OXY Options History — November 2016

In November 2016, OXY traded between $64.94 and $71.56. ATM implied volatility averaged 26.5%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.9% (HV 20d: 27.5%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-11-01: Highest Volume — 43,585 contracts
  • 2016-11-30: Largest IV drop — 12.2% change
  • 2016-11-03: Highest IV Rank — 42.6%
  • 2016-11-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.96$64.94$71.56$68.81$71.56
Max Pain$68.88$67.50$72.50$72.50$68.00
ATM IV26.5%23.6%28.4%27.9%23.6%
Expected Move7.8%7.1%8.7%8.6%7.4%
HV 20d27.5%24.5%30.5%26.1%30.4%
HV 60d24.3%23.0%28.0%23.4%28.0%
IV Rank36.0%26.0%42.6%40.8%26.0%
IV Percentile60.0%37.3%72.2%69.4%37.3%
Term Structure-0.5%-1.6%0.9%0.8%-0.4%
VWIV27.0%24.7%30.9%30.9%26.7%
Skew 25d4.7%3.9%5.6%4.9%4.1%
Skew 10d8.1%5.4%11.4%10.8%8.2%
Call IV 25d24.5%22.4%26.2%26.2%22.4%
Put IV 25d29.3%26.6%31.6%31.1%26.6%
Bid-Ask Spread %15.158.1830.7914.7930.79
Gamma HHI0.110.090.220.090.12
Net GEX660.7K-9.9M13.8M2.7M13.8M
Net DEX116.9M-100.6M259.0M119.8M-100.6M
Net VEX-1.1M-1.2M-887.3K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.261.140.790.64
Total Volume18,639.52410,41743,58543,58517,401
Total OI202,145160,596236,209204,741174,972

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$68.81$72.5027.9%8.6%26.1%40.8%30.9%4.9%0.8%2.7M119.8M-1.1M0.7914.79N/AN/A24,40319,182146,17358,568
2016-11-02$67.94$72.5027.6%8.4%26.3%39.7%28.3%5.5%0.9%-1.3M169.0M-1.2M0.4413.03N/AN/A12,7645,578157,55574,056
2016-11-03$67.18$70.0028.4%8.1%25.7%42.6%26.7%5.4%0.5%-3.0M195.3M-1.1M0.3810.54N/AN/A12,7874,849158,32775,321
2016-11-04$66.72$70.0028.2%7.8%25.7%41.9%27.7%5.6%0.3%-3.9M210.4M-1.1M0.448.18N/AN/A12,5335,466160,18276,027
2016-11-07$67.03$70.0026.4%7.2%24.8%35.5%25.8%5.5%-1.6%-4.9M190.5M-1.0M0.4010.97N/AN/A11,3924,564132,63872,883
2016-11-08$67.01$70.0026.5%7.3%24.7%35.8%24.7%5.2%-1.2%-4.7M188.8M-1.0M0.398.45N/AN/A9,6093,755133,98173,353
2016-11-09$67.04$70.0025.9%7.1%24.5%33.8%25.3%5.0%-1.3%-5.4M191.0M-1.0M0.4912.36N/AN/A9,2544,527134,47073,678
2016-11-10$65.69$70.0026.7%7.6%25.1%36.6%26.0%5.1%-0.1%-7.7M238.9M-904.1K0.4211.55N/AN/A11,0614,694135,26574,503
2016-11-11$64.94$70.0026.8%7.6%25.2%37.0%26.1%4.6%-0.7%-9.9M259.0M-887.3K0.609.78N/AN/A12,7867,669136,61475,485
2016-11-14$65.73$67.5027.0%7.7%25.9%37.6%26.2%5.1%-1.1%-7.7M234.3M-934.9K0.479.38N/AN/A9,4384,434137,00477,354
2016-11-15$68.42$67.5028.0%8.0%30.5%41.0%26.8%4.9%-1.0%-1.8M114.4M-1.1M0.2615.82N/AN/A22,2875,892137,99377,311
2016-11-16$68.84$67.5026.7%7.7%28.5%36.7%26.3%5.0%0.5%2.5M71.2M-1.2M0.3116.76N/AN/A19,7776,046146,85477,992
2016-11-17$67.92$67.5027.1%7.8%28.6%37.8%28.1%4.5%-1.0%-715.9K122.2M-1.1M0.3317.95N/AN/A18,2956,020148,89979,325
2016-11-18$68.19$67.5026.6%7.7%28.5%36.4%27.1%4.3%-1.3%7.7M99.9M-1.1M0.4414.80N/AN/A13,9786,159149,36680,491
2016-11-21$69.19$67.5025.9%7.6%29.0%33.7%25.5%4.2%-0.8%6.8M9.9M-1.1M0.3512.60N/AN/A13,3474,68097,62262,974
2016-11-22$69.47$67.5025.3%7.4%29.1%31.6%26.5%4.2%-0.5%8.2M-2.9M-1.2M0.3616.80N/AN/A12,1164,325100,64564,133
2016-11-23$69.79$67.5024.3%7.3%29.3%28.2%26.0%3.9%-0.7%9.4M-14.7M-1.1M0.7217.89N/AN/A7,0165,050102,12765,333
2016-11-25$69.75$67.5025.3%7.8%29.2%31.8%27.6%4.1%-0.9%10.1M-11.4M-1.1M1.1416.67N/AN/A6,0626,914103,58066,984
2016-11-28$68.34$67.5025.7%8.3%29.9%33.2%29.0%4.3%-0.8%3.1M66.4M-1.1M0.8727.47N/AN/A5,5764,841101,96168,550
2016-11-29$67.53$68.5026.9%8.7%29.9%37.4%30.5%4.0%-0.7%575.3K103.3M-1.0M0.8721.49N/AN/A7,9826,921103,90770,589
2016-11-30$71.56$68.0023.6%7.4%30.4%26.0%26.7%4.1%-0.4%13.8M-100.6M-1.2M0.6430.79N/AN/A10,6176,784104,89670,076