OXY Options History — July 2016

In July 2016, OXY traded between $73.97 and $77.31. ATM implied volatility averaged 21.3%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.7% (HV 20d: 19.6%). Max pain ranged from $74.50 to $75.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2016-07-25: Highest Volume — 24,122 contracts
2016-07-12: Largest IV drop — 6.6% change
2016-07-07: Highest IV Rank — 15.8%
2016-07-05: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.77	$73.97	$77.31	$75.73	$74.81
Max Pain	$75.00	$74.50	$75.50	$75.50	$74.50
ATM IV	21.3%	19.5%	24.1%	24.0%	20.0%
Expected Move	6.1%	5.5%	6.9%	5.7%	6.0%
HV 20d	19.6%	10.5%	23.6%	23.5%	11.2%
HV 60d	19.2%	17.3%	21.7%	21.7%	17.3%
IV Rank	6.1%	0.0%	15.8%	15.4%	2.2%
IV Percentile	5.1%	0.0%	17.5%	15.9%	1.6%
Term Structure	-0.4%	-0.9%	0.4%	0.4%	-0.2%
VWIV	21.1%	19.0%	24.4%	19.3%	21.9%
Skew 25d	4.6%	3.3%	6.8%	3.9%	4.0%
Skew 10d	9.3%	7.0%	14.2%	12.1%	8.1%
Call IV 25d	19.4%	18.0%	21.7%	21.2%	18.7%
Put IV 25d	24.1%	21.9%	27.6%	25.1%	22.7%
Bid-Ask Spread %	35.61	29.97	43.42	43.42	30.58
Gamma HHI	0.26	0.14	0.74	0.22	0.14
Net GEX	36.0M	15.0M	155.2M	25.9M	25.3M
Net DEX	-112.9M	-237.4M	-11.3M	-125.4M	-93.6M
Net VEX	-1.4M	-1.5M	-1.2M	-1.5M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.46	1.49	0.88	1.46
Total Volume	13,162.05	7,035	24,122	12,216	17,496
Total OI	159,923.8	136,663	190,845	155,045	190,845

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-07-01	$75.73	$75.50	24.0%	5.7%	23.5%	15.4%	19.3%	3.9%	0.4%	25.9M	-125.4M	-1.5M	0.88	43.42	N/A	N/A	6,515	5,701	102,638	52,407
2016-07-05	$75.18	$75.00	24.1%	6.9%	23.6%	15.7%	24.4%	6.4%	0.2%	22.3M	-91.8M	-1.4M	1.06	35.52	N/A	N/A	4,786	5,060	101,537	50,300
2016-07-06	$75.42	$75.00	23.3%	6.8%	22.5%	12.5%	23.7%	5.2%	-0.2%	24.4M	-101.8M	-1.4M	1.49	30.92	N/A	N/A	3,261	4,856	102,299	51,237
2016-07-07	$75.37	$75.00	24.1%	6.7%	21.5%	15.8%	21.9%	5.3%	0.2%	23.7M	-89.4M	-1.4M	0.49	37.08	N/A	N/A	8,791	4,292	102,134	51,471
2016-07-08	$76.14	$75.00	22.7%	6.4%	21.8%	10.2%	23.2%	3.3%	0.1%	35.9M	-136.4M	-1.4M	0.90	38.75	N/A	N/A	4,743	4,281	104,123	51,701
2016-07-11	$76.28	$75.00	21.9%	5.9%	21.7%	6.8%	22.5%	4.5%	-0.9%	33.7M	-150.7M	-1.3M	1.40	31.16	N/A	N/A	2,934	4,101	102,296	51,149
2016-07-12	$77.31	$75.00	20.4%	5.8%	22.2%	1.0%	20.0%	4.5%	-0.3%	50.3M	-237.4M	-1.4M	0.92	30.62	N/A	N/A	7,804	7,168	102,686	51,313
2016-07-13	$76.83	$75.00	21.3%	5.7%	22.3%	4.4%	19.8%	5.1%	-0.9%	51.5M	-184.5M	-1.4M	1.28	29.97	N/A	N/A	4,069	5,211	107,797	53,893
2016-07-14	$77.25	$75.00	20.0%	5.6%	22.3%	0.0%	20.0%	6.8%	-0.4%	83.4M	-220.5M	-1.3M	0.71	39.29	N/A	N/A	6,095	4,329	107,301	54,474
2016-07-15	$77.31	$75.00	19.5%	5.5%	22.1%	0.0%	19.3%	4.0%	-0.4%	155.2M	-223.6M	-1.3M	0.94	33.53	N/A	N/A	7,828	7,354	108,937	54,738
2016-07-18	$76.81	$75.00	19.9%	5.7%	22.2%	1.6%	19.3%	4.7%	-0.1%	23.1M	-134.3M	-1.3M	0.51	41.34	N/A	N/A	11,109	5,627	87,440	49,223
2016-07-19	$76.31	$75.00	19.7%	5.7%	21.6%	1.1%	20.5%	4.5%	-0.6%	25.0M	-119.2M	-1.3M	0.63	36.03	N/A	N/A	9,725	6,085	97,348	50,148
2016-07-20	$76.36	$75.00	19.6%	5.6%	21.0%	0.7%	19.0%	3.9%	-0.5%	27.0M	-129.3M	-1.4M	0.76	43.35	N/A	N/A	6,585	5,000	102,427	52,469
2016-07-21	$75.72	$75.00	20.7%	6.0%	21.2%	4.7%	19.9%	4.7%	-0.4%	23.6M	-81.7M	-1.3M	0.77	40.56	N/A	N/A	6,549	5,074	104,275	53,397
2016-07-22	$75.30	$75.00	20.3%	5.9%	20.5%	3.2%	20.5%	4.8%	-0.8%	22.9M	-55.5M	-1.3M	0.85	36.86	N/A	N/A	6,801	5,812	105,518	54,634
2016-07-25	$74.46	$75.00	21.6%	6.4%	16.9%	8.3%	22.3%	4.7%	-0.5%	15.0M	-12.3M	-1.2M	0.46	34.94	N/A	N/A	16,523	7,599	103,861	54,770
2016-07-26	$74.68	$75.00	21.5%	6.5%	12.2%	8.1%	22.2%	4.4%	-0.7%	18.4M	-47.8M	-1.4M	1.01	33.16	N/A	N/A	4,928	4,995	114,893	57,284
2016-07-27	$74.12	$75.00	21.0%	6.2%	12.1%	5.9%	21.0%	4.1%	-0.5%	15.6M	-11.3M	-1.4M	0.66	33.78	N/A	N/A	8,558	5,639	115,618	57,983
2016-07-28	$73.97	$75.00	20.5%	6.1%	10.5%	4.2%	21.8%	3.8%	-0.4%	17.1M	-11.3M	-1.4M	0.65	31.36	N/A	N/A	12,092	7,865	121,920	59,992
2016-07-29	$74.81	$74.50	20.0%	6.0%	11.2%	2.2%	21.9%	4.0%	-0.2%	25.3M	-93.6M	-1.5M	1.46	30.58	N/A	N/A	7,107	10,389	128,987	61,858