OXY Options History — October 2016

In October 2016, OXY traded between $72.57 and $75.00. ATM implied volatility averaged 23.2%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.1% (HV 20d: 23.4%). Max pain ranged from $71.50 to $72.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-10-10: Highest Volume — 25,457 contracts
  • 2016-10-11: Largest IV spike — 5.8% change
  • 2016-10-17: Highest IV Rank — 30.8%
  • 2016-10-28: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.70$72.57$75.00$72.86$72.91
Max Pain$72.36$71.50$72.50$71.50$72.50
ATM IV23.2%22.0%25.0%23.0%23.9%
Expected Move6.7%6.2%7.3%6.2%7.2%
HV 20d23.4%15.7%28.1%28.1%16.0%
HV 60d20.3%19.6%21.0%19.9%20.3%
IV Rank24.6%20.3%30.8%23.8%26.8%
IV Percentile32.5%24.2%46.8%29.4%39.7%
Term Structure-0.1%-1.4%1.9%0.4%0.7%
VWIV23.5%21.8%25.2%22.5%24.9%
Skew 25d4.1%3.5%4.8%3.9%4.1%
Skew 10d7.8%4.2%11.4%7.9%8.7%
Call IV 25d21.8%20.5%23.4%21.8%22.4%
Put IV 25d25.9%24.1%27.6%25.7%26.5%
Bid-Ask Spread %11.758.3224.5011.0816.25
Gamma HHI0.110.100.120.100.11
Net GEX27.9M16.3M38.6M16.6M21.3M
Net DEX-170.2M-255.5M-65.5M-105.0M-65.5M
Net VEX-1.5M-1.7M-1.3M-1.6M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.151.161.160.46
Total Volume14,662.3339,17625,4579,17614,134
Total OI210,645.524194,734224,500195,690202,141

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$72.86$71.5023.0%6.2%28.1%23.8%22.5%3.9%0.4%16.6M-105.0M-1.6M1.1611.08N/AN/A4,2444,932131,76663,924
2016-10-04$72.67$71.5023.4%6.3%27.9%25.1%21.9%4.1%0.4%16.3M-94.9M-1.5M0.6710.72N/AN/A6,5594,402132,46164,419
2016-10-05$72.57$71.5023.1%6.2%27.8%24.1%22.8%3.9%0.2%16.9M-93.3M-1.5M0.2912.16N/AN/A14,3044,196134,40664,928
2016-10-06$73.53$72.5023.4%6.9%28.1%25.3%22.9%3.7%0.1%20.3M-165.7M-1.6M0.4524.50N/AN/A11,2115,083136,90965,110
2016-10-07$73.53$72.5023.2%6.7%27.4%24.3%22.8%4.3%1.9%20.6M-162.9M-1.6M0.369.80N/AN/A9,7903,565139,13866,280
2016-10-10$74.71$72.5022.5%6.2%28.0%22.1%21.8%3.7%-1.4%25.1M-220.3M-1.6M0.158.65N/AN/A22,1043,353132,10962,625
2016-10-11$73.74$72.5023.8%6.9%25.8%26.6%22.7%4.6%-0.3%29.8M-195.6M-1.7M0.188.32N/AN/A19,1053,449153,88263,083
2016-10-12$74.03$72.5023.2%6.4%24.0%24.4%23.7%3.9%-0.9%31.2M-209.5M-1.7M0.3213.08N/AN/A11,5733,651154,13163,518
2016-10-13$73.86$72.5023.8%6.6%23.9%26.5%25.2%3.5%-1.1%30.6M-203.3M-1.7M0.3812.32N/AN/A9,2653,520156,33564,064
2016-10-14$73.44$72.5024.2%6.9%23.1%27.9%24.6%4.2%0.3%28.6M-178.2M-1.6M0.339.56N/AN/A9,8543,215156,72864,267
2016-10-17$72.66$72.5025.0%7.2%23.5%30.8%25.2%4.2%-0.7%24.6M-111.1M-1.5M0.368.84N/AN/A10,3663,737154,40763,214
2016-10-18$72.58$72.5024.2%6.9%23.4%27.8%23.1%4.3%-0.4%24.4M-97.9M-1.4M0.358.57N/AN/A10,7193,791154,12163,825
2016-10-19$74.63$72.5023.2%6.7%24.8%24.6%23.7%4.8%-0.9%36.4M-255.5M-1.6M0.7911.50N/AN/A6,1844,876154,63164,149
2016-10-20$73.93$72.5023.2%6.7%25.0%24.5%23.2%4.4%-0.1%33.9M-199.1M-1.5M0.969.82N/AN/A5,5795,363156,02765,085
2016-10-21$74.46$72.5022.0%6.3%22.3%20.3%22.4%3.9%-0.5%34.5M-233.1M-1.5M0.589.03N/AN/A8,4724,902157,64066,860
2016-10-24$75.00$72.5022.1%6.6%22.2%20.6%22.8%3.5%0.1%35.4M-240.7M-1.5M0.3711.13N/AN/A13,9935,185142,88856,501
2016-10-25$74.61$72.5022.0%6.6%21.9%20.3%22.9%4.0%0.3%38.6M-231.8M-1.5M0.3613.50N/AN/A8,7623,188152,25257,982
2016-10-26$74.39$72.5022.6%6.8%15.9%22.4%24.5%3.7%0.1%37.7M-209.3M-1.5M0.4713.82N/AN/A8,4633,947153,22958,828
2016-10-27$73.84$72.5022.6%6.8%16.1%22.3%24.8%4.2%0.2%36.2M-156.2M-1.5M0.6012.26N/AN/A7,9914,784153,44259,911
2016-10-28$73.65$72.5023.8%7.3%15.7%26.7%24.6%4.4%0.1%26.9M-146.1M-1.4M0.4111.80N/AN/A11,4114,687154,65061,690
2016-10-31$72.91$72.5023.9%7.2%16.0%26.8%24.9%4.1%0.7%21.3M-65.5M-1.3M0.4616.25N/AN/A9,6554,479144,81257,329