OXY Options History — April 2017

In April 2017, OXY traded between $61.45 and $64.96. ATM implied volatility averaged 21.1%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.5% (HV 20d: 15.5%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.29.

Notable Days

  • 2017-04-20: Highest Volume — 13,391 contracts
  • 2017-04-11: Largest IV spike — 9.5% change
  • 2017-04-17: Highest IV Rank — 48.7%
  • 2017-04-17: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.05$61.45$64.96$63.70$61.46
Max Pain$67.11$65.00$67.50$65.00$67.50
ATM IV21.1%18.7%23.2%18.7%19.6%
Expected Move5.8%4.8%6.7%4.8%5.4%
HV 20d15.5%12.6%21.8%21.7%14.8%
HV 60d17.8%17.0%18.3%17.4%18.3%
IV Rank33.9%17.4%48.7%17.4%24.1%
IV Percentile41.6%14.7%65.9%14.7%25.8%
Term Structure-0.6%-3.3%0.9%0.7%-1.4%
VWIV20.0%16.7%22.1%16.9%19.3%
Skew 25d2.7%1.1%4.2%1.7%2.8%
Skew 10d5.4%2.3%8.6%8.4%3.9%
Call IV 25d19.7%18.6%23.1%18.6%18.6%
Put IV 25d22.5%20.3%24.3%20.4%21.4%
Bid-Ask Spread %15.0410.5922.7717.8012.77
Gamma HHI0.140.080.390.090.14
Net GEX-5.7M-21.9M2.2M-3.7M-4.8M
Net DEX180.0M92.5M264.0M154.3M204.6M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.861.890.991.24
Total Volume9,302.1586,45913,3917,61611,796
Total OI160,084.632143,583171,284157,320153,076

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$63.70$65.0018.7%4.8%21.7%17.4%16.9%1.7%0.7%-3.7M154.3M-1.3M0.9917.80N/AN/A3,8313,78582,18475,136
2017-04-04$63.98$65.0020.3%4.8%21.8%28.3%17.2%1.3%0.0%-2.3M148.9M-1.3M1.0819.04N/AN/A3,3443,62383,19875,309
2017-04-05$63.48$65.0020.0%4.8%15.9%26.4%16.7%3.2%0.9%-4.1M163.4M-1.2M0.8622.77N/AN/A5,2514,51783,45375,448
2017-04-06$63.23$67.5021.1%5.9%15.9%33.8%20.1%3.6%-1.4%-6.1M179.8M-1.2M1.4512.35N/AN/A2,9334,26584,74276,213
2017-04-07$62.97$67.5021.0%6.1%15.9%33.6%22.1%4.2%-0.4%-21.9M190.0M-1.2M1.2114.92N/AN/A4,2385,11585,14276,873
2017-04-10$64.24$67.5021.2%5.9%17.2%34.8%20.9%3.0%-0.6%-683.1K130.4M-1.3M1.5211.70N/AN/A4,0546,14785,08376,338
2017-04-11$64.96$67.5023.2%6.2%17.5%48.6%22.0%1.1%-0.8%2.2M92.5M-1.3M1.5510.59N/AN/A3,4115,27186,56279,207
2017-04-12$64.88$67.5021.8%6.1%14.0%38.9%21.6%4.0%0.1%1.5M93.6M-1.3M1.0015.47N/AN/A3,4403,44686,65981,143
2017-04-13$64.13$67.5022.6%6.0%12.6%44.5%21.3%3.5%-3.3%-1.4M146.9M-1.3M1.1712.01N/AN/A2,9743,48586,80381,185
2017-04-17$63.75$67.5023.2%6.7%12.6%48.7%21.5%3.2%-0.5%-4.0M164.1M-1.2M0.8815.37N/AN/A3,5163,10986,21978,368
2017-04-18$62.82$67.5022.5%6.5%13.5%43.7%21.3%3.3%-1.4%-7.3M216.4M-1.1M1.2515.44N/AN/A3,7374,67186,92978,833
2017-04-19$61.81$67.5022.0%6.3%14.5%40.2%21.9%3.4%-0.4%-9.4M262.9M-1.0M1.0916.91N/AN/A5,8716,37287,19180,282
2017-04-20$62.05$67.5021.6%6.2%14.6%37.5%20.7%3.0%0.5%-10.8M260.9M-1.1M0.9512.29N/AN/A6,8636,52888,22781,208
2017-04-21$62.00$67.5021.9%6.3%14.3%39.4%21.7%2.7%-0.1%-13.9M264.0M-1.1M1.8915.33N/AN/A3,7467,09889,21982,065
2017-04-24$62.14$67.5019.9%5.4%14.4%25.5%18.0%1.9%-0.9%-6.3M189.8M-1.0M1.7112.40N/AN/A3,4775,93775,49268,091
2017-04-25$62.45$67.5019.1%5.4%14.5%20.3%18.6%1.7%-0.7%-5.2M180.4M-1.0M1.5913.77N/AN/A3,9246,23077,36668,613
2017-04-26$62.53$67.5020.4%5.5%14.2%29.1%19.1%2.4%-1.5%-4.8M173.5M-1.0M1.6321.83N/AN/A3,9196,37879,44669,390
2017-04-27$61.45$67.5020.4%5.6%15.1%29.4%19.6%1.9%-0.6%-5.5M204.0M-1.0M1.3612.95N/AN/A4,4166,02380,78870,127
2017-04-28$61.46$67.5019.6%5.4%14.8%24.1%19.3%2.8%-1.4%-4.8M204.6M-1.0M1.2412.77N/AN/A5,2766,52082,30370,773