OXY Options History — August 2016

In August 2016, OXY traded between $72.96 and $77.92. ATM implied volatility averaged 17.8%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.9% (HV 20d: 14.9%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2016-08-19: Highest Volume — 22,132 contracts
2016-08-03: Largest IV drop — 13.7% change
2016-08-02: Highest IV Rank — 10.3%
2016-08-02: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.57	$72.96	$77.92	$73.40	$76.79
Max Pain	$74.57	$72.50	$75.00	$74.50	$75.00
ATM IV	17.8%	16.1%	22.1%	21.4%	17.5%
Expected Move	5.2%	4.5%	6.9%	6.7%	4.9%
HV 20d	14.9%	12.8%	16.6%	12.8%	13.9%
HV 60d	17.3%	16.9%	17.5%	17.0%	17.2%
IV Rank	1.8%	0.0%	10.3%	7.5%	4.6%
IV Percentile	1.6%	0.0%	11.5%	6.7%	5.2%
Term Structure	0.3%	-1.5%	1.3%	0.4%	0.1%
VWIV	20.3%	17.0%	24.6%	22.8%	18.2%
Skew 25d	4.2%	3.3%	5.1%	3.8%	3.6%
Skew 10d	8.0%	5.4%	11.4%	6.7%	5.8%
Call IV 25d	16.2%	14.2%	20.4%	19.8%	16.6%
Put IV 25d	20.4%	18.8%	24.2%	23.6%	20.3%
Bid-Ask Spread %	29.16	10.88	40.08	10.88	37.37
Gamma HHI	0.16	0.10	0.47	0.11	0.18
Net GEX	31.4M	16.3M	61.2M	16.6M	35.1M
Net DEX	-146.8M	-446.4M	57.5M	3.9M	-163.9M
Net VEX	-1.4M	-1.6M	-1.2M	-1.4M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.22	1.78	0.70	1.78
Total Volume	14,730.174	8,187	22,132	17,215	8,871
Total OI	192,851.478	133,852	228,133	194,314	175,973

Daily Data (23 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
2016-08-01	$73.40	$74.50	21.4%	6.7%	12.8%	7.5%	22.8%	3.8%	0.4%	16.6M	3.9M	-1.4M	0.70	10.88	N/A	N/A	10,101	7,114	129,559	64,755
2016-08-02	$72.96	$74.00	22.1%	6.9%	12.8%	10.3%	23.7%	3.9%	0.4%	16.4M	25.3M	-1.4M	1.09	21.82	N/A	N/A	8,079	8,769	134,861	65,966
2016-08-03	$74.30	$74.00	19.1%	5.5%	14.5%	0.0%	19.0%	4.2%	0.4%	23.5M	-46.7M	-1.4M	1.09	28.52	N/A	N/A	5,870	6,415	137,669	69,766
2016-08-04	$74.09	$75.00	18.9%	5.4%	14.5%	0.0%	19.0%	3.9%	0.9%	22.8M	-39.6M	-1.4M	1.55	27.30	N/A	N/A	4,899	7,614	139,203	71,472
2016-08-05	$73.68	$75.00	18.8%	5.8%	14.0%	0.0%	20.4%	3.3%	1.1%	20.0M	9.9M	-1.3M	1.27	32.24	N/A	N/A	5,648	7,165	140,168	72,367
2016-08-08	$74.33	$75.00	18.4%	5.3%	14.4%	0.0%	20.0%	4.0%	0.1%	25.1M	-53.6M	-1.3M	0.79	36.20	N/A	N/A	6,277	4,931	135,831	69,764
