OXY Options History — April 2016

In April 2016, OXY traded between $67.37 and $77.58. ATM implied volatility averaged 26.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.4% (HV 20d: 26.5%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2016-04-15: Highest Volume — 20,261 contracts
  • 2016-04-18: Largest IV drop — 8.9% change
  • 2016-04-07: Highest IV Rank — 40.0%
  • 2016-04-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.92$67.37$77.58$68.29$76.60
Max Pain$70.83$70.00$72.50$70.00$72.50
ATM IV26.1%24.3%28.1%26.5%26.5%
Expected Move7.4%6.9%7.9%7.0%7.8%
HV 20d26.5%23.3%29.3%29.3%28.1%
HV 60d33.0%28.8%36.5%36.5%28.8%
IV Rank32.8%26.2%40.0%34.2%34.4%
IV Percentile44.0%29.4%57.9%50.0%47.6%
Term Structure-0.4%-2.1%2.0%2.0%-0.2%
VWIV26.4%23.7%28.8%25.4%28.8%
Skew 25d5.0%3.9%6.1%6.1%5.1%
Skew 10d10.5%4.8%18.2%12.8%11.2%
Call IV 25d23.9%21.8%26.8%24.0%24.6%
Put IV 25d29.0%27.1%31.7%30.1%29.7%
Bid-Ask Spread %16.9210.9231.6115.2912.07
Gamma HHI0.140.100.280.110.12
Net GEX8.7M1.6M15.5M3.0M10.9M
Net DEX-81.5M-177.6M11.6M6.0M-150.8M
Net VEX-709.3K-1.0M-413.9K-418.9K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.952.272.271.16
Total Volume13,064.7147,72620,2617,72612,024
Total OI79,329.52463,71195,05765,11995,057

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$68.29$70.0026.5%7.0%29.3%34.2%25.4%6.1%2.0%3.0M6.0M-418.9K2.2715.29N/AN/A2,3615,36541,87623,243
2016-04-04$68.18$70.0027.3%7.6%29.1%36.9%25.4%4.9%1.0%2.9M8.2M-413.9K1.1621.55N/AN/A4,5875,33041,31422,397
2016-04-05$67.37$70.0028.0%7.8%29.2%39.5%27.6%4.9%-0.2%2.4M11.6M-434.4K1.2614.36N/AN/A4,2335,35143,79522,685
2016-04-06$70.18$70.0025.9%7.4%25.5%32.2%24.7%5.3%0.0%5.8M-23.6M-480.1K1.1016.29N/AN/A7,1417,87943,41523,122
2016-04-07$69.30$70.0028.1%7.8%23.8%40.0%28.0%4.9%-0.5%1.6M-7.4M-507.7K1.9518.80N/AN/A4,1548,08046,66325,893
2016-04-08$70.51$70.0026.5%7.4%24.5%34.4%26.9%5.5%-0.9%7.7M-34.3M-539.8K1.5518.84N/AN/A4,8607,51947,72927,621
2016-04-11$70.89$70.0026.0%7.5%23.3%32.3%26.8%5.8%0.6%7.7M-41.4M-542.7K1.8222.87N/AN/A4,2367,68947,10826,158
2016-04-12$72.44$70.0026.6%7.2%24.1%34.5%25.8%5.7%-2.1%10.8M-81.8M-606.7K1.2124.30N/AN/A6,2677,59148,07927,904
2016-04-13$72.25$70.0026.4%7.1%23.5%33.9%27.1%5.1%-1.0%11.3M-76.8M-634.0K1.5131.61N/AN/A5,6968,59550,03829,859
2016-04-14$74.47$70.0025.2%6.9%24.9%29.7%24.7%3.9%-1.6%15.5M-129.5M-696.7K1.1024.23N/AN/A8,3409,15550,56932,272
2016-04-15$72.16$70.0027.1%7.4%26.9%36.3%25.5%4.4%-1.9%12.3M-68.2M-674.4K1.2921.19N/AN/A8,83511,42650,59933,291
2016-04-18$73.22$70.0024.7%7.0%27.4%27.8%23.7%5.2%0.3%8.2M-67.8M-699.3K1.1612.93N/AN/A7,9799,28644,68427,516
2016-04-19$74.75$70.0024.3%6.9%27.9%26.2%25.2%5.2%-0.1%9.9M-109.7M-792.2K1.3312.85N/AN/A6,5208,68348,75229,267
2016-04-20$75.04$70.0024.5%7.0%27.3%27.3%25.2%4.8%-1.0%10.7M-122.9M-824.2K1.3914.34N/AN/A5,8168,05951,81530,723
2016-04-21$74.71$72.5025.6%7.3%26.2%30.9%26.9%5.0%-0.3%10.3M-112.1M-847.9K1.4112.88N/AN/A4,9947,04453,43132,372
2016-04-22$75.83$72.5025.1%7.2%26.4%29.3%26.6%4.8%-0.1%11.1M-142.9M-871.8K1.4811.85N/AN/A5,2547,77554,43333,071
2016-04-25$75.06$72.5026.4%7.7%26.6%33.7%28.1%5.1%-1.2%9.4M-106.5M-893.3K1.4310.92N/AN/A4,9527,09753,25831,059
2016-04-26$76.46$72.5025.6%7.4%26.9%30.9%28.5%4.5%-0.2%10.1M-147.3M-978.5K1.5411.26N/AN/A4,7687,33755,31233,330
2016-04-27$77.58$72.5025.6%7.5%27.0%31.1%26.4%4.7%-0.3%10.1M-177.6M-1.0M1.1714.81N/AN/A4,7915,59456,49835,640
2016-04-28$76.13$72.5026.5%7.9%28.3%34.2%28.0%5.3%-0.4%10.1M-137.2M-1.0M0.9512.12N/AN/A6,0065,69057,28336,789
2016-04-29$76.60$72.5026.5%7.8%28.1%34.4%28.8%5.1%-0.2%10.9M-150.8M-1.0M1.1612.07N/AN/A5,5666,45857,86737,190