OXY Options History — May 2017

In May 2017, OXY traded between $57.74 and $61.52. ATM implied volatility averaged 20.6%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.6% (HV 20d: 24.2%). Max pain ranged from $60.00 to $67.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-05-03: Highest Volume — 25,659 contracts
  • 2017-05-05: Largest IV drop — 8.1% change
  • 2017-05-17: Highest IV Rank — 47.1%
  • 2017-05-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.48$57.74$61.52$60.82$59.12
Max Pain$60.91$60.00$67.50$67.50$60.00
ATM IV20.6%17.9%23.0%20.0%19.8%
Expected Move6.0%5.2%6.7%5.6%6.0%
HV 20d24.2%14.8%26.6%14.8%26.6%
HV 60d20.6%17.8%21.4%18.1%21.4%
IV Rank30.8%12.5%47.1%26.6%25.4%
IV Percentile39.9%9.1%71.0%30.6%29.8%
Term Structure-0.3%-2.2%1.2%-0.0%-0.6%
VWIV20.9%17.8%22.7%20.7%20.6%
Skew 25d2.7%1.4%3.9%1.4%2.8%
Skew 10d4.8%3.6%6.8%3.8%4.5%
Call IV 25d19.2%16.9%21.2%19.1%19.0%
Put IV 25d21.9%19.5%24.6%20.5%21.8%
Bid-Ask Spread %8.513.8118.5014.429.72
Gamma HHI0.150.080.630.150.10
Net GEX-3.0M-29.9M11.4M-6.1M-2.8M
Net DEX149.1M34.3M269.7M221.1M134.7M
Net VEX-1.1M-1.2M-924.3K-971.7K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.251.611.470.89
Total Volume12,074.6366,56425,65913,0188,777
Total OI150,467.455114,051173,631153,299115,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$60.82$67.5020.0%5.6%14.8%26.6%20.7%1.4%-0.0%-6.1M221.1M-971.7K1.4714.42N/AN/A5,2787,74081,25572,044
2017-05-02$59.98$67.5020.0%5.8%15.3%26.3%20.1%1.7%0.3%-7.3M248.1M-951.0K0.8412.93N/AN/A6,5655,49483,19975,595
2017-05-03$60.09$65.0021.4%6.5%15.1%36.0%22.6%2.2%0.6%-6.3M208.4M-993.1K0.7518.50N/AN/A14,62811,03186,37773,037
2017-05-04$57.74$60.0022.8%6.7%20.0%45.5%22.1%2.5%-0.6%-8.7M269.7M-924.3K0.8012.60N/AN/A11,8149,49592,07675,448
2017-05-05$60.25$60.0020.9%6.1%26.1%32.9%22.0%1.7%1.2%-8.4M184.5M-1.1M0.9412.11N/AN/A7,9357,49896,05577,576
2017-05-08$60.46$60.0020.2%5.9%26.2%27.8%21.0%2.3%0.2%-4.9M177.0M-1.1M0.826.21N/AN/A6,2795,14791,98972,143
2017-05-09$59.89$60.0021.5%6.1%24.9%36.6%21.5%2.6%-0.0%-4.2M189.8M-1.1M1.049.82N/AN/A4,4444,62393,68370,856
2017-05-10$61.40$60.0020.6%5.6%26.4%30.6%20.3%2.2%-1.4%-1.2M125.4M-1.1M0.8010.39N/AN/A5,1154,07094,56668,927
2017-05-11$61.12$60.0021.2%6.1%26.4%34.7%20.9%2.4%0.5%-969.2K138.1M-1.1M0.6011.12N/AN/A6,5883,95694,93369,287
2017-05-12$60.83$60.0021.3%6.1%26.3%35.6%20.5%3.2%0.9%-654.8K148.3M-1.1M1.375.44N/AN/A4,8256,62496,58669,631
2017-05-15$61.26$60.0020.7%5.9%26.4%31.6%20.7%3.8%0.3%-1.6M135.9M-1.1M0.964.57N/AN/A4,7294,55895,46671,368
2017-05-16$60.60$60.0021.4%6.1%26.2%36.0%21.1%3.4%-0.8%-2.9M163.3M-1.1M1.255.11N/AN/A3,2234,04496,21971,583
2017-05-17$60.32$60.0023.0%6.6%25.7%47.1%22.7%3.9%-2.2%-3.5M175.2M-1.1M0.6211.21N/AN/A6,0153,70597,04372,177
2017-05-18$60.44$60.0022.2%6.4%25.7%41.6%22.3%3.7%-1.5%-3.1M167.1M-1.1M0.673.81N/AN/A4,8643,26298,39972,632
2017-05-19$60.71$60.0021.5%6.2%25.7%37.0%20.3%3.1%-1.3%274.5K155.1M-1.1M0.256.29N/AN/A15,6393,88098,72472,869
2017-05-22$60.62$60.0020.0%5.9%25.7%26.3%20.7%3.1%-0.0%5.4M77.4M-1.1M0.664.70N/AN/A4,9153,25860,86453,187
2017-05-23$61.52$60.0019.5%5.8%26.3%23.1%20.9%3.0%-0.3%11.4M34.3M-1.2M0.974.06N/AN/A4,7004,57062,99653,979
2017-05-24$61.09$60.0020.3%6.0%26.3%28.7%21.2%2.9%-0.4%8.3M58.8M-1.2M1.013.81N/AN/A3,5183,56464,86456,014
2017-05-25$60.75$60.0018.9%5.6%25.7%18.8%19.5%2.9%-0.1%722.4K91.8M-1.1M0.975.85N/AN/A3,3283,23665,70657,055
2017-05-26$61.03$60.0017.9%5.2%25.8%12.5%17.8%2.6%-0.1%-29.9M77.4M-1.1M0.576.99N/AN/A16,0019,11266,01757,621
2017-05-30$60.59$60.0018.6%5.6%25.6%17.2%20.2%2.9%-0.6%747.9K97.7M-1.1M1.617.63N/AN/A2,9124,68359,59855,640
2017-05-31$59.12$60.0019.8%6.0%26.6%25.4%20.6%2.8%-0.6%-2.8M134.7M-1.0M0.899.72N/AN/A4,6374,14060,08954,911