OXY Options History — November 2015

In November 2015, OXY traded between $73.07 and $77.07. ATM implied volatility averaged 25.9%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.4% (HV 20d: 30.3%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-11-13: Highest Volume — 20,046 contracts
  • 2015-11-12: Largest IV spike — 15.9% change
  • 2015-11-13: Highest IV Rank — 54.9%
  • 2015-11-13: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.22$73.07$77.07$75.61$75.59
Max Pain$72.50$72.50$72.50$72.50$72.50
ATM IV25.9%23.7%30.5%25.5%24.2%
Expected Move7.5%7.0%8.7%7.2%7.2%
HV 20d30.3%25.1%33.6%30.2%25.1%
HV 60d32.0%29.1%33.7%33.7%29.1%
IV Rank36.3%27.5%54.9%34.8%29.4%
IV Percentile58.3%38.5%81.0%60.3%42.1%
Term Structure0.1%-1.0%1.7%-0.0%0.4%
VWIV27.2%24.6%31.6%26.1%24.6%
Skew 25d4.9%3.7%6.4%3.7%4.7%
Skew 10d10.1%6.7%16.3%16.3%8.8%
Call IV 25d24.0%22.1%28.1%23.0%22.7%
Put IV 25d28.9%26.5%34.5%26.7%27.4%
Bid-Ask Spread %15.0511.3724.1915.5517.06
Gamma HHI0.100.070.110.100.10
Net GEX12.5M5.9M17.4M11.6M13.5M
Net DEX-124.8M-230.8M-19.7M-159.8M-91.0M
Net VEX-1.7M-1.8M-1.5M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.162.031.140.62
Total Volume10,322.81,67720,04610,9544,615
Total OI203,458.45165,460225,628205,727172,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$75.61$72.5025.5%7.2%30.2%34.8%26.1%3.7%-0.0%11.6M-159.8M-1.7M1.1415.55N/AN/A5,1185,836113,26992,458
2015-11-03$77.07$72.5024.1%7.2%30.5%29.1%25.7%4.2%0.9%14.0M-230.8M-1.8M1.2011.37N/AN/A5,1266,168114,19292,820
2015-11-04$75.75$72.5024.6%7.6%31.4%31.2%25.3%4.4%1.7%12.2M-169.6M-1.8M1.1412.60N/AN/A5,3356,080115,07193,808
2015-11-05$75.76$72.5025.1%7.4%29.7%33.0%28.1%4.2%0.7%12.7M-173.9M-1.8M1.1712.23N/AN/A5,5936,544115,43894,514
2015-11-06$75.10$72.5024.5%7.1%29.9%30.5%25.9%4.6%0.7%11.8M-129.3M-1.7M0.3012.54N/AN/A2,295694113,23294,773
2015-11-09$75.21$72.5025.8%7.3%29.5%35.8%27.7%5.1%-0.5%12.1M-136.2M-1.7M1.0015.45N/AN/A840837111,92491,468
2015-11-10$76.18$72.5024.9%7.4%29.7%32.3%24.7%4.7%1.2%14.7M-186.0M-1.7M0.9314.68N/AN/A5,7885,369114,99791,826
2015-11-11$76.25$72.5025.2%7.3%29.3%33.6%29.4%4.2%0.3%16.0M-196.5M-1.7M1.0524.19N/AN/A5,1335,371116,34692,375
2015-11-12$73.07$72.5029.2%8.3%33.0%49.6%31.6%5.3%0.3%8.2M-23.7M-1.7M2.0313.43N/AN/A5,50311,181120,53196,105
2015-11-13$73.52$72.5030.5%8.7%33.1%54.9%28.2%6.4%-0.2%9.2M-40.4M-1.7M1.0115.29N/AN/A9,97610,070121,02796,428
2015-11-16$74.97$72.5028.6%8.1%33.0%47.0%25.6%5.7%1.2%13.4M-115.4M-1.7M0.2115.30N/AN/A7,3091,529119,60197,771
2015-11-17$74.39$72.5028.0%8.0%33.1%44.7%30.7%5.9%-0.4%13.1M-91.2M-1.7M1.2713.61N/AN/A6,2607,966123,63198,736
2015-11-18$75.89$72.5027.0%7.7%33.6%40.7%26.7%4.5%-0.7%17.4M-198.6M-1.6M1.5215.24N/AN/A4,6627,096125,26199,084
2015-11-19$75.28$72.5026.9%7.8%31.9%40.2%31.5%5.6%-1.0%17.2M-156.3M-1.7M1.3815.30N/AN/A5,2817,296125,74199,212
2015-11-20$74.04$72.5025.5%7.4%32.4%34.8%30.1%5.5%-0.5%5.9M-89.0M-1.6M0.9015.43N/AN/A6,3095,681126,26599,363
2015-11-23$74.10$72.5025.6%7.3%30.8%34.9%25.3%6.0%-0.2%7.0M-19.7M-1.6M0.2815.66N/AN/A5,2841,49394,59470,866
2015-11-24$75.90$72.5024.2%7.0%30.5%29.6%24.6%4.8%0.1%13.1M-112.8M-1.6M0.1614.96N/AN/A6,25999098,22271,170
2015-11-25$75.43$72.5023.7%7.0%25.1%27.5%25.1%4.3%-0.1%13.7M-96.3M-1.6M0.7314.60N/AN/A5,6264,088104,40371,918
2015-11-27$75.19$72.5025.1%7.3%25.1%33.0%26.9%4.9%-0.8%13.4M-80.0M-1.6M0.8616.53N/AN/A5,3094,546105,52772,631
2015-11-30$75.59$72.5024.2%7.2%25.1%29.4%24.6%4.7%0.4%13.5M-91.0M-1.5M0.6217.06N/AN/A2,8481,767100,83771,734