OXY Options History — October 2015

In October 2015, OXY traded between $65.83 and $74.70. ATM implied volatility averaged 26.6%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.7% (HV 20d: 31.3%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-10-28: Highest Volume — 31,569 contracts
  • 2015-10-08: Largest IV drop — 10.4% change
  • 2015-10-01: Highest IV Rank — 61.7%
  • 2015-10-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.49$65.83$74.70$65.83$74.70
Max Pain$71.14$67.50$72.50$67.50$72.50
ATM IV26.6%23.4%32.2%32.2%25.2%
Expected Move7.5%6.7%9.2%9.2%7.1%
HV 20d31.3%26.6%34.4%26.6%31.4%
HV 60d31.8%29.6%33.8%29.6%33.8%
IV Rank39.3%26.5%61.7%61.7%33.4%
IV Percentile63.7%41.7%84.5%84.5%56.3%
Term Structure-0.1%-2.1%1.7%0.3%0.2%
VWIV26.6%23.7%31.8%31.8%25.2%
Skew 25d5.2%4.2%7.1%7.1%4.2%
Skew 10d10.3%6.1%19.2%10.4%8.1%
Call IV 25d24.3%21.6%29.3%29.3%22.5%
Put IV 25d29.4%26.4%36.4%36.4%26.8%
Bid-Ask Spread %14.627.0636.9015.7014.06
Gamma HHI0.100.090.150.090.11
Net GEX7.0M-229.3K13.3M-229.3K12.4M
Net DEX-45.9M-151.6M164.4M164.4M-130.8M
Net VEX-1.8M-1.9M-1.5M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.532.400.971.50
Total Volume14,641.4556,19631,5699,61113,796
Total OI206,997.545195,383215,531195,383212,263

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$65.83$67.5032.2%9.2%26.6%61.7%31.8%7.1%0.3%-229.3K164.4M-1.5M0.9715.70N/AN/A4,8894,722104,39690,987
2015-10-02$68.66$67.5030.3%8.4%31.2%54.0%31.3%6.5%-0.1%3.0M75.8M-1.7M0.9716.37N/AN/A6,7546,534106,37191,220
2015-10-05$70.65$72.5027.9%8.0%32.5%44.4%27.6%5.7%-0.1%5.3M18.4M-1.8M0.537.06N/AN/A4,0552,141101,75096,325
2015-10-06$71.63$72.5029.1%7.8%32.8%49.0%27.6%5.7%0.4%7.5M-26.3M-1.9M1.1710.94N/AN/A6,2287,306105,72997,367
2015-10-07$71.79$72.5030.4%7.9%30.9%54.3%27.8%6.2%-2.1%7.6M-31.9M-1.9M2.1713.84N/AN/A3,9788,628107,53799,106
2015-10-08$73.99$72.5027.2%7.4%32.3%41.6%25.7%4.6%-0.5%9.3M-126.2M-1.9M1.289.19N/AN/A5,9097,552108,256101,516
2015-10-09$73.87$72.5028.3%7.4%31.6%45.8%27.4%5.3%1.4%8.5M-122.3M-1.9M1.1213.36N/AN/A7,7648,706109,760103,340
2015-10-12$72.97$72.5026.3%7.4%31.8%37.7%27.0%4.5%-0.3%7.6M-69.8M-1.9M1.158.56N/AN/A5,5976,451109,952103,405
2015-10-13$72.76$72.5027.1%7.5%31.9%40.9%25.7%4.7%-1.1%7.0M-60.0M-1.9M1.3012.33N/AN/A5,7977,529110,513104,443
2015-10-14$73.84$72.5027.2%7.1%31.2%41.5%24.3%5.1%-1.0%9.8M-112.4M-1.9M0.8011.46N/AN/A7,8096,283110,721104,139
2015-10-15$74.63$72.5024.9%6.9%31.2%32.4%23.9%4.7%-0.9%13.3M-151.6M-1.8M1.2612.29N/AN/A6,8678,629110,558104,760
2015-10-16$74.18$72.5024.2%6.8%29.9%29.5%23.7%4.6%-1.2%7.2M-129.9M-1.8M0.5512.09N/AN/A16,0818,875111,527103,791
2015-10-19$72.76$70.0024.8%7.1%31.1%31.8%24.7%5.3%0.0%6.2M-29.4M-1.8M1.2818.14N/AN/A6,3338,095106,92790,682
2015-10-20$72.46$70.0025.4%7.3%30.1%34.2%24.7%5.1%0.2%5.5M-18.8M-1.8M1.5116.38N/AN/A4,9117,409108,02291,784
2015-10-21$72.01$70.0025.1%7.2%29.8%33.3%24.5%5.1%-0.4%5.0M-663.2K-1.7M0.8915.23N/AN/A6,9996,203108,32391,827
2015-10-22$74.35$70.0023.4%6.7%31.3%26.5%24.2%4.9%-0.2%10.2M-105.6M-1.8M1.9716.06N/AN/A4,6079,064111,34492,193
2015-10-23$73.69$70.0024.2%6.9%31.5%29.5%24.9%4.8%1.7%8.3M-83.9M-1.8M1.3616.95N/AN/A4,6986,374112,00293,788
2015-10-26$71.78$70.0026.1%7.3%29.7%36.9%25.8%4.6%-0.6%4.8M11.2M-1.7M1.6415.25N/AN/A5,4708,947111,12492,090
2015-10-27$70.22$70.0026.0%7.9%31.2%36.6%27.1%5.3%0.2%325.2K95.5M-1.6M1.3814.81N/AN/A5,3877,410111,34696,261
2015-10-28$73.87$70.0025.5%7.6%34.4%34.7%29.7%5.4%0.2%7.6M-76.3M-1.8M1.7836.90N/AN/A11,34020,229112,80698,164
2015-10-29$74.17$72.5025.4%7.4%34.2%34.4%30.7%4.4%1.2%8.5M-99.7M-1.8M2.4014.60N/AN/A5,80513,951114,555100,976
2015-10-30$74.70$72.5025.2%7.1%31.4%33.4%25.2%4.2%0.2%12.4M-130.8M-1.8M1.5014.06N/AN/A5,5148,282115,59196,672