OXY Options History — September 2015 In September 2015, OXY traded between $63.65 and $70.92. ATM implied volatility averaged 33.5%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 1.6% (HV 20d: 35.2%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.25.
Notable Days 2015-09-25 : Highest Volume — 19,132 contracts2015-09-28 : Largest IV spike — 19.6% change2015-09-01 : Highest IV Rank — 91.2%2015-09-01 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $67.24 $63.65 $70.92 $69.81 $66.22 Max Pain $68.69 $67.50 $70.00 $70.00 $67.50 ATM IV 33.5% 29.5% 39.4% 39.4% 31.5% Expected Move 9.5% 8.3% 12.1% 12.1% 9.0% HV 20d 35.2% 27.4% 39.4% 39.1% 27.4% HV 60d 28.4% 27.6% 29.8% 27.6% 29.8% IV Rank 67.7% 51.9% 91.2% 91.2% 58.8% IV Percentile 89.4% 81.7% 98.8% 98.8% 83.3% Term Structure -0.3% -4.7% 3.1% -0.5% -0.0% VWIV 33.6% 28.0% 43.2% 43.2% 30.4% Skew 25d 7.5% 3.8% 10.6% 9.6% 7.0% Skew 10d 15.3% 10.2% 21.4% 18.7% 18.1% Call IV 25d 30.6% 27.3% 36.7% 36.7% 29.3% Put IV 25d 38.1% 32.9% 46.3% 46.3% 36.3% Bid-Ask Spread % 15.13 9.17 28.21 28.21 12.69 Gamma HHI 0.09 0.06 0.14 0.06 0.09 Net GEX -717.0K -8.1M 3.0M 1.0M -460.3K Net DEX 143.8M 40.0M 214.8M 79.6M 164.9M Net VEX -1.7M -2.2M -1.4M -2.2M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.60 2.37 1.64 0.83 Total Volume 12,232.143 4,378 19,132 13,351 10,337 Total OI 200,707.286 176,211 218,981 211,578 192,882
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 2015-09-01 $69.81 $70.00 39.4% 12.1% 39.1% 91.2% 43.2% 9.6% -0.5% 1.0M 79.6M -2.2M 1.64 28.21 N/A N/A 5,064 8,287 108,823 102,755 2015-09-02 $70.90 $70.00 39.3% 10.7% 39.4% 90.8% 38.0% 10.6% -1.1% 3.0M 40.0M -2.2M 1.64 16.45 N/A N/A 6,385 10,472 109,485 104,186 2015-09-03 $70.92 $70.00 34.5% 9.7% 39.2% 72.4% 36.2% 10.4% -0.6% 2.8M 42.0M -2.1M 1.48 21.12 N/A N/A 5,791 8,573 111,035 106,757 2015-09-04 $69.92 $70.00 36.1% 9.9% 39.3% 78.8% 39.7% 8.7% -0.9% 1.7M 90.2M -2.0M 1.65 21.76 N/A N/A 5,074 8,396 111,432 107,549 2015-09-08 $69.50 $70.00 34.1% 9.5% 37.1% 70.1% 35.4% 7.4% -1.8% 3.0M 73.5M -2.0M 0.60 12.83 N/A N/A 3,603 2,162 104,304 96,595 2015-09-09 $67.58 $70.00 34.9% 9.9% 38.2% 73.0% 33.7% 8.2% -0.7% -585.3K 132.6M -1.9M 1.03 12.15 N/A N/A 6,158 6,373 109,182 97,909 2015-09-10 $67.69 $70.00 34.3% 9.7% 36.1% 70.8% 33.5% 8.4% -0.5% -1.5M 141.0M -1.8M 1.35 16.78 N/A N/A 6,385 8,598 109,928 98,347 2015-09-11 $66.71 $70.00 34.1% 9.6% 36.2% 70.1% 34.2% 7.9% -1.6% -8.1M 181.9M -1.7M 1.06 13.38 N/A N/A 6,905 7,348 110,713 101,163 2015-09-14 $66.12 $70.00 35.9% 10.3% 36.1% 77.1% 35.1% 8.1% 1.7% -3.2M 178.6M -1.7M 1.32 14.59 N/A N/A 4,703 6,223 109,190 96,245 2015-09-15 $66.75 $70.00 32.6% 9.3% 36.3% 64.0% 32.7% 7.1% 3.1% -2.6M 158.8M -1.7M 0.79 16.08 N/A N/A 2,450 1,928 106,990 96,337 2015-09-16 $68.45 $67.50 31.6% 9.1% 37.8% 60.2% 29.7% 7.1% 0.2% 2.0M 113.1M -1.8M 1.19 16.04 N/A N/A 5,293 6,287 110,431 96,929 2015-09-17 $68.24 $67.50 30.7% 8.7% 37.2% 56.7% 28.0% 6.9% 2.6% 1.3M 113.3M -1.8M 0.63 17.85 N/A N/A 9,250 5,781 110,738 97,602 2015-09-18 $66.77 $67.50 30.6% 8.7% 37.1% 56.5% 32.6% 7.1% 0.4% -328.8K 165.2M -1.6M 0.98 15.11 N/A N/A 6,178 6,082 112,012 97,840 2015-09-21 $66.79 $67.50 29.5% 8.3% 36.8% 51.9% 29.3% 5.7% 0.0% -764.5K 159.0M -1.6M 1.02 9.69 N/A N/A 4,979 5,059 98,015 78,196 2015-09-22 $65.54 $67.50 30.6% 8.9% 33.0% 55.5% 30.6% 5.4% -0.1% -2.0M 189.9M -1.5M 1.25 9.17 N/A N/A 3,477 4,356 99,766 79,156 2015-09-23 $64.85 $67.50 31.4% 8.9% 33.1% 58.3% 30.1% 3.8% -0.1% -2.3M 201.4M -1.5M 1.22 9.28 N/A N/A 4,876 5,925 102,047 80,479 2015-09-24 $65.03 $67.50 32.2% 9.1% 32.9% 61.8% 29.9% 5.7% 1.3% -2.2M 199.0M -1.5M 1.82 11.23 N/A N/A 6,667 12,114 102,994 81,760 2015-09-25 $66.08 $67.50 30.7% 8.7% 28.1% 55.5% 32.1% 7.4% -0.5% -889.5K 173.7M -1.5M 2.37 13.51 N/A N/A 5,674 13,458 103,787 89,216 2015-09-28 $63.65 $67.50 36.7% 10.1% 29.5% 79.7% 36.1% 8.2% -4.7% -2.5M 214.8M -1.4M 1.42 14.80 N/A N/A 3,970 5,628 101,753 88,551 2015-09-29 $64.42 $67.50 33.7% 9.7% 28.8% 67.7% 34.4% 7.9% -1.9% -2.5M 208.0M -1.4M 1.00 15.11 N/A N/A 5,291 5,315 102,154 89,620 2015-09-30 $66.22 $67.50 31.5% 9.0% 27.4% 58.8% 30.4% 7.0% -0.0% -460.3K 164.9M -1.5M 0.83 12.69 N/A N/A 5,651 4,686 102,829 90,053
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