OXY Options History — July 2015 In July 2015, OXY traded between $67.79 and $75.97. ATM implied volatility averaged 23.9%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.7% (HV 20d: 20.2%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.06.
Notable Days 2015-07-15 : Highest Volume — 18,824 contracts2015-07-24 : Largest IV spike — 11.8% change2015-07-27 : Highest IV Rank — 52.5%2015-07-27 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $71.92 $67.79 $75.97 $75.97 $70.16 Max Pain $76.36 $75.00 $77.50 $77.50 $75.00 ATM IV 23.9% 20.9% 28.0% 23.0% 24.1% Expected Move 6.9% 5.9% 8.2% 6.6% 7.1% HV 20d 20.2% 18.9% 22.7% 21.7% 22.6% HV 60d 18.3% 17.3% 19.9% 17.9% 19.9% IV Rank 36.0% 24.5% 52.5% 32.5% 36.9% IV Percentile 61.2% 29.8% 85.7% 56.7% 67.5% Term Structure -0.3% -1.4% 0.5% -0.2% -0.5% VWIV 24.4% 20.9% 29.6% 23.2% 26.1% Skew 25d 4.1% 2.0% 5.9% 3.4% 3.4% Skew 10d 7.8% 3.5% 14.4% 3.5% 7.5% Call IV 25d 22.5% 19.8% 26.0% 21.8% 22.5% Put IV 25d 26.6% 23.1% 31.6% 25.2% 25.9% Bid-Ask Spread % 10.79 6.66 16.03 14.34 10.53 Gamma HHI 0.09 0.08 0.12 0.12 0.09 Net GEX 1.2M -5.7M 12.3M 12.3M 1.4M Net DEX 153.8M 1.5M 266.2M 1.5M 167.2M Net VEX -2.0M -2.5M -1.7M -2.5M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.30 1.87 1.42 1.04 Total Volume 12,960.864 8,916 18,824 11,404 14,711 Total OI 245,617.227 234,495 259,168 240,217 259,168
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 2015-07-01 $75.97 $77.50 23.0% 6.6% 21.7% 32.5% 23.2% 3.4% -0.2% 12.3M 1.5M -2.5M 1.42 14.34 N/A N/A 4,703 6,701 147,791 92,426 2015-07-02 $75.75 $77.50 22.5% 6.7% 21.2% 30.7% 23.0% 2.5% -0.3% 11.0M 17.1M -2.5M 1.52 15.77 N/A N/A 3,607 5,493 148,400 93,231 2015-07-06 $73.87 $77.50 24.6% 6.7% 20.6% 38.7% 24.9% 2.0% -0.7% 4.6M 106.7M -2.2M 1.27 7.19 N/A N/A 4,987 6,351 147,166 93,612 2015-07-07 $74.15 $77.50 23.9% 6.7% 19.2% 36.1% 25.2% 3.5% -0.2% 5.9M 90.6M -2.3M 1.29 10.98 N/A N/A 6,538 8,431 148,374 95,293 2015-07-08 $72.68 $77.50 25.8% 7.3% 20.1% 43.8% 26.9% 4.4% 0.1% 1.9M 145.8M -2.2M 1.27 10.86 N/A N/A 4,611 5,875 148,442 96,886 2015-07-09 $73.29 $77.50 24.8% 7.2% 19.3% 39.9% 24.6% 4.4% -0.2% 2.4M 127.3M -2.2M 1.26 9.71 N/A N/A 4,376 5,532 148,672 98,336 2015-07-10 $73.45 $77.50 23.6% 6.9% 19.4% 35.2% 23.3% 4.2% -0.4% 2.0M 122.7M -2.1M 1.44 9.37 N/A N/A 3,659 5,257 149,475 98,914 2015-07-13 $73.46 $77.50 22.4% 6.6% 19.2% 30.5% 23.8% 3.5% 0.2% 2.1M 131.9M -2.1M 1.22 9.55 N/A N/A 4,155 5,070 147,862 97,155 2015-07-14 $74.32 $77.50 20.9% 5.9% 19.8% 24.5% 22.7% 3.2% -0.6% 4.0M 98.4M -2.0M 1.39 6.66 N/A N/A 4,185 5,809 148,383 97,993 2015-07-15 $73.08 $77.50 22.1% 6.4% 19.5% 29.1% 21.4% 4.0% -0.2% 1.0M 151.8M -2.0M 0.30 10.92 N/A N/A 14,443 4,381 149,147 99,233 2015-07-16 $72.64 $77.50 21.7% 6.2% 19.3% 27.4% 21.3% 3.5% -0.0% 304.9K 154.1M -2.0M 0.43 8.29 N/A N/A 10,842 4,680 153,059 98,888 2015-07-17 $71.88 $77.50 21.8% 6.2% 19.3% 28.1% 20.9% 4.5% -0.3% -838.1K 178.0M -1.9M 0.57 9.39 N/A N/A 8,563 4,879 150,054 99,145 2015-07-20 $70.26 $75.00 23.1% 6.6% 20.2% 33.0% 24.7% 4.4% 0.0% -2.9M 212.3M -1.7M 0.89 14.51 N/A N/A 6,431 5,693 139,393 95,102 2015-07-21 $70.22 $75.00 23.5% 6.7% 19.8% 34.8% 22.8% 4.5% -0.9% -2.9M 207.6M -1.8M 0.96 11.84 N/A N/A 4,581 4,416 141,718 95,920 2015-07-22 $69.40 $75.00 24.0% 6.9% 19.0% 36.4% 24.1% 4.1% -1.4% -3.5M 230.0M -1.7M 0.89 11.27 N/A N/A 6,664 5,946 142,274 96,399 2015-07-23 $69.66 $75.00 24.1% 6.9% 19.2% 37.0% 24.6% 4.0% -0.1% -3.4M 221.6M -1.8M 1.26 10.55 N/A N/A 4,758 5,983 144,463 97,194 2015-07-24 $68.45 $75.00 27.0% 7.8% 19.6% 48.2% 29.6% 4.7% -0.0% -4.9M 252.4M -1.7M 1.87 10.44 N/A N/A 5,888 11,011 144,622 98,397 2015-07-27 $67.79 $75.00 28.0% 8.2% 18.9% 52.5% 28.8% 5.6% -0.8% -5.7M 266.2M -1.7M 1.02 6.84 N/A N/A 7,605 7,779 143,362 100,735 2015-07-28 $69.56 $75.00 26.9% 7.9% 21.6% 48.2% 27.1% 5.2% 0.5% -2.9M 214.2M -1.8M 0.61 10.81 N/A N/A 11,440 7,009 144,491 101,993 2015-07-29 $70.77 $75.00 24.9% 7.4% 22.7% 40.0% 25.0% 5.9% -0.2% 1.2M 161.2M -1.9M 0.74 11.52 N/A N/A 9,765 7,263 150,335 103,042 2015-07-30 $71.46 $75.00 22.3% 6.6% 22.0% 29.7% 22.6% 4.3% 0.2% 3.7M 125.9M -1.9M 0.74 16.03 N/A N/A 8,681 6,387 153,657 103,377 2015-07-31 $70.16 $75.00 24.1% 7.1% 22.6% 36.9% 26.1% 3.4% -0.5% 1.4M 167.2M -1.9M 1.04 10.53 N/A N/A 7,223 7,488 155,982 103,186
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