OXY Options History — December 2015 In December 2015, OXY traded between $65.96 and $76.69. ATM implied volatility averaged 31.6%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.4% (HV 20d: 31.2%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.12.
Notable Days 2015-12-04 : Highest Volume — 42,490 contracts2015-12-23 : Largest IV drop — 13.5% change2015-12-11 : Highest IV Rank — 77.9%2015-12-11 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $68.82 $65.96 $76.69 $76.69 $67.68 Max Pain $73.64 $72.50 $75.00 $72.50 $72.50 ATM IV 31.6% 26.1% 36.3% 26.1% 30.8% Expected Move 9.1% 7.9% 10.6% 7.9% 8.6% HV 20d 31.2% 25.2% 34.4% 25.2% 33.8% HV 60d 31.1% 29.1% 32.5% 29.1% 30.1% IV Rank 59.2% 37.0% 77.9% 37.0% 55.8% IV Percentile 83.2% 61.1% 96.0% 61.1% 80.2% Term Structure 0.2% -1.4% 1.5% -0.8% 0.5% VWIV 32.4% 27.0% 38.0% 27.0% 30.0% Skew 25d 4.6% 2.6% 5.9% 4.1% 3.8% Skew 10d 8.6% 2.5% 12.9% 10.1% 6.1% Call IV 25d 30.0% 24.3% 34.2% 24.3% 29.3% Put IV 25d 34.6% 28.4% 39.4% 28.4% 33.1% Bid-Ask Spread % 16.59 7.47 36.14 17.16 24.55 Gamma HHI 0.11 0.07 0.14 0.10 0.12 Net GEX 3.6M -2.5M 21.4M 16.3M 1.8M Net DEX 115.6M -138.7M 234.7M -138.7M 135.0M Net VEX -1.4M -1.7M -1.2M -1.6M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.08 2.26 0.08 1.02 Total Volume 17,874.773 10,447 42,490 31,071 11,601 Total OI 213,411.545 175,253 243,203 175,253 200,589
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 2015-12-01 $76.69 $72.50 26.1% 7.9% 25.2% 37.0% 27.0% 4.1% -0.8% 16.3M -138.7M -1.6M 0.08 17.16 N/A N/A 28,900 2,171 102,572 72,681 2015-12-02 $75.24 $72.50 27.7% 9.0% 25.2% 43.7% 30.6% 4.6% -0.4% 21.4M -136.8M -1.7M 0.45 16.82 N/A N/A 14,126 6,336 128,034 73,898 2015-12-03 $72.47 $75.00 29.4% 8.4% 27.8% 50.4% 29.1% 4.4% -0.9% 11.7M 15.0M -1.6M 0.97 15.26 N/A N/A 8,330 8,081 134,581 76,406 2015-12-04 $71.62 $75.00 28.1% 8.2% 28.0% 45.1% 28.4% 3.9% 0.3% 7.1M 69.5M -1.5M 0.45 13.38 N/A N/A 29,246 13,244 137,135 79,482 2015-12-07 $69.32 $75.00 31.3% 9.1% 29.9% 57.9% 37.6% 4.5% 0.4% 1.3M 153.5M -1.4M 1.31 12.25 N/A N/A 5,922 7,777 131,119 79,592 2015-12-08 $67.34 $75.00 33.9% 9.7% 31.0% 68.3% 36.5% 5.3% 0.2% -320.9K 185.7M -1.3M 1.41 10.16 N/A N/A 7,534 10,590 136,441 83,385 2015-12-09 $67.90 $75.00 33.0% 9.5% 30.7% 64.8% 35.7% 5.0% 0.3% 871.6K 167.3M -1.3M 1.55 10.08 N/A N/A 7,089 10,967 138,229 84,349 2015-12-10 $68.48 $75.00 32.4% 9.5% 31.1% 62.4% 33.3% 4.5% 0.8% 2.3M 147.6M -1.4M 2.15 11.79 N/A N/A 6,119 13,169 139,253 85,963 2015-12-11 $65.96 $75.00 36.3% 10.6% 30.3% 77.9% 38.0% 5.4% 1.4% -2.5M 234.7M -1.2M 0.78 9.60 N/A N/A 17,072 13,301 140,125 89,130 2015-12-14 $66.59 $75.00 35.5% 10.1% 30.5% 75.0% 35.8% 5.1% 0.9% -570.7K 202.0M -1.3M 1.03 10.60 N/A N/A 12,017 12,356 143,408 88,456 2015-12-15 $68.57 $75.00 33.6% 9.7% 31.7% 67.3% 33.0% 4.7% -0.3% 2.0M 136.4M -1.5M 1.83 11.45 N/A N/A 5,435 9,951 148,078 91,913 2015-12-16 $68.91 $75.00 31.2% 8.9% 31.8% 57.5% 33.8% 4.1% 0.4% 2.6M 123.7M -1.4M 2.26 14.31 N/A N/A 4,329 9,775 149,347 92,302 2015-12-17 $66.59 $72.50 32.2% 9.2% 32.3% 61.4% 34.2% 4.7% 0.7% -652.8K 206.4M -1.3M 1.44 10.88 N/A N/A 5,303 7,635 149,471 92,267 2015-12-18 $66.10 $72.50 33.3% 9.7% 32.3% 66.1% 33.7% 5.9% -1.3% -1.3M 231.7M -1.2M 1.50 7.47 N/A N/A 6,233 9,380 150,090 93,113 2015-12-21 $66.02 $72.50 33.2% 9.5% 32.1% 65.6% 32.1% 5.1% 0.5% -754.9K 177.9M -1.2M 0.81 12.09 N/A N/A 6,998 5,640 112,062 82,964 2015-12-22 $66.91 $72.50 34.2% 8.9% 32.7% 69.5% 30.7% 5.9% -1.4% 1.3M 136.2M -1.3M 0.51 15.13 N/A N/A 11,972 6,162 113,788 81,820 2015-12-23 $69.23 $72.50 29.6% 8.3% 34.1% 51.1% 29.7% 2.6% 1.5% 5.4M 63.4M -1.4M 0.91 11.71 N/A N/A 7,553 6,839 116,243 82,433 2015-12-24 $69.20 $72.50 29.7% 8.4% 34.1% 51.5% 30.4% 4.0% 1.3% 5.9M 55.8M -1.4M 0.90 36.14 N/A N/A 6,298 5,687 117,883 83,093 2015-12-28 $68.05 $72.50 31.9% 9.0% 34.4% 60.2% 32.5% 4.1% 0.1% 2.6M 113.8M -1.3M 1.39 33.94 N/A N/A 4,475 6,213 114,751 81,440 2015-12-29 $68.14 $72.50 31.2% 8.7% 34.3% 57.6% 30.9% 4.2% 0.2% 2.7M 111.7M -1.2M 0.88 29.77 N/A N/A 5,836 5,136 114,945 82,634 2015-12-30 $67.03 $72.50 31.0% 8.7% 33.7% 56.8% 30.4% 5.4% 0.5% 204.4K 152.2M -1.2M 0.96 30.42 N/A N/A 5,323 5,124 116,499 83,090 2015-12-31 $67.68 $72.50 30.8% 8.6% 33.8% 55.8% 30.0% 3.8% 0.5% 1.8M 135.0M -1.2M 1.02 24.55 N/A N/A 5,751 5,850 117,259 83,330
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