OXY Options History — January 2017

In January 2017, OXY traded between $67.64 and $72.15. ATM implied volatility averaged 22.2%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.7% (HV 20d: 15.5%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-01-17: Highest Volume — 21,771 contracts
  • 2017-01-19: Largest IV spike — 11.6% change
  • 2017-01-03: Highest IV Rank — 27.8%
  • 2017-01-05: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.30$67.64$72.15$72.15$67.64
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV22.2%19.9%24.2%24.2%21.8%
Expected Move6.5%6.0%7.2%6.5%6.9%
HV 20d15.5%11.9%21.6%21.2%12.9%
HV 60d25.2%22.2%26.0%25.9%22.2%
IV Rank21.1%13.1%27.8%27.8%19.8%
IV Percentile34.2%15.9%52.0%51.2%32.5%
Term Structure-0.2%-2.1%1.3%-0.2%1.3%
VWIV22.7%20.7%24.6%22.7%24.1%
Skew 25d3.2%2.3%5.7%3.2%3.2%
Skew 10d5.8%2.0%8.1%8.1%6.4%
Call IV 25d21.2%19.3%23.0%23.0%20.5%
Put IV 25d24.3%21.7%28.5%26.2%23.7%
Bid-Ask Spread %27.9421.7034.6324.1229.62
Gamma HHI0.140.100.180.120.17
Net GEX412.9K-4.7M19.3M19.3M-4.7M
Net DEX81.9M-118.5M232.6M-118.5M119.3M
Net VEX-1.3M-1.6M-1.2M-1.6M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.411.551.350.93
Total Volume11,492.16,83321,7718,21311,815
Total OI179,011.8121,826219,799205,582135,305

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$72.15$70.0024.2%6.5%21.2%27.8%22.7%3.2%-0.2%19.3M-118.5M-1.6M1.3524.12N/AN/A3,4934,720124,41081,172
2017-01-04$71.58$70.0023.9%6.4%21.4%26.8%22.6%3.4%0.5%17.9M-75.7M-1.5M1.5029.53N/AN/A2,7344,099125,34781,845
2017-01-05$70.56$70.0023.9%7.2%21.6%26.8%24.6%5.7%1.0%7.5M7.0M-1.5M1.0322.94N/AN/A4,0214,126125,63782,584
2017-01-06$71.16$70.0023.3%6.9%18.9%24.9%23.5%2.3%-0.5%5.1M-29.5M-1.5M1.1630.15N/AN/A4,3285,021125,82183,153
2017-01-09$70.51$70.0023.6%6.8%19.1%25.8%23.3%3.1%0.2%2.1M20.6M-1.4M1.1724.32N/AN/A3,3933,959116,51881,378
2017-01-10$69.46$70.0024.1%6.8%18.4%27.5%23.1%3.2%0.4%-1.7M94.9M-1.3M0.9228.43N/AN/A4,9624,545116,82281,826
2017-01-11$69.32$70.0023.3%6.6%17.8%24.8%23.0%3.1%-0.3%-2.8M112.5M-1.3M0.4129.60N/AN/A10,4124,306117,15382,863
2017-01-12$69.02$70.0022.6%6.4%16.8%22.5%22.7%3.0%-0.4%-2.8M139.2M-1.2M1.0826.60N/AN/A4,4084,779122,30483,459
2017-01-13$69.19$70.0021.7%6.2%15.9%19.3%22.3%2.9%-0.3%-3.6M136.9M-1.2M1.2729.69N/AN/A3,8434,870122,72684,732
2017-01-17$69.72$70.0021.3%6.1%16.2%18.0%20.7%3.3%-0.5%-1.3M92.0M-1.2M0.5727.85N/AN/A13,8317,940115,89383,493
2017-01-18$69.23$70.0021.0%6.0%12.2%16.8%21.4%3.5%-0.4%-1.7M142.1M-1.2M1.1325.83N/AN/A6,6767,543122,46686,563
2017-01-19$68.73$70.0023.4%6.8%11.9%25.3%23.7%3.7%-2.1%-2.5M186.9M-1.2M1.5528.66N/AN/A7,21511,215123,75588,854
2017-01-20$68.44$70.0022.1%6.5%11.9%20.7%22.3%3.6%-1.6%-2.5M232.6M-1.2M1.2326.59N/AN/A6,6448,167124,87994,920
2017-01-23$68.01$70.0021.1%6.3%12.0%17.3%22.6%2.9%-0.1%-4.4M109.3M-1.2M1.2430.22N/AN/A5,5316,87165,36956,457
2017-01-24$68.04$70.0020.8%6.2%11.9%16.3%22.5%2.7%-0.1%-4.5M106.2M-1.2M0.8328.20N/AN/A5,5974,63367,00757,768
2017-01-25$68.23$70.0020.3%6.1%12.1%14.6%21.0%3.0%-0.2%-3.9M97.4M-1.2M0.5831.52N/AN/A7,6364,43168,16257,729
2017-01-26$68.50$70.0020.3%6.1%12.1%14.7%22.2%2.8%-0.5%-2.5M85.6M-1.2M0.7928.62N/AN/A4,8763,83971,18258,178
2017-01-27$68.79$70.0019.9%6.0%12.3%13.1%21.3%2.4%-0.2%-1.1M68.8M-1.2M0.7934.63N/AN/A6,6965,32271,89858,811
2017-01-30$67.80$70.0021.6%6.7%13.1%19.2%24.0%2.8%1.0%-3.9M109.8M-1.3M0.9021.70N/AN/A5,9705,37571,76760,030
2017-01-31$67.64$70.0021.8%6.9%12.9%19.8%24.1%3.2%1.3%-4.7M119.3M-1.3M0.9329.62N/AN/A6,1325,68373,09262,213