OXY Options History — June 2017

In June 2017, OXY traded between $58.37 and $61.94. ATM implied volatility averaged 22.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 6.3% (HV 20d: 28.3%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2017-06-06: Highest Volume — 40,271 contracts
2017-06-20: Largest IV spike — 14.3% change
2017-06-21: Highest IV Rank — 52.4%
2017-06-08: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.31	$58.37	$61.94	$60.36	$60.06
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	22.0%	20.6%	23.8%	20.9%	21.5%
Expected Move	6.3%	5.9%	7.0%	6.3%	5.9%
HV 20d	28.3%	18.1%	32.8%	27.7%	30.6%
HV 60d	23.5%	20.2%	25.2%	21.9%	25.0%
IV Rank	41.1%	30.4%	52.4%	32.9%	43.6%
IV Percentile	61.3%	41.3%	82.5%	45.2%	56.3%
Term Structure	0.5%	-0.7%	1.9%	-0.7%	1.9%
VWIV	22.0%	20.3%	24.0%	22.2%	20.3%
Skew 25d	2.3%	1.7%	2.6%	2.5%	2.4%
Skew 10d	4.5%	3.3%	5.7%	4.6%	4.6%
Call IV 25d	21.2%	19.8%	23.0%	20.9%	19.8%
Put IV 25d	23.4%	22.0%	25.3%	23.4%	22.1%
Bid-Ask Spread %	7.45	4.34	30.42	30.42	6.53
Gamma HHI	0.19	0.09	0.28	0.09	0.23
Net GEX	7.0M	-4.6M	20.0M	1.3M	6.6M
Net DEX	24.8M	-76.5M	98.2M	92.4M	41.6M
Net VEX	-1.4M	-1.6M	-1.1M	-1.1M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.21	1.86	0.27	1.13
Total Volume	15,567.727	7,756	40,271	39,807	11,077
Total OI	149,658.273	117,631	161,926	117,631	158,667

Daily Data (22 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
2017-06-01	$60.36	$60.00	20.9%	6.3%	27.7%	32.9%	22.2%	2.5%	-0.7%	1.3M	92.4M	-1.1M	0.27	30.42	N/A	N/A	31,337	8,470	62,039	55,592
2017-06-02	$60.61	$60.00	20.7%	6.0%	23.3%	31.7%	21.4%	2.2%	0.3%	2.9M	88.9M	-1.2M	1.06	10.97	N/A	N/A	7,462	7,931	76,691	59,970
2017-06-05	$60.14	$60.00	20.6%	6.0%	18.1%	30.4%	21.2%	2.0%	0.3%	2.8M	81.6M	-1.1M	0.40	5.93	N/A	N/A	8,485	3,391	66,321	53,899
2017-06-06	$61.55	$60.00	21.0%	6.4%	19.9%	33.2%	22.2%	2.4%	0.3%	7.1M	23.8M	-1.2M	0.21	6.64	N/A	N/A	33,402	6,869	69,763	55,448
2017-06-07	$60.18	$60.00	22.5%	6.6%	21.2%	43.5%	22.8%	1.7%	0.3%	7.3M	20.5M	-1.4M	0.91	5.54	N/A	N/A	10,687	9,758	86,920	58,625
2017-06-08	$58.37	$60.00	23.7%	7.0%	21.8%	52.1%	24.0%	2.1%	0.0%	1.4M	98.2M	-1.3M	0.92	5.31	N/A	N/A	10,067	9,289	90,515	61,807
2017-06-09	$61.00	$60.00	22.6%	6.9%	27.3%	44.7%	23.2%	2.3%	0.4%	-4.6M	-35.3M	-1.6M	1.86	10.27	N/A	N/A	7,485	13,947	94,650	65,266
2017-06-12	$60.79	$60.00	22.5%	6.6%	27.3%	43.8%	22.5%	2.4%	0.8%	11.2M	-24.1M	-1.5M	1.47	6.06	N/A	N/A	4,415	6,488	93,085	60,572
2017-06-13	$60.87	$60.00	21.4%	6.3%	27.2%	36.2%	21.4%	2.3%	0.6%	11.8M	-24.4M	-1.5M	1.71	5.60	N/A	N/A	3,650	6,241	93,438	63,142
2017-06-14	$60.03	$60.00	21.5%	6.3%	27.4%	37.1%	21.4%	2.3%	0.3%	8.0M	20.3M	-1.5M	1.75	5.68	N/A	N/A	3,338	5,858	93,870	63,257
2017-06-15	$59.13	$60.00	21.7%	6.2%	27.8%	38.5%	21.2%	2.4%	-0.2%	4.2M	64.9M	-1.4M	1.05	4.92	N/A	N/A	3,788	3,968	93,954	63,641
2017-06-16	$61.77	$60.00	20.6%	6.0%	32.0%	30.7%	20.8%	2.2%	0.2%	20.0M	-76.5M	-1.5M	0.69	12.10	N/A	N/A	6,899	4,793	94,713	63,331
2017-06-19	$61.94	$60.00	20.6%	5.9%	32.0%	31.0%	20.4%	2.1%	0.3%	15.4M	-72.6M	-1.5M	0.59	5.45	N/A	N/A	10,859	6,446	89,674	56,954
2017-06-20	$60.74	$60.00	23.6%	6.8%	32.8%	51.3%	23.5%	2.5%	-0.2%	10.5M	-16.9M	-1.6M	0.93	5.92	N/A	N/A	7,922	7,366	92,128	59,611
2017-06-21	$59.93	$60.00	23.8%	6.8%	32.7%	52.4%	23.4%	2.6%	0.2%	7.2M	24.3M	-1.5M	1.06	5.04	N/A	N/A	5,918	6,256	92,704	62,008
2017-06-22	$60.25	$60.00	23.2%	6.6%	32.7%	48.8%	22.8%	2.5%	0.3%	8.3M	13.4M	-1.5M	0.93	6.20	N/A	N/A	7,485	6,940	93,259	63,057
2017-06-23	$60.02	$60.00	22.7%	6.5%	32.7%	45.2%	22.3%	2.1%	0.4%	8.5M	29.4M	-1.5M	0.61	4.92	N/A	N/A	8,340	5,117	96,070	65,856
2017-06-26	$60.12	$60.00	22.1%	6.2%	32.6%	40.8%	21.8%	2.3%	1.2%	7.6M	27.5M	-1.5M	0.67	4.70	N/A	N/A	7,421	4,958	91,325	64,362
2017-06-27	$59.63	$60.00	22.1%	6.3%	32.7%	40.9%	21.8%	2.4%	1.4%	5.4M	58.0M	-1.5M	1.24	4.34	N/A	N/A	4,421	5,472	89,008	65,024
2017-06-28	$59.49	$60.00	22.0%	6.2%	31.4%	47.6%	21.3%	1.9%	1.4%	5.0M	61.2M	-1.4M	1.24	4.63	N/A	N/A	3,684	4,585	90,174	65,376
2017-06-29	$59.84	$60.00	22.1%	6.1%	30.6%	48.1%	21.2%	2.3%	1.0%	6.2M	48.6M	-1.4M	0.94	6.67	N/A	N/A	5,264	4,941	91,085	65,631
2017-06-30	$60.06	$60.00	21.5%	5.9%	30.6%	43.6%	20.3%	2.4%	1.9%	6.6M	41.6M	-1.4M	1.13	6.53	N/A	N/A	5,194	5,883	92,747	65,920