OXY Options History — December 2016

In December 2016, OXY traded between $68.45 and $73.22. ATM implied volatility averaged 21.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 8.5% (HV 20d: 29.5%). Max pain ranged from $68.00 to $72.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-12-01: Highest Volume — 34,879 contracts
  • 2016-12-02: Largest IV drop — 10.0% change
  • 2016-12-01: Highest IV Rank — 26.8%
  • 2016-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.41$68.45$73.22$71.44$71.06
Max Pain$70.19$68.00$72.50$68.00$70.00
ATM IV21.0%19.0%23.9%23.9%22.4%
Expected Move6.1%5.5%7.3%7.3%6.2%
HV 20d29.5%20.6%32.2%30.0%20.7%
HV 60d27.1%25.7%28.1%27.9%25.8%
IV Rank16.7%10.0%26.8%26.8%21.8%
IV Percentile21.1%10.3%40.1%40.1%34.1%
Term Structure0.6%-0.2%1.8%-0.2%1.7%
VWIV21.5%18.9%24.7%24.4%22.5%
Skew 25d3.1%2.1%3.8%3.6%3.8%
Skew 10d6.2%5.3%8.0%6.9%5.5%
Call IV 25d19.9%17.8%22.8%22.8%20.3%
Put IV 25d22.9%20.6%26.4%26.4%24.1%
Bid-Ask Spread %15.477.5234.6926.4320.34
Gamma HHI0.130.100.220.130.11
Net GEX16.6M3.5M28.2M13.2M12.0M
Net DEX-105.8M-301.3M41.3M-109.3M-43.2M
Net VEX-1.5M-1.7M-1.2M-1.2M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.193.780.191.29
Total Volume12,966.4766,61934,87934,8798,153
Total OI201,514.81172,853227,345180,049210,224

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$71.44$68.0023.9%7.3%30.0%26.8%24.4%3.6%-0.2%13.2M-109.3M-1.2M0.1926.43N/AN/A29,3715,508108,14571,904
2016-12-02$70.87$68.5021.5%6.3%29.8%18.6%23.4%3.1%0.1%11.7M-97.5M-1.3M0.7133.65N/AN/A6,7284,802118,59672,557
2016-12-05$71.24$72.5020.8%6.3%29.6%16.0%21.9%2.9%0.5%13.1M-64.2M-1.3M0.5814.66N/AN/A6,1853,612105,12067,733
2016-12-06$70.44$72.5021.2%6.3%30.0%17.7%24.7%3.2%0.4%9.0M-22.1M-1.2M0.2913.23N/AN/A14,6964,304107,02668,499
2016-12-07$68.45$72.5022.8%6.8%32.0%23.2%23.1%3.4%0.2%3.5M41.3M-1.2M0.8713.22N/AN/A5,9225,163111,83869,370
2016-12-08$69.16$70.0022.6%6.5%32.2%22.5%22.6%3.5%0.4%7.6M9.7M-1.5M1.3314.26N/AN/A6,5268,665122,85780,197
2016-12-09$70.59$70.0021.9%6.4%31.7%20.1%22.1%3.3%0.6%18.9M-81.4M-1.6M1.049.24N/AN/A4,3854,574125,92784,714
2016-12-12$71.44$70.0021.6%6.1%31.4%19.0%22.0%3.2%-0.2%21.0M-132.1M-1.6M0.869.95N/AN/A6,3725,473123,25182,639
2016-12-13$72.44$70.0021.0%6.1%31.4%16.8%21.8%2.5%0.2%28.2M-206.9M-1.6M1.368.87N/AN/A3,9635,375125,87483,703
2016-12-14$71.18$70.0021.5%6.3%29.4%18.6%21.5%3.0%0.7%21.5M-103.1M-1.5M0.6615.43N/AN/A7,3204,795126,99684,658
2016-12-15$71.20$70.0021.1%6.2%29.4%17.3%22.2%2.9%0.8%20.8M-98.1M-1.5M3.787.52N/AN/A3,85914,568130,77485,051
2016-12-16$73.22$70.0019.4%5.7%30.2%11.2%19.4%2.1%0.5%26.8M-301.3M-1.7M0.359.53N/AN/A18,2946,359131,60995,736
2016-12-19$72.43$70.0019.1%5.5%30.7%10.1%18.9%2.8%0.1%18.3M-157.7M-1.7M0.3314.12N/AN/A12,5244,086121,05176,916
2016-12-20$72.25$70.0019.0%5.5%30.4%10.0%19.2%3.0%0.5%18.0M-143.8M-1.7M0.9112.88N/AN/A4,7394,304122,28577,865
2016-12-21$72.21$70.0019.1%5.5%30.4%10.2%19.3%2.8%0.6%18.0M-139.2M-1.7M1.1419.87N/AN/A4,3014,899122,94578,916
2016-12-22$72.32$70.0019.3%5.5%30.4%10.9%19.4%2.7%0.4%18.4M-142.2M-1.7M1.2610.47N/AN/A4,7105,952123,97280,578
2016-12-23$72.01$70.0019.6%5.6%30.5%11.9%19.3%2.8%0.7%18.5M-119.1M-1.7M1.3510.96N/AN/A3,6904,982125,68682,844
2016-12-27$72.24$70.0020.1%5.7%29.4%13.8%20.6%2.9%1.8%18.6M-131.6M-1.7M1.2611.91N/AN/A3,4684,365124,81681,662
2016-12-28$71.89$70.0020.9%5.9%29.0%16.4%20.8%3.5%1.8%16.5M-101.2M-1.7M1.0013.66N/AN/A4,3324,353125,53082,317
2016-12-29$71.61$70.0021.6%6.0%20.6%19.0%22.3%3.4%1.8%15.0M-78.1M-1.6M1.2134.69N/AN/A3,0013,618126,81182,619
2016-12-30$71.06$70.0022.4%6.2%20.7%21.8%22.5%3.8%1.7%12.0M-43.2M-1.6M1.2920.34N/AN/A3,5654,588127,10783,117