OXY Options History — July 2017

In July 2017, OXY traded between $58.71 and $62.80. ATM implied volatility averaged 22.2%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.5% (HV 20d: 21.7%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-07-25: Highest Volume — 13,244 contracts
  • 2017-07-05: Largest IV spike — 8.0% change
  • 2017-07-06: Highest IV Rank — 67.9%
  • 2017-07-06: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.27$58.71$62.80$61.26$62.01
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV22.2%20.8%24.5%22.1%21.2%
Expected Move6.3%5.7%7.0%5.7%6.4%
HV 20d21.7%15.0%31.4%31.3%20.1%
HV 60d25.5%24.7%26.0%25.4%24.7%
IV Rank49.0%37.7%67.9%48.0%41.3%
IV Percentile63.1%41.7%91.7%64.7%49.2%
Term Structure-0.3%-1.3%1.3%-0.3%1.3%
VWIV22.1%20.2%23.7%20.2%22.6%
Skew 25d2.5%1.6%3.2%2.4%1.8%
Skew 10d5.3%3.4%7.4%5.8%3.4%
Call IV 25d21.2%19.7%23.4%21.9%20.6%
Put IV 25d23.7%21.8%26.4%24.4%22.3%
Bid-Ask Spread %6.933.2522.2312.519.92
Gamma HHI0.220.170.360.230.26
Net GEX8.8M2.4M20.2M11.4M10.1M
Net DEX34.3M-77.1M99.5M-10.2M-26.4M
Net VEX-1.3M-1.5M-1.2M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.522.930.692.93
Total Volume9,229.356,31613,24411,11612,405
Total OI153,589.65136,808162,640152,084143,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$61.26$60.0022.1%5.7%31.3%48.0%20.2%2.4%-0.3%11.4M-10.2M-1.5M0.6912.51N/AN/A6,5804,53688,22463,860
2017-07-05$59.76$60.0023.8%6.3%31.4%62.3%22.5%2.6%-0.3%7.6M48.4M-1.3M1.9411.07N/AN/A2,6915,20791,01963,863
2017-07-06$58.71$60.0024.5%7.0%31.0%67.9%23.6%3.0%-0.3%3.0M99.5M-1.3M0.947.36N/AN/A5,8105,45791,26065,428
2017-07-07$58.73$60.0024.5%7.0%29.0%67.6%23.7%3.2%-0.4%2.4M96.7M-1.3M0.674.47N/AN/A7,3024,89692,76865,514
2017-07-10$58.91$60.0023.3%6.5%24.0%58.0%22.6%2.8%-0.7%3.5M88.9M-1.3M0.664.87N/AN/A5,8453,84890,93264,823
2017-07-11$58.93$60.0023.2%6.5%24.0%57.6%23.2%2.8%-0.5%4.3M86.8M-1.3M0.963.25N/AN/A3,8943,73693,02865,236
2017-07-12$59.15$60.0023.2%6.5%24.1%57.2%23.1%2.8%-0.1%5.4M72.4M-1.2M1.153.39N/AN/A4,0834,70993,68165,691
2017-07-13$59.46$60.0022.5%6.5%23.7%51.9%23.0%2.3%0.1%7.2M64.0M-1.3M1.218.41N/AN/A3,9564,77793,91365,442
2017-07-14$59.87$60.0021.7%6.3%23.2%45.1%21.6%2.3%0.5%11.2M47.2M-1.3M1.503.28N/AN/A3,5505,33094,76065,930
2017-07-17$60.11$60.0022.0%6.3%16.8%47.5%21.8%2.7%-0.3%9.0M43.8M-1.3M0.954.20N/AN/A4,0773,88793,45165,101
2017-07-18$60.26$60.0021.8%6.2%16.8%45.8%21.4%3.1%-0.9%9.6M39.1M-1.3M1.333.30N/AN/A2,9133,87394,48665,576
2017-07-19$60.78$60.0021.9%6.3%15.7%46.9%22.9%3.0%-1.3%11.0M10.6M-1.3M1.2522.23N/AN/A3,4954,38495,11665,930
2017-07-20$60.56$60.0021.4%6.2%15.0%43.1%20.4%2.9%-0.2%11.2M21.9M-1.3M0.843.92N/AN/A4,6703,92196,19066,319
2017-07-21$60.04$60.0020.8%6.0%15.2%37.8%20.5%3.0%-0.5%20.2M52.8M-1.3M1.304.53N/AN/A3,5734,64996,09666,544
2017-07-24$59.37$60.0021.0%6.2%15.6%39.4%21.6%2.0%-0.4%3.1M81.2M-1.2M1.015.69N/AN/A3,9203,95273,57363,235
2017-07-25$61.19$60.0020.8%6.2%19.1%37.7%21.3%2.0%0.0%9.3M2.0M-1.2M0.525.39N/AN/A8,6954,54975,29264,028
2017-07-26$61.70$60.0021.3%6.3%18.9%42.3%21.9%2.1%-0.7%12.0M-28.7M-1.3M0.857.38N/AN/A4,7203,99379,29565,096
2017-07-27$61.90$60.0021.4%6.3%18.9%42.7%22.6%1.6%-0.4%11.6M-26.5M-1.4M1.286.73N/AN/A2,7743,54277,47465,828
2017-07-28$62.80$60.0021.0%6.2%19.4%39.5%22.0%1.6%-0.2%12.5M-77.1M-1.3M0.926.80N/AN/A5,4104,97878,01166,440
2017-07-31$62.01$60.0021.2%6.4%20.1%41.3%22.6%1.8%1.3%10.1M-26.4M-1.3M2.939.92N/AN/A3,1549,25177,32866,012