OXY Options History — January 2016

In January 2016, OXY traded between $59.79 and $68.83. ATM implied volatility averaged 38.3%, placing in the 81.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.9% (HV 20d: 37.4%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.15.

Notable Days

2016-01-12: Highest Volume — 26,430 contracts
2016-01-06: Largest IV spike — 11.6% change
2016-01-13: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.56	$59.79	$68.83	$67.35	$68.83
Max Pain	$69.34	$67.50	$72.50	$72.50	$67.50
ATM IV	38.3%	31.4%	45.0%	33.1%	33.8%
Expected Move	10.8%	8.8%	12.9%	9.1%	9.4%
HV 20d	37.4%	31.6%	45.7%	31.6%	45.7%
HV 60d	33.0%	29.7%	35.7%	30.1%	35.7%
IV Rank	81.6%	58.2%	100.0%	65.1%	60.3%
IV Percentile	95.6%	82.1%	100.0%	87.7%	85.7%
Term Structure	-0.7%	-1.8%	0.5%	-0.8%	-0.1%
VWIV	38.3%	30.2%	44.3%	31.5%	33.8%
Skew 25d	6.9%	4.3%	9.2%	4.3%	5.7%
Skew 10d	13.6%	7.7%	22.1%	7.7%	10.7%
Call IV 25d	35.6%	29.6%	41.2%	31.2%	30.6%
Put IV 25d	42.5%	34.0%	50.4%	35.4%	36.3%
Bid-Ask Spread %	29.05	18.52	41.51	34.27	26.04
Gamma HHI	0.10	0.07	0.18	0.13	0.10
Net GEX	886.7K	-4.5M	8.1M	403.2K	8.1M
Net DEX	118.4M	-115.1M	279.6M	143.7M	-115.1M
Net VEX	-1.0M	-1.3M	-845.3K	-1.1M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.28	2.90	0.88	0.28
Total Volume	14,815.737	10,204	26,430	10,479	11,404
Total OI	172,459.263	116,148	229,935	197,127	140,145

Daily Data (19 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
2016-01-04	$67.35	$72.50	33.1%	9.1%	31.6%	65.1%	31.5%	4.3%	-0.8%	403.2K	143.7M	-1.1M	0.88	34.27	N/A	N/A	5,576	4,903	114,417	82,710
2016-01-05	$68.57	$72.50	31.4%	8.8%	32.4%	58.2%	30.2%	4.4%	-0.3%	3.1M	107.2M	-1.1M	0.36	35.88	N/A	N/A	14,145	5,111	115,847	83,160
2016-01-06	$65.22	$72.50	35.0%	9.6%	35.0%	72.8%	33.3%	5.2%	-0.7%	-1.9M	186.9M	-1.1M	1.46	34.51	N/A	N/A	4,806	7,017	119,365	84,106
2016-01-07	$64.28	$72.50	36.8%	10.2%	34.0%	80.1%	35.2%	5.6%	-1.2%	-3.1M	213.6M	-1.0M	1.25	39.99	N/A	N/A	5,125	6,393	120,727	85,267
2016-01-08	$63.03	$72.50	37.2%	10.3%	34.2%	81.8%	37.9%	6.8%	-1.0%	-3.9M	240.3M	-908.7K	2.61	30.58	N/A	N/A	5,938	15,489	120,048	85,260
2016-01-11	$61.30	$72.50	39.5%	10.8%	34.9%	90.9%	40.7%	7.1%	-1.8%	-4.1M	267.1M	-860.5K	2.90	20.25	N/A	N/A	5,875	17,034	119,096	93,897
2016-01-12	$60.77	$70.00	41.3%	11.8%	32.9%	97.9%	39.9%	7.1%	0.5%	-4.5M	279.6M	-859.6K	1.83	19.90	N/A	N/A	9,344	17,086	120,742	98,309
2016-01-13	$60.40	$70.00	42.1%	11.8%	32.5%	100.0%	40.6%	9.0%	-1.4%	-4.3M	277.3M	-845.3K	1.13	21.61	N/A	N/A	6,151	6,924	123,892	99,750
2016-01-14	$63.96	$67.50	38.1%	10.5%	37.5%	84.2%	40.1%	6.7%	-1.6%	-4.0M	199.1M	-1.0M	1.11	19.61	N/A	N/A	7,631	8,440	125,935	100,692
2016-01-15	$62.82	$67.50	40.5%	11.4%	37.7%	93.6%	40.6%	7.5%	-0.7%	2.2M	215.9M	-1.0M	1.38	41.51	N/A	N/A	6,379	8,817	128,632	101,303
2016-01-19	$61.62	$67.50	41.3%	11.8%	36.5%	96.9%	40.0%	7.6%	-0.3%	1.4M	61.7M	-960.9K	0.84	29.97	N/A	N/A	5,957	5,029	66,814	49,334
2016-01-20	$59.79	$67.50	45.0%	12.9%	37.7%	100.0%	44.0%	9.2%	-0.7%	403.3K	80.7M	-914.7K	0.55	34.76	N/A	N/A	9,017	4,944	70,115	50,707
2016-01-21	$60.96	$67.50	42.2%	12.2%	38.7%	90.2%	44.3%	8.2%	-0.4%	1.5M	63.7M	-936.4K	0.50	38.83	N/A	N/A	6,800	3,404	73,472	51,190
2016-01-22	$63.67	$67.50	37.4%	10.7%	41.8%	73.1%	35.5%	6.8%	-0.2%	4.3M	8.4M	-1.1M	0.63	34.49	N/A	N/A	11,188	7,072	75,822	51,475
2016-01-25	$61.84	$67.50	39.3%	11.6%	40.5%	79.6%	40.0%	8.3%	-0.2%	3.8M	38.1M	-1.0M	1.11	18.52	N/A	N/A	5,820	6,475	77,085	49,774
2016-01-26	$63.20	$67.50	39.0%	11.4%	41.6%	78.8%	40.6%	7.0%	-0.4%	4.3M	23.9M	-1.1M	1.39	21.83	N/A	N/A	5,167	7,190	76,070	52,868
2016-01-27	$64.09	$67.50	38.2%	11.2%	41.8%	75.8%	40.0%	7.1%	-0.5%	5.8M	-2.4M	-1.1M	1.00	22.31	N/A	N/A	5,207	5,223	77,817	55,453
2016-01-28	$65.85	$67.50	37.0%	10.7%	43.2%	71.4%	38.8%	6.7%	-0.5%	7.3M	-39.1M	-1.2M	0.61	27.13	N/A	N/A	8,327	5,091	78,959	56,471
2016-01-29	$68.83	$67.50	33.8%	9.4%	45.7%	60.3%	33.8%	5.7%	-0.1%	8.1M	-115.1M	-1.3M	0.28	26.04	N/A	N/A	8,875	2,529	82,148	57,997