OXY Options History — May 2016

In May 2016, OXY traded between $74.23 and $76.50. ATM implied volatility averaged 24.8%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.5% (HV 20d: 22.3%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2016-05-04: Highest Volume — 17,056 contracts
  • 2016-05-17: Largest IV spike — 7.5% change
  • 2016-05-03: Highest IV Rank — 36.9%
  • 2016-05-04: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.74$74.23$76.50$76.28$75.56
Max Pain$74.64$72.50$75.00$72.50$75.00
ATM IV24.8%21.8%27.2%26.7%22.6%
Expected Move7.1%6.0%8.5%8.0%6.3%
HV 20d22.3%17.3%28.3%28.3%17.5%
HV 60d27.1%25.5%28.6%28.6%25.5%
IV Rank28.1%17.6%36.9%34.9%20.2%
IV Percentile29.2%9.1%52.8%48.8%12.7%
Term Structure-0.1%-2.4%2.1%0.2%-0.6%
VWIV24.7%20.8%31.5%29.7%21.7%
Skew 25d5.2%4.4%6.2%5.7%5.1%
Skew 10d9.1%4.0%12.2%11.2%6.3%
Call IV 25d22.4%19.3%25.5%25.0%20.6%
Put IV 25d27.6%23.7%30.7%30.7%25.6%
Bid-Ask Spread %27.9510.6946.5017.6535.61
Gamma HHI0.180.120.680.140.13
Net GEX13.1M7.3M44.1M9.6M9.1M
Net DEX-104.3M-154.2M-42.0M-128.8M-58.1M
Net VEX-1.1M-1.2M-999.0K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.492.641.260.68
Total Volume11,477.1437,71917,05610,7409,216
Total OI102,885.76284,722116,97993,39997,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$76.28$72.5026.7%8.0%28.3%34.9%29.7%5.7%0.2%9.6M-128.8M-1.0M1.2617.65N/AN/A4,7585,98256,49236,907
2016-05-03$75.51$72.5027.2%8.2%28.1%36.9%31.5%5.2%0.5%9.6M-107.3M-1.0M1.3610.69N/AN/A4,9846,78057,33737,622
2016-05-04$74.23$72.5026.9%8.5%25.9%35.6%28.4%5.3%1.0%8.7M-66.3M-999.0K1.0112.17N/AN/A8,4888,56858,03339,699
2016-05-05$76.05$75.0025.0%7.3%26.3%29.0%25.0%5.0%1.0%12.3M-138.9M-1.1M2.1315.13N/AN/A4,1908,93962,46442,086
2016-05-06$75.95$75.0025.5%7.4%26.0%30.7%26.3%5.3%2.1%12.8M-138.0M-1.1M2.3615.14N/AN/A3,8689,12363,63744,137
2016-05-09$75.60$75.0026.4%7.5%26.1%33.8%25.6%5.7%-0.2%12.1M-115.1M-1.1M2.6425.06N/AN/A2,7807,33362,27842,278
2016-05-10$76.49$75.0025.8%6.7%25.4%31.8%24.0%5.1%-2.4%13.4M-149.3M-1.1M2.2716.21N/AN/A2,9326,66262,78743,344
2016-05-11$76.31$75.0024.8%6.8%25.4%28.3%23.9%5.2%-1.5%13.8M-145.6M-1.1M1.6421.78N/AN/A3,4645,69762,88043,006
2016-05-12$76.49$75.0024.6%6.8%23.2%27.6%24.4%4.9%-1.4%14.7M-154.2M-1.1M1.4022.86N/AN/A4,6906,56463,68244,047
2016-05-13$75.42$75.0024.5%7.0%20.7%27.3%23.4%5.6%-0.2%13.5M-112.9M-1.1M2.2133.64N/AN/A3,5267,78065,22845,090
2016-05-16$76.50$75.0023.8%6.8%20.6%24.8%23.7%5.3%1.5%14.4M-144.3M-1.1M1.6539.17N/AN/A3,7656,22263,14244,954
2016-05-17$76.13$75.0025.6%7.4%19.6%31.2%23.9%6.2%-2.2%14.4M-131.3M-1.1M2.0237.06N/AN/A3,3936,84063,58945,409
2016-05-18$74.69$75.0027.1%7.8%20.8%36.4%25.6%5.6%0.4%12.4M-70.7M-1.1M0.9820.62N/AN/A7,3357,16065,53547,243
2016-05-19$74.88$75.0025.7%7.3%20.7%31.3%27.1%5.3%1.3%13.9M-69.1M-1.1M0.7538.16N/AN/A6,5364,88967,09848,993
2016-05-20$74.94$75.0024.3%6.9%20.0%26.4%23.9%5.0%0.4%44.1M-79.8M-1.1M0.5325.59N/AN/A9,8925,25467,54949,430
2016-05-23$74.88$75.0024.2%6.8%19.7%26.1%23.0%5.1%-0.4%7.3M-42.0M-1.1M0.6634.92N/AN/A6,8804,55951,51533,207
2016-05-24$76.18$75.0023.0%6.4%19.5%21.9%22.7%5.1%0.6%9.4M-80.3M-1.1M0.9537.80N/AN/A5,1824,94155,75734,757
2016-05-25$76.22$75.0022.5%6.3%18.7%19.9%22.2%4.5%0.1%10.3M-86.2M-1.1M0.8639.95N/AN/A5,1804,43259,05736,081
2016-05-26$76.08$75.0021.8%6.0%17.5%17.7%21.7%4.5%-1.8%10.7M-85.8M-1.1M1.0741.20N/AN/A3,7223,99761,04336,985
2016-05-27$76.12$75.0021.8%6.0%17.3%17.6%20.8%4.4%0.3%9.0M-86.1M-1.2M0.4946.50N/AN/A9,7344,78361,85137,158
2016-05-31$75.56$75.0022.6%6.3%17.5%20.2%21.7%5.1%-0.6%9.1M-58.1M-1.1M0.6835.61N/AN/A5,4923,72461,16036,054