OXY Options History — June 2016

In June 2016, OXY traded between $73.14 and $78.17. ATM implied volatility averaged 23.0%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.5% (HV 20d: 16.5%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2016-06-07: Highest Volume — 26,273 contracts
  • 2016-06-24: Largest IV spike — 25.5% change
  • 2016-06-27: Highest IV Rank — 45.8%
  • 2016-06-27: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.45$73.14$78.17$75.38$75.39
Max Pain$75.32$75.00$76.00$75.00$76.00
ATM IV23.0%20.2%30.7%21.9%23.3%
Expected Move6.4%5.6%8.1%6.2%6.0%
HV 20d16.5%12.8%23.5%17.1%23.5%
HV 60d21.9%20.6%25.5%25.5%21.9%
IV Rank20.2%11.9%45.8%18.0%12.4%
IV Percentile15.4%1.6%67.9%9.9%11.1%
Term Structure0.3%-4.5%2.5%-0.6%0.6%
VWIV22.4%20.3%27.5%21.9%21.0%
Skew 25d5.4%3.7%7.6%5.2%5.0%
Skew 10d11.3%4.1%17.8%12.1%11.0%
Call IV 25d20.9%18.3%26.7%20.6%21.1%
Put IV 25d26.3%22.2%34.3%25.8%26.1%
Bid-Ask Spread %35.1022.5044.9242.2344.05
Gamma HHI0.160.110.230.120.21
Net GEX15.9M7.8M26.4M9.3M23.0M
Net DEX-94.7M-289.7M-29.9M-55.5M-106.6M
Net VEX-1.3M-1.6M-1.1M-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.331.600.810.80
Total Volume15,337.3187,71926,2738,01814,250
Total OI126,589.31899,031151,93599,243151,935

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$75.38$75.0021.9%6.2%17.1%18.0%21.9%5.2%-0.6%9.3M-55.5M-1.1M0.8142.23N/AN/A4,4183,60062,70336,540
2016-06-02$75.12$75.0021.9%6.3%16.0%18.0%23.3%5.0%-0.4%8.7M-41.3M-1.1M1.0241.23N/AN/A3,8153,90463,17436,850
2016-06-03$74.88$75.0021.6%6.2%13.3%16.8%22.7%5.0%0.0%7.8M-32.2M-1.1M1.0235.92N/AN/A4,6414,73663,37037,536
2016-06-06$75.40$75.0021.0%6.1%13.6%14.8%21.2%4.9%0.5%10.1M-50.5M-1.1M0.8337.29N/AN/A9,1367,61362,14136,890
2016-06-07$76.83$75.0020.2%5.6%15.1%11.9%20.3%3.9%0.5%14.8M-72.6M-1.1M0.5531.12N/AN/A16,9649,30967,52841,179
2016-06-08$75.39$75.0022.6%6.2%16.0%20.4%22.7%3.8%-2.2%11.1M-42.4M-1.2M0.7326.64N/AN/A10,6447,77470,19143,308
2016-06-09$75.65$75.0021.1%6.1%16.1%15.1%22.1%4.4%0.8%11.6M-44.4M-1.2M0.5133.82N/AN/A15,2727,79370,52343,769
2016-06-10$75.43$75.0022.1%6.4%16.1%18.4%22.2%4.2%0.8%11.3M-54.7M-1.2M0.8930.81N/AN/A10,6419,44075,96443,939
2016-06-13$75.20$75.0023.4%6.8%15.3%23.4%23.7%6.4%0.6%11.6M-76.2M-1.2M0.9522.50N/AN/A5,3355,08572,14140,960
2016-06-14$75.10$75.0023.6%6.8%14.3%23.9%22.1%6.6%0.8%10.8M-68.7M-1.3M0.3330.92N/AN/A19,1766,40572,92142,480
2016-06-15$74.76$75.0023.0%6.6%14.3%21.8%23.1%6.5%2.2%13.6M-85.0M-1.4M0.5842.93N/AN/A9,2125,32188,67444,416
2016-06-16$74.38$75.0024.0%6.8%12.8%25.3%22.6%5.6%1.3%13.4M-74.4M-1.4M0.7527.48N/AN/A8,6576,50594,38744,110
2016-06-17$74.89$75.0022.9%6.5%13.0%21.3%21.7%6.3%0.5%19.4M-89.8M-1.4M1.1032.44N/AN/A5,7106,25693,58644,335
2016-06-20$76.15$75.0021.1%6.1%14.3%15.0%20.3%5.1%2.5%22.5M-159.9M-1.4M0.5142.19N/AN/A12,7136,54684,82538,273
2016-06-21$77.20$75.0022.0%6.2%15.0%18.3%22.0%5.5%1.0%26.1M-235.1M-1.5M1.6024.04N/AN/A8,32213,34794,05840,531
2016-06-22$77.06$76.0022.0%6.4%13.8%18.3%21.8%5.6%1.1%22.2M-215.5M-1.6M1.4734.09N/AN/A4,6826,89098,26448,937
2016-06-23$78.17$76.0020.8%5.7%14.6%14.1%20.7%5.6%1.6%26.4M-289.7M-1.6M1.0544.92N/AN/A5,8436,12798,82648,876
2016-06-24$75.53$76.0026.1%7.2%19.3%30.7%24.4%7.3%0.6%25.0M-122.3M-1.5M1.1142.52N/AN/A7,0807,82599,20249,328
2016-06-27$73.14$76.0030.7%8.1%22.4%45.8%27.5%7.6%-4.5%12.7M-29.9M-1.4M1.5939.67N/AN/A4,1796,64198,38346,206
2016-06-28$73.86$76.0026.6%7.1%22.7%25.8%25.3%6.3%-0.8%15.3M-43.3M-1.4M1.3729.62N/AN/A4,0095,48698,59147,664
2016-06-29$75.10$76.0023.9%6.1%23.5%15.1%20.9%3.7%0.3%22.2M-93.9M-1.4M0.8635.82N/AN/A8,6637,45698,98948,462
2016-06-30$75.39$76.0023.3%6.0%23.5%12.4%21.0%5.0%0.6%23.0M-106.6M-1.5M0.8044.05N/AN/A7,9116,339101,33550,600