.28 N/A N/A 11,809 4,541 132,994 90,449 2015-06-19 $78.06 $77.50 18.0% 5.1% 18.7% 13.1% 17.6% 2.7% 0.2% 53.0M -108.9M -2.6M 0.83 12.89 N/A N/A 19,219 15,964 135,159 90,755 2015-06-22 $78.60 $77.50 17.3% 4.9% 18.8% 10.1% 16.7% 1.7% 1.1% 15.4M -92.1M -2.5M 1.31 18.62 N/A N/A 11,997 15,658 110,830 76,469 2015-06-23 $79.40 $77.50 16.9% 4.8% 19.0% 8.6% 17.2% 2.1% 1.6% 20.0M -134.4M -2.5M 3.51 18.36 N/A N/A 4,503 15,823 113,260 76,532 2015-06-24 $79.34 $77.50 16.9% 4.8% 19.0% 8.5% 17.3% 2.6% 1.6% 20.9M -142.9M -2.4M 1.56 15.20 N/A N/A 5,749 8,953 114,731 76,751 2015-06-25 $78.64 $77.50 17.7% 5.1% 19.0% 12.0% 18.6% 3.0% 0.5% 17.6M -97.7M -2.5M 1.20 14.83 N/A N/A 7,556 9,034 117,297 78,481 2015-06-26 $79.21 $77.50 18.6% 5.2% 19.1% 15.3% 18.3% 2.8% 0.9% 22.5M -143.1M -2.5M 4.60 15.42 N/A N/A 3,772 17,365 121,607 79,285 2015-06-29 $77.50 $77.50 22.1% 6.4% 20.4% 29.2% 22.0% 3.8% -0.4% 14.0M -62.3M -2.5M 0.73 18.57 N/A N/A 28,983 21,128 120,449 86,643 2015-06-30 $77.90 $77.50 21.7% 6.1% 20.3% 27.6% 21.1% 2.2% 0.3% 20.5M -102.9M -2.7M 4.08 15.06 N/A N/A 4,159 16,958 147,128 91,992
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