OXY Options History — August 2015 In August 2015, OXY traded between $66.08 and $73.81. ATM implied volatility averaged 29.6%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.8% (HV 20d: 26.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.17.
Notable Days 2015-08-18 : Highest Volume — 24,734 contracts2015-08-24 : Largest IV spike — 23.9% change2015-08-24 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $70.60 $66.08 $73.81 $69.40 $73.01 Max Pain $70.71 $70.00 $75.00 $75.00 $70.00 ATM IV 29.6% 23.8% 41.8% 25.4% 33.9% Expected Move 8.6% 6.8% 12.4% 7.4% 10.3% HV 20d 26.9% 20.3% 35.3% 21.4% 35.3% HV 60d 22.4% 19.4% 26.7% 19.6% 26.6% IV Rank 57.2% 35.7% 100.0% 42.1% 70.9% IV Percentile 83.3% 59.5% 100.0% 75.8% 93.7% Term Structure -0.5% -2.6% 1.1% -0.2% -1.4% VWIV 31.0% 24.9% 44.7% 25.6% 37.5% Skew 25d 6.7% 4.0% 11.3% 5.0% 10.1% Skew 10d 13.7% 8.0% 23.2% 8.2% 23.2% Call IV 25d 27.1% 22.4% 37.0% 23.9% 30.0% Put IV 25d 33.8% 27.5% 48.3% 28.9% 40.1% Bid-Ask Spread % 18.47 8.62 51.45 8.62 27.04 Gamma HHI 0.09 0.06 0.16 0.09 0.06 Net GEX 4.3M -3.2M 15.2M -1.5M 6.8M Net DEX 102.5M -45.2M 226.2M 199.4M -45.2M Net VEX -1.9M -2.3M -1.7M -1.8M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.59 2.20 1.10 2.20 Total Volume 14,711.857 2,969 24,734 5,793 23,759 Total OI 247,858.048 173,923 289,551 254,039 203,519
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 2015-08-03 $69.40 $75.00 25.4% 7.4% 21.4% 42.1% 25.6% 5.0% -0.2% -1.5M 199.4M -1.8M 1.10 8.62 N/A N/A 2,762 3,031 151,842 102,197 2015-08-04 $69.01 $75.00 25.7% 7.6% 21.2% 43.2% 25.8% 5.5% -0.1% -2.5M 215.7M -1.8M 1.46 10.85 N/A N/A 4,002 5,831 155,955 104,258 2015-08-05 $68.69 $75.00 24.6% 7.7% 20.3% 38.9% 27.1% 5.8% 0.2% -3.2M 226.2M -1.7M 1.18 8.67 N/A N/A 6,419 7,556 156,567 104,765 2015-08-06 $69.50 $70.00 26.9% 7.5% 20.6% 48.1% 29.2% 5.7% 0.1% -388.4K 197.7M -1.8M 1.29 13.32 N/A N/A 5,778 7,449 157,448 107,095 2015-08-07 $68.75 $70.00 27.7% 8.2% 20.7% 51.0% 31.6% 5.6% -1.2% -2.4M 221.5M -1.8M 1.11 13.42 N/A N/A 6,694 7,416 159,564 108,826 2015-08-10 $71.30 $70.00 25.1% 6.9% 25.1% 40.7% 24.9% 4.0% -1.6% 4.1M 111.8M -1.8M 1.17 13.02 N/A N/A 5,501 6,447 157,299 108,747 2015-08-11 $71.48 $70.00 26.3% 7.1% 24.6% 45.7% 28.3% 5.7% -1.8% 5.5M 98.4M -1.9M 1.06 11.74 N/A N/A 1,444 1,525 156,087 109,201 2015-08-12 $73.75 $70.00 26.1% 7.6% 26.6% 44.6% 26.8% 5.8% 1.0% 11.9M -23.3M -2.0M 0.59 10.98 N/A N/A 13,096 7,762 159,034 110,530 2015-08-13 $73.04 $70.00 26.5% 7.6% 26.8% 46.2% 28.9% 5.3% 0.1% 11.0M 19.6M -2.0M 1.22 10.58 N/A N/A 5,155 6,294 160,743 112,788 2015-08-14 $73.41 $70.00 26.2% 7.5% 26.5% 45.3% 27.5% 5.5% 0.7% 12.9M -2.0M -2.0M 1.23 9.95 N/A N/A 5,021 6,169 161,558 113,644 2015-08-17 $73.75 $70.00 25.5% 7.4% 25.0% 42.5% 27.7% 5.7% -0.0% 14.5M -9.1M -1.9M 1.61 11.42 N/A N/A 3,386 5,438 158,975 111,590 2015-08-18 $73.81 $70.00 23.8% 6.8% 25.0% 35.7% 25.2% 5.1% 1.1% 15.2M -16.0M -1.9M 0.71 10.04 N/A N/A 14,498 10,236 159,734 112,178 2015-08-19 $72.16 $70.00 26.7% 7.6% 26.1% 47.1% 25.9% 5.4% -1.0% 10.6M 57.7M -2.0M 0.65 13.25 N/A N/A 7,658 4,956 168,824 116,655 2015-08-20 $70.54 $70.00 29.9% 8.6% 27.5% 59.8% 28.7% 6.3% -2.6% 3.3M 152.2M -2.0M 1.32 15.12 N/A N/A 5,200 6,853 168,626 120,060 2015-08-21 $69.40 $70.00 33.7% 9.7% 27.4% 74.8% 35.6% 7.8% -1.5% 289.2K 204.3M -1.9M 1.73 13.55 N/A N/A 5,110 8,861 168,942 120,609 2015-08-24 $66.08 $70.00 41.8% 12.4% 32.4% 100.0% 44.7% 11.3% -1.8% -1.7M 173.7M -1.8M 0.90 45.41 N/A N/A 9,225 8,317 92,055 81,868 2015-08-25 $66.43 $70.00 38.6% 11.4% 31.0% 88.1% 37.0% 9.8% -0.5% -1.8M 166.1M -1.8M 0.67 51.45 N/A N/A 8,881 5,953 95,594 84,908 2015-08-26 $67.12 $70.00 36.3% 10.9% 30.5% 79.8% 38.3% 8.4% 1.1% -1.2M 155.0M -1.8M 0.97 36.89 N/A N/A 11,899 11,564 98,546 85,719 2015-08-27 $70.41 $70.00 36.9% 10.6% 35.2% 81.9% 37.4% 8.5% -0.9% 4.4M 48.8M -2.1M 1.38 23.00 N/A N/A 9,327 12,841 104,310 90,635 2015-08-28 $71.63 $70.00 35.2% 10.3% 35.1% 75.7% 37.0% 8.9% -1.2% 5.2M -152.3K -2.2M 1.11 29.64 N/A N/A 9,315 10,320 107,412 96,112 2015-08-31 $73.01 $70.00 33.9% 10.3% 35.3% 70.9% 37.5% 10.1% -1.4% 6.8M -45.2M -2.3M 2.20 27.04 N/A N/A 7,414 16,345 107,376 96,143
« Jul 2015 | All History | Sep 2015 » Home OXY History August 2015