OXY Options History — March 2017

In March 2017, OXY traded between $62.16 and $66.26. ATM implied volatility averaged 18.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.5% (HV 20d: 20.9%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.46.

Notable Days

2017-03-08: Highest Volume — 18,972 contracts
2017-03-08: Largest IV spike — 19.1% change
2017-03-08: Highest IV Rank — 25.3%
2017-03-14: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.79	$62.16	$66.26	$66.26	$63.55
Max Pain	$66.80	$65.00	$67.50	$66.00	$65.00
ATM IV	18.4%	16.8%	20.0%	18.5%	18.8%
Expected Move	5.2%	4.6%	5.7%	5.5%	4.8%
HV 20d	20.9%	16.6%	23.5%	18.4%	21.6%
HV 60d	17.6%	16.5%	18.2%	17.4%	17.5%
IV Rank	15.6%	4.3%	25.3%	15.4%	18.5%
IV Percentile	12.0%	4.4%	21.8%	8.7%	16.7%
Term Structure	0.7%	-0.7%	2.4%	0.2%	1.7%
VWIV	18.4%	16.1%	19.7%	19.5%	16.9%
Skew 25d	2.1%	1.2%	3.1%	2.2%	1.5%
Skew 10d	4.2%	-1.2%	7.3%	2.5%	2.7%
Call IV 25d	17.5%	16.4%	19.6%	18.0%	16.9%
Put IV 25d	19.6%	18.0%	21.8%	20.2%	18.4%
Bid-Ask Spread %	21.30	9.57	33.91	23.15	19.29
Gamma HHI	0.10	0.08	0.18	0.09	0.15
Net GEX	-4.8M	-11.3M	3.6M	-1.4M	3.6M
Net DEX	175.2M	112.5M	225.0M	112.5M	172.7M
Net VEX	-1.2M	-1.4M	-1.0M	-1.3M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.73	2.34	1.95	0.85
Total Volume	11,627.652	7,000	18,972	11,692	12,395
Total OI	152,792.13	138,412	162,963	143,368	162,963