2016-08-09	$73.67	$75.00	18.4%	5.6%	13.6%	0.1%	19.4%	3.9%	1.3%	21.8M	10.3M	-1.3M	1.12	30.56	N/A	N/A	5,559	6,234	138,747	70,022
2016-08-10	$73.20	$75.00	19.1%	5.5%	13.6%	2.7%	19.2%	4.0%	0.2%	18.7M	57.5M	-1.2M	1.30	26.22	N/A	N/A	5,089	6,615	141,225	71,479
2016-08-11	$74.31	$75.00	17.3%	4.9%	14.7%	0.0%	18.1%	3.6%	-0.8%	31.5M	-53.0M	-1.3M	1.02	11.33	N/A	N/A	5,814	5,939	142,811	71,641
2016-08-12	$74.47	$75.00	17.0%	4.8%	14.7%	0.0%	17.7%	4.0%	-0.2%	38.7M	-81.7M	-1.3M	0.71	23.82	N/A	N/A	8,343	5,898	143,672	72,240
2016-08-15	$74.96	$75.00	17.4%	5.0%	14.9%	1.4%	17.0%	4.7%	0.2%	40.1M	-148.5M	-1.2M	0.62	24.08	N/A	N/A	7,489	4,632	143,371	69,950
2016-08-16	$76.08	$75.00	18.3%	5.3%	15.8%	4.6%	17.8%	5.0%	-1.5%	41.4M	-284.7M	-1.3M	0.55	23.42	N/A	N/A	10,218	5,658	145,769	70,474
2016-08-17	$76.61	$75.00	16.3%	4.7%	16.0%	0.0%	17.5%	5.1%	1.2%	45.4M	-351.4M	-1.2M	0.22	22.89	N/A	N/A	6,694	1,493	144,286	69,176
2016-08-18	$77.48	$75.00	17.0%	4.9%	16.1%	2.4%	20.2%	5.1%	0.0%	61.2M	-446.4M	-1.3M	0.36	28.95	N/A	N/A	12,197	4,412	144,686	69,258
2016-08-19	$76.57	$75.00	17.0%	4.8%	16.6%	2.5%	21.8%	4.6%	1.3%	16.3M	-359.8M	-1.3M	0.95	32.47	N/A	N/A	11,327	10,805	154,253	73,880
2016-08-22	$76.28	$72.50	16.6%	4.7%	16.1%	0.9%	21.3%	4.2%	0.4%	24.7M	-126.7M	-1.3M	0.71	36.87	N/A	N/A	10,424	7,399	88,589	45,263
2016-08-23	$76.92	$72.50	16.1%	4.7%	16.3%	0.0%	24.0%	4.3%	0.4%	30.1M	-161.6M	-1.3M	0.50	34.53	N/A	N/A	12,433	6,248	93,203	48,817
2016-08-24	$77.72	$72.50	16.2%	4.7%	16.2%	0.1%	17.1%	4.5%	0.6%	34.9M	-233.7M	-1.4M	0.46	35.54	N/A	N/A	10,464	4,852	95,425	49,711
2016-08-25	$77.32	$75.00	16.8%	4.9%	16.4%	2.2%	23.2%	4.6%	0.5%	39.0M	-225.8M	-1.5M	1.14	33.41	N/A	N/A	7,972	9,065	108,551	54,797
2016-08-26	$77.26	$75.00	16.5%	4.6%	16.0%	1.2%	22.8%	4.5%	0.7%	42.0M	-218.3M	-1.5M	0.64	36.13	N/A	N/A	12,669	8,157	110,130	57,103
2016-08-29	$77.92	$75.00	16.3%	4.5%	14.2%	0.7%	22.0%	3.7%	0.1%	37.2M	-238.5M	-1.6M	0.45	35.98	N/A	N/A	14,644	6,553	108,490	56,380
2016-08-30	$77.80	$75.00	16.4%	4.6%	13.9%	1.0%	24.6%	4.0%	-0.0%	40.1M	-249.8M	-1.6M	0.96	40.08	N/A	N/A	6,006	5,739	116,810	58,021
2016-08-31	$76.79	$75.00	17.5%	4.9%	13.9%	4.6%	18.2%	3.6%	0.1%	35.1M	-163.9M	-1.6M	1.78	37.37	N/A	N/A	3,188	5,683	117,532	58,441