OXY Options History — February 2016

In February 2016, OXY traded between $65.31 and $71.67. ATM implied volatility averaged 36.4%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 5.5% (HV 20d: 41.9%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-02-19: Highest Volume — 18,919 contracts
  • 2016-02-12: Largest IV drop — 11.6% change
  • 2016-02-11: Highest IV Rank — 99.5%
  • 2016-02-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.05$65.31$71.67$66.72$68.98
Max Pain$65.33$65.00$67.50$67.00$65.00
ATM IV36.4%29.8%44.9%36.2%30.6%
Expected Move10.4%8.5%12.2%10.6%9.1%
HV 20d41.9%33.4%49.2%47.0%33.4%
HV 60d37.2%36.0%37.9%36.0%37.8%
IV Rank69.4%46.0%99.5%68.7%49.0%
IV Percentile86.3%67.1%99.6%90.9%69.0%
Term Structure-0.8%-3.0%0.6%0.6%-2.6%
VWIV37.7%29.8%44.0%38.4%33.7%
Skew 25d7.3%5.5%9.0%6.0%7.0%
Skew 10d15.4%7.1%21.0%11.3%7.1%
Call IV 25d33.2%26.7%40.1%33.8%28.0%
Put IV 25d40.5%32.8%47.9%39.8%35.0%
Bid-Ask Spread %32.4318.9349.1434.0149.14
Gamma HHI0.120.080.490.080.14
Net GEX8.0M3.2M19.6M7.3M6.1M
Net DEX-96.9M-194.9M-12.3M-61.6M-82.6M
Net VEX-1.4M-1.5M-1.3M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.451.340.850.89
Total Volume13,219.29,39018,9199,39011,835
Total OI146,560.85102,688172,407142,127102,688

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$66.72$67.0036.2%10.6%47.0%68.7%38.4%6.0%0.6%7.3M-61.6M-1.3M0.8534.01N/AN/A5,0694,32184,99957,128
2016-02-02$65.44$67.0038.5%11.4%47.5%76.9%40.9%8.2%0.1%6.1M-27.8M-1.3M0.9329.23N/AN/A7,3156,83885,85958,289
2016-02-03$68.05$67.5039.0%12.2%49.2%78.6%43.4%6.6%-0.2%7.7M-98.9M-1.4M1.3428.96N/AN/A8,07110,78487,26560,204
2016-02-04$67.02$65.0037.9%10.5%45.9%74.7%35.4%7.0%-0.2%7.1M-74.0M-1.4M0.8330.22N/AN/A8,2796,87190,17165,590
2016-02-05$65.31$65.0038.7%10.9%46.6%77.5%38.7%7.5%0.2%3.2M-12.3M-1.4M0.7629.66N/AN/A8,3226,32893,03767,015
2016-02-08$66.39$65.0040.9%11.1%46.3%85.5%41.9%8.3%-3.0%6.2M-36.8M-1.4M0.4532.23N/AN/A9,6644,37790,75463,277
2016-02-09$65.38$65.0043.1%12.1%45.4%93.4%43.2%8.6%-0.1%5.7M-24.1M-1.4M1.0933.27N/AN/A5,0715,53993,97363,866
2016-02-10$65.72$65.0042.0%11.8%45.2%89.4%42.2%9.0%0.0%6.0M-30.3M-1.4M0.7832.06N/AN/A5,7244,49195,15364,941
2016-02-11$66.38$65.0044.9%12.0%45.1%99.5%44.0%7.8%-2.7%6.9M-56.5M-1.4M0.8235.52N/AN/A6,2235,10796,89165,522
2016-02-12$67.01$65.0039.7%11.2%40.7%81.0%40.9%8.8%-0.8%9.9M-86.5M-1.4M1.0435.94N/AN/A5,9346,19498,28666,405
2016-02-16$67.88$65.0038.5%11.0%40.1%76.8%40.4%7.7%-0.6%8.6M-100.8M-1.4M1.1627.21N/AN/A5,0385,82995,45265,122
2016-02-17$70.67$65.0035.2%10.1%41.1%65.0%35.3%7.5%-1.5%10.6M-194.9M-1.5M1.2320.18N/AN/A6,6388,13697,24766,513
2016-02-18$70.25$65.0033.7%9.7%39.1%59.8%35.7%7.5%-1.0%10.6M-186.0M-1.5M0.4537.45N/AN/A11,5545,18998,47868,340
2016-02-19$70.04$65.0031.5%9.0%39.0%51.9%29.8%6.5%-0.7%19.6M-186.8M-1.5M0.4818.93N/AN/A12,8146,105103,06969,338
2016-02-22$71.67$65.0029.8%8.5%37.1%46.0%30.2%6.1%-0.5%8.4M-181.1M-1.5M0.8329.66N/AN/A6,2385,15278,00938,966
2016-02-23$69.09$65.0032.4%9.4%38.1%55.3%33.9%6.6%-0.6%7.7M-118.1M-1.5M1.1333.94N/AN/A5,6186,33580,91941,019
2016-02-24$69.44$65.0032.5%9.5%37.6%55.5%35.3%6.6%-0.5%7.6M-118.6M-1.5M1.1534.30N/AN/A5,4466,27383,03442,715
2016-02-25$69.62$65.0033.1%9.8%37.5%57.8%35.7%6.7%-0.7%7.6M-122.5M-1.5M1.1534.78N/AN/A5,4496,27382,89544,427
2016-02-26$69.85$65.0030.0%8.6%36.5%46.7%35.0%5.5%-1.0%7.7M-137.5M-1.5M0.7741.83N/AN/A7,8736,06782,17742,184
2016-02-29$68.98$65.0030.6%9.1%33.4%49.0%33.7%7.0%-2.6%6.1M-82.6M-1.3M0.8949.14N/AN/A6,2525,58365,01137,677