OXY Options History — September 2016

In September 2016, OXY traded between $68.63 and $77.92. ATM implied volatility averaged 20.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.8% (HV 20d: 19.5%). Max pain ranged from $71.50 to $77.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-09-06: Highest Volume — 39,884 contracts
  • 2016-09-13: Largest IV spike — 17.5% change
  • 2016-09-14: Highest IV Rank — 27.2%
  • 2016-09-29: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.20$68.63$77.92$76.64$73.11
Max Pain$74.29$71.50$77.50$75.00$71.50
ATM IV20.3%16.2%24.0%17.7%23.5%
Expected Move5.8%4.3%6.8%5.0%6.3%
HV 20d19.5%13.7%28.5%13.9%28.5%
HV 60d18.0%16.8%20.0%16.8%20.0%
IV Rank14.5%0.1%27.2%5.5%25.4%
IV Percentile16.3%0.4%33.3%5.6%31.3%
Term Structure0.7%-0.5%2.1%0.1%0.2%
VWIV20.6%14.6%25.4%18.2%22.5%
Skew 25d3.8%3.1%4.6%3.7%3.5%
Skew 10d7.0%4.8%11.1%6.9%8.8%
Call IV 25d18.9%15.4%22.5%16.7%21.3%
Put IV 25d22.7%18.5%27.0%20.4%24.9%
Bid-Ask Spread %19.038.9932.7026.0510.93
Gamma HHI0.120.070.300.170.10
Net GEX19.7M972.7K58.0M34.0M17.7M
Net DEX-36.0M-354.9M145.3M-147.6M-117.7M
Net VEX-1.4M-1.9M-1.1M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.211.031.030.94
Total Volume17,9168,23139,88411,26113,092
Total OI202,175.571176,648224,732176,648224,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$76.64$75.0017.7%5.0%13.9%5.5%18.2%3.7%0.1%34.0M-147.6M-1.5M1.0326.05N/AN/A5,5445,717117,52859,120
2016-09-02$77.42$75.0016.2%4.3%13.9%0.1%14.6%3.1%0.3%58.0M-219.5M-1.6M0.5632.70N/AN/A10,6575,940119,54259,390
2016-09-06$77.92$75.0016.5%5.0%13.8%1.1%16.9%3.6%0.4%46.1M-262.2M-1.5M0.2126.30N/AN/A33,0056,879120,70859,042
2016-09-07$77.13$75.0017.1%5.0%13.9%3.2%17.2%3.3%0.3%49.7M-276.4M-1.8M0.2925.02N/AN/A16,1044,737134,97061,968
2016-09-08$77.82$75.0016.7%5.1%13.7%2.1%17.2%3.1%0.4%57.3M-354.9M-1.9M0.2722.40N/AN/A20,8315,570138,90262,289
2016-09-09$76.28$77.5019.2%5.5%15.2%10.6%21.3%4.2%0.1%38.9M-201.0M-1.8M0.6120.46N/AN/A10,9936,686145,74362,772
2016-09-12$75.94$77.5019.2%5.8%15.3%10.7%19.6%3.7%1.0%37.7M-160.2M-1.7M0.3126.82N/AN/A16,9665,309145,32963,075
2016-09-13$73.47$77.5022.6%6.7%19.3%22.4%25.4%4.6%0.6%19.2M-6.7M-1.5M0.9028.12N/AN/A9,2798,336149,79663,835
2016-09-14$71.65$77.5024.0%6.7%20.2%27.2%24.3%4.5%-0.5%4.5M104.5M-1.4M0.7125.39N/AN/A7,7975,551151,48466,802
2016-09-15$72.27$75.0021.2%6.1%20.3%17.6%23.0%4.1%-0.2%2.7M96.3M-1.4M0.9924.04N/AN/A5,3925,341151,28567,742
2016-09-16$71.07$75.0021.4%6.2%20.1%18.1%22.1%4.1%0.4%3.8M144.8M-1.2M0.6617.16N/AN/A8,5525,670152,74268,407
2016-09-19$71.05$75.0020.5%5.9%20.0%15.1%20.5%3.8%1.6%3.5M88.2M-1.2M0.7526.80N/AN/A6,1094,552132,07057,894
2016-09-20$70.69$75.0021.1%6.0%20.0%17.1%20.6%4.0%1.5%2.6M99.0M-1.2M0.6818.64N/AN/A6,6424,532133,72158,682
2016-09-21$71.82$72.5018.7%5.4%20.8%8.8%19.2%3.4%2.1%5.6M58.7M-1.3M0.839.52N/AN/A4,5003,731136,89659,999
2016-09-22$71.51$72.5018.6%5.2%20.1%8.5%17.7%3.5%1.9%4.8M74.5M-1.2M0.348.99N/AN/A13,4774,633137,33860,482
2016-09-23$69.48$72.5020.6%5.7%21.9%15.3%20.0%3.3%1.9%972.7K132.3M-1.1M0.549.49N/AN/A15,0918,110145,09361,372
2016-09-26$69.31$71.5022.5%6.1%21.9%22.1%22.4%3.9%-0.0%3.2M119.9M-1.2M0.659.37N/AN/A8,5655,590130,75562,620
2016-09-27$68.63$71.5022.2%6.1%21.3%20.9%21.5%3.5%1.0%1.9M145.3M-1.1M0.6511.15N/AN/A9,8756,375132,58864,204
2016-09-28$71.78$71.5023.8%6.7%28.0%26.5%23.6%4.3%1.1%10.1M-8.0M-1.5M0.5910.75N/AN/A20,59612,117135,93166,380
2016-09-29$72.30$71.5024.0%6.8%28.1%27.1%24.3%4.5%1.4%11.5M-66.3M-1.7M0.519.61N/AN/A11,7656,028147,66674,793
2016-09-30$73.11$71.5023.5%6.3%28.5%25.4%22.5%3.5%0.2%17.7M-117.7M-1.7M0.9410.93N/AN/A6,7546,338149,67175,061