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$66.26	$66.00	18.5%	5.5%	18.4%	15.4%	19.5%	2.2%	0.2%	-1.4M	112.5M	-1.3M	1.95	23.15	N/A	N/A	3,969	7,723	79,601	63,767
2017-03-02	$65.47	$66.00	18.3%	5.3%	18.8%	14.4%	19.3%	2.4%	0.1%	-4.3M	148.3M	-1.2M	2.18	9.57	N/A	N/A	3,738	8,148	80,788	64,606
2017-03-03	$64.88	$66.00	17.4%	5.0%	18.0%	8.0%	18.1%	2.3%	0.3%	-7.1M	171.3M	-1.1M	1.68	13.97	N/A	N/A	4,671	7,866	81,719	65,184
2017-03-06	$64.90	$67.50	17.1%	5.1%	17.2%	6.1%	18.7%	1.9%	0.0%	-5.5M	167.8M	-1.1M	1.68	14.65	N/A	N/A	4,374	7,367	75,192	63,220
2017-03-07	$64.78	$67.50	16.8%	5.1%	16.6%	4.3%	18.1%	1.8%	-0.0%	-5.6M	171.5M	-1.1M	2.34	21.49	N/A	N/A	4,046	9,465	76,740	63,985
2017-03-08	$62.16	$67.50	20.0%	5.6%	20.7%	25.3%	18.7%	3.1%	-0.5%	-5.8M	221.8M	-1.0M	1.67	24.79	N/A	N/A	7,105	11,867	78,399	66,055
2017-03-09	$62.54	$67.50	19.7%	5.6%	21.0%	23.6%	18.6%	1.4%	0.8%	-6.7M	224.9M	-1.2M	0.78	31.40	N/A	N/A	8,644	6,779	80,134	71,482
2017-03-10	$62.36	$67.50	18.5%	5.3%	19.4%	16.4%	19.5%	2.3%	-0.3%	-6.2M	225.0M	-1.2M	1.29	27.95	N/A	N/A	5,075	6,565	82,058	73,062
2017-03-13	$62.90	$67.50	18.4%	5.5%	19.6%	15.9%	19.2%	2.1%	0.9%	-5.8M	204.4M	-1.2M	0.76	25.35	N/A	N/A	6,440	4,915	79,647	72,332
2017-03-14	$63.18	$67.50	19.4%	5.7%	19.4%	22.4%	19.6%	2.4%	0.5%	-5.2M	192.0M	-1.3M	1.53	24.93	N/A	N/A	3,758	5,768	81,761	73,418
2017-03-15	$65.07	$67.50	18.0%	5.1%	22.6%	12.6%	18.4%	1.6%	-0.1%	-2.7M	115.2M	-1.4M	1.28	22.55	N/A	N/A	5,560	7,137	82,494	75,231
2017-03-16	$63.75	$67.50	19.1%	5.6%	23.5%	20.1%	18.9%	2.5%	0.6%	-5.6M	170.7M	-1.3M	1.31	21.70	N/A	N/A	5,856	7,644	83,844	76,236
2017-03-17	$64.13	$67.50	17.8%	5.1%	23.4%	11.3%	18.6%	2.3%	-0.7%	-4.6M	154.4M	-1.3M	1.30	13.97	N/A	N/A	6,371	8,267	84,869	75,963
2017-03-20	$63.77	$67.50	18.1%	5.2%	23.4%	13.6%	17.8%	2.4%	0.7%	-4.7M	163.1M	-1.3M	1.43	21.97	N/A	N/A	4,515	6,467	75,562	71,972
2017-03-21	$63.52	$67.50	18.5%	5.3%	22.9%	16.2%	19.7%	2.6%	1.4%	-5.6M	167.8M	-1.3M	1.13	19.68	N/A	N/A	4,005	4,531	76,943	74,391
2017-03-22	$63.60	$67.50	18.2%	5.2%	22.5%	14.3%	18.1%	2.1%	0.6%	-5.6M	169.4M	-1.3M	0.73	33.91	N/A	N/A	6,549	4,796	77,671	74,866
2017-03-23	$63.05	$67.50	18.7%	5.3%	22.4%	17.9%	19.2%	2.8%	2.2%	-7.1M	188.0M	-1.3M	2.33	20.49	N/A	N/A	2,892	6,742	80,147	75,696
2017-03-24	$62.84	$67.50	18.6%	5.3%	22.3%	16.9%	18.3%	2.0%	0.4%	-11.3M	199.9M	-1.3M	1.91	24.38	N/A	N/A	3,729	7,113	80,579	76,966
2017-03-27	$62.95	$65.50	18.7%	5.1%	21.8%	17.7%	17.9%	2.6%	1.8%	-5.8M	201.8M	-1.2M	1.55	17.16	N/A	N/A	3,686	5,703	79,696	75,951
2017-03-28	$63.42	$65.50	18.7%	4.9%	22.1%	17.7%	17.1%	1.8%	2.4%	-3.2M	181.3M	-1.3M	1.40	18.50	N/A	N/A	3,663	5,130	81,466	76,643
2017-03-29	$63.79	$65.00	18.7%	4.7%	21.7%	17.6%	16.1%	2.0%	1.0%	-2.0M	162.6M	-1.3M	1.49	25.46	N/A	N/A	2,809	4,191	82,575	77,609
2017-03-30	$64.22	$65.00	18.0%	4.6%	21.6%	12.9%	16.4%	1.2%	1.9%	-1.9M	142.9M	-1.3M	0.92	13.60	N/A	N/A	4,893	4,509	83,322	77,414
2017-03-31	$63.55	$65.00	18.8%	4.8%	21.6%	18.5%	16.9%	1.5%	1.7%	3.6M	172.7M	-1.3M	0.85	19.29	N/A	N/A	6,687	5,708	85,050	77,913