OXY Options History — March 2016

In March 2016, OXY traded between $66.34 and $71.58. ATM implied volatility averaged 28.0%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.2% (HV 20d: 32.2%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2016-03-01: Highest Volume — 21,078 contracts
  • 2016-03-16: Largest IV drop — 12.3% change
  • 2016-03-08: Highest IV Rank — 51.8%
  • 2016-03-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.28$66.34$71.58$70.30$68.45
Max Pain$69.55$65.00$70.00$65.00$70.00
ATM IV28.0%25.2%31.4%29.1%27.3%
Expected Move8.0%7.0%9.1%8.7%7.0%
HV 20d32.2%26.9%35.7%31.9%29.7%
HV 60d37.3%36.3%38.6%37.9%36.7%
IV Rank39.5%29.5%51.8%43.6%36.9%
IV Percentile57.8%42.9%72.6%63.5%54.4%
Term Structure0.2%-1.8%1.1%0.5%-1.8%
VWIV27.9%24.1%32.3%24.2%25.6%
Skew 25d5.5%4.4%6.6%5.5%5.2%
Skew 10d12.1%8.0%18.5%18.5%11.6%
Call IV 25d25.7%22.8%29.6%28.1%23.5%
Put IV 25d31.2%27.5%36.1%33.7%28.7%
Bid-Ask Spread %24.1611.2746.6346.6312.80
Gamma HHI0.130.100.200.100.11
Net GEX3.1M1.9M5.0M3.7M3.3M
Net DEX-3.0M-58.3M27.4M-58.3M3.8M
Net VEX-426.5K-733.8K-355.7K-733.8K-439.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.802.400.801.84
Total Volume14,618.4558,34221,07821,0788,342
Total OI59,401.86449,49569,21766,32563,936

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$70.30$65.0029.1%8.7%31.9%43.6%24.2%5.5%0.5%3.7M-58.3M-733.8K0.8046.63N/AN/A11,7339,34540,93825,387
2016-03-02$71.58$65.0028.3%8.3%31.2%40.6%29.8%5.5%-0.7%3.4M-46.7M-676.7K1.4446.25N/AN/A6,6189,56041,64327,574
2016-03-03$70.53$70.0027.8%8.1%29.1%38.8%31.3%5.3%0.8%3.6M-38.9M-564.4K1.2429.52N/AN/A7,5739,40238,76725,245
2016-03-04$69.69$70.0028.6%8.4%28.8%41.9%31.0%5.1%0.1%2.2M-9.2M-466.7K1.3825.75N/AN/A7,61010,52134,54922,612
2016-03-07$70.14$70.0028.7%8.3%26.9%42.0%27.9%5.5%0.4%2.3M9.1M-406.1K1.0827.27N/AN/A9,0649,79630,76422,868
2016-03-08$66.34$70.0031.4%8.8%33.7%51.8%32.3%6.6%-0.5%1.9M27.4M-372.9K1.3731.44N/AN/A8,17511,18033,37223,672
2016-03-09$68.39$70.0031.1%9.1%34.8%50.8%32.1%6.3%0.6%2.2M13.5M-379.3K1.2527.00N/AN/A8,29410,38432,98025,207
2016-03-10$68.22$70.0030.8%9.0%34.8%49.7%28.3%4.9%0.6%2.1M17.9M-377.9K1.0228.59N/AN/A9,4879,68833,73526,448
2016-03-11$69.79$70.0028.4%8.2%35.5%41.0%30.8%5.8%0.6%3.1M-1.0M-412.9K1.8323.76N/AN/A5,0359,21336,14026,657
2016-03-14$69.17$70.0028.9%8.2%35.6%42.9%31.3%5.8%1.1%3.0M10.1M-378.5K2.4031.13N/AN/A3,7348,95434,78125,690
2016-03-15$68.26$70.0029.8%8.6%35.7%45.9%29.3%6.3%0.2%2.5M19.9M-358.8K2.3728.34N/AN/A3,8899,20435,21125,935
2016-03-16$69.48$70.0026.1%7.5%33.2%32.8%25.7%5.9%0.0%3.5M8.8M-355.7K2.1329.83N/AN/A4,3289,21735,70226,295
2016-03-17$70.94$70.0025.5%7.3%34.0%30.8%25.3%4.5%-0.7%5.0M-11.3M-388.2K1.9722.52N/AN/A4,1198,12736,56626,598
2016-03-18$71.23$70.0025.2%7.2%34.0%29.5%24.1%4.7%0.3%4.6M-14.3M-408.6K1.5625.71N/AN/A6,44210,03437,26527,643
2016-03-21$70.63$70.0026.1%7.2%33.1%32.7%25.1%5.8%-0.2%4.8M-24.2M-407.3K1.4516.81N/AN/A4,0525,89132,31017,185
2016-03-22$69.70$70.0025.8%7.3%30.7%31.6%25.1%5.6%0.5%4.3M-13.9M-390.4K1.9211.34N/AN/A3,7797,26033,91717,984
2016-03-23$68.44$70.0027.5%7.7%31.3%37.7%28.6%4.4%-0.2%2.6M5.2M-374.2K1.6814.22N/AN/A4,0126,75834,07119,376
2016-03-24$68.54$70.0026.9%7.5%31.3%35.5%26.1%5.1%0.6%3.0M6.5M-374.3K1.4611.27N/AN/A5,6988,34034,44721,208
2016-03-28$67.97$70.0028.2%7.8%31.4%40.4%27.2%5.5%0.4%2.3M9.9M-362.0K2.2312.93N/AN/A3,7478,36334,35721,170
2016-03-29$67.87$70.0027.5%7.6%31.1%37.7%27.4%5.7%1.0%2.1M14.1M-372.2K2.0211.98N/AN/A3,5927,26135,26122,626
2016-03-30$68.60$70.0026.4%7.1%30.6%33.7%25.6%5.4%1.0%2.9M6.2M-383.1K0.9316.49N/AN/A7,1586,62735,61023,139
2016-03-31$68.45$70.0027.3%7.0%29.7%36.9%25.6%5.2%-1.8%3.3M3.8M-439.8K1.8412.80N/AN/A2,9345,40840,86323,073