OXY Options History — August 2017

In August 2017, OXY traded between $58.85 and $61.96. ATM implied volatility averaged 20.5%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.1% (HV 20d: 15.5%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.06.

Notable Days

2017-08-02: Highest Volume — 17,439 contracts
2017-08-03: Largest IV drop — 11.7% change
2017-08-10: Highest IV Rank — 57.2%
2017-08-02: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.27	$58.85	$61.96	$61.43	$59.68
Max Pain	$61.20	$60.00	$62.50	$60.00	$60.00
ATM IV	20.5%	17.9%	23.2%	21.3%	17.9%
Expected Move	6.0%	5.3%	7.0%	6.3%	5.3%
HV 20d	15.5%	11.6%	19.2%	19.2%	11.6%
HV 60d	22.6%	21.0%	23.3%	23.2%	21.0%
IV Rank	35.7%	13.9%	57.2%	41.5%	13.9%
IV Percentile	38.2%	4.0%	75.8%	49.6%	4.0%
Term Structure	0.0%	-1.5%	1.8%	0.6%	-0.4%
VWIV	20.8%	19.0%	24.3%	22.0%	19.4%
Skew 25d	3.3%	2.0%	4.5%	2.3%	3.3%
Skew 10d	5.9%	3.7%	8.2%	3.7%	5.7%
Call IV 25d	18.9%	16.5%	22.3%	20.2%	16.5%
Put IV 25d	22.2%	19.8%	24.9%	22.5%	19.8%
Bid-Ask Spread %	7.18	3.71	17.59	6.48	13.57
Gamma HHI	0.19	0.10	0.36	0.24	0.11
Net GEX	2.9M	-3.9M	14.4M	7.5M	-2.8M
Net DEX	78.3M	-24.5M	163.3M	14.2M	109.8M
Net VEX	-1.2M	-1.3M	-1.1M	-1.3M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.63	1.92	1.92	1.49
Total Volume	9,306.652	6,166	17,439	9,349	7,014
Total OI	143,643.217	115,883	162,723	148,262	126,094

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
2017-08-01	$61.43	$60.00	21.3%	6.3%	19.2%	41.5%	22.0%	2.3%	0.6%	7.5M	14.2M	-1.3M	1.92	6.48	N/A	N/A	3,199	6,150	77,796	70,466
2017-08-02	$60.95	$60.00	23.0%	7.0%	17.1%	55.8%	24.3%	2.4%	1.2%	5.8M	36.8M	-1.3M	1.19	17.59	N/A	N/A	7,978	9,461	78,757	71,659
2017-08-03	$61.48	$62.50	20.3%	6.1%	15.8%	33.9%	21.0%	3.3%	1.6%	9.1M	10.1M	-1.3M	0.63	9.47	N/A	N/A	8,236	5,188	81,745	76,290
2017-08-04	$61.96	$62.50	20.3%	5.9%	15.9%	33.5%	21.0%	2.0%	1.8%	14.4M	-24.5M	-1.3M	0.74	5.19	N/A	N/A	6,751	4,979	84,636	78,087
2017-08-07	$61.80	$62.50	21.1%	6.0%	16.0%	40.4%	20.8%	2.3%	-0.9%	11.1M	-2.4M	-1.3M	0.87	6.02	N/A	N/A	3,821	3,329	80,805	72,567
2017-08-08	$61.42	$62.50	21.6%	6.0%	16.3%	44.7%	22.0%	2.5%	-1.2%	10.0M	18.2M	-1.3M	1.04	6.40	N/A	N/A	3,742	3,904	81,938	72,992
2017-08-09	$61.67	$62.50	22.4%	6.2%	16.3%	50.6%	22.3%	2.5%	-1.0%	11.3M	7.1M	-1.3M	0.97	7.47	N/A	N/A	3,558	3,444	82,501	73,847
2017-08-10	$61.23	$62.50	23.2%	6.6%	16.6%	57.2%	22.1%	2.3%	-0.1%	9.5M	29.7M	-1.3M	1.37	4.81	N/A	N/A	2,603	3,563	83,365	74,339
2017-08-11	$61.21	$62.50	22.7%	6.5%	16.5%	53.6%	21.5%	2.8%	0.3%	9.4M	41.9M	-1.3M	1.08	5.32	N/A	N/A	4,464	4,802	83,438	74,601
2017-08-14	$61.30	$62.50	20.4%	5.8%	16.4%	34.4%	20.9%	4.2%	0.5%	10.2M	41.1M	-1.2M	1.18	4.24	N/A	N/A	3,700	4,383	83,055	75,263
2017-08-15	$60.72	$62.50	22.0%	6.3%	16.8%	47.3%	20.9%	4.0%	-1.5%	4.8M	77.3M	-1.3M	0.79	3.71	N/A	N/A	5,663	4,446	83,633	75,357
2017-08-16	$59.62	$62.50	21.0%	6.0%	17.8%	39.6%	21.0%	3.6%	-0.1%	-1.5M	135.6M	-1.2M	0.76	5.96	N/A	N/A	7,249	5,484	84,147	75,702
2017-08-17	$58.95	$62.50	22.0%	6.3%	18.1%	47.9%	19.0%	4.5%	0.4%	-3.9M	163.3M	-1.2M	0.77	4.33	N/A	N/A	5,976	4,628	85,367	76,738
2017-08-18	$59.31	$60.00	20.8%	6.0%	18.1%	38.0%	21.2%	3.7%	-0.2%	-3.8M	155.3M	-1.2M	1.02	6.04	N/A	N/A	4,501	4,613	86,022	76,395
2017-08-21	$58.85	$60.00	19.9%	5.8%	17.9%	30.8%	20.5%	3.6%	0.1%	-3.7M	132.4M	-1.1M	0.68	5.91	N/A	N/A	5,361	3,641	50,866	65,017
2017-08-22	$59.22	$60.00	19.6%	5.7%	14.0%	28.0%	20.0%	3.9%	-0.2%	-2.8M	122.6M	-1.2M	0.97	4.14	N/A	N/A	4,061	3,942	52,186	65,907
2017-08-23	$59.67	$60.00	19.2%	5.6%	14.0%	24.6%	19.6%	3.5%	-0.1%	-1.4M	107.5M	-1.2M	0.75	4.46	N/A	N/A	6,016	4,538	53,759	66,672
2017-08-24	$59.25	$60.00	19.2%	5.6%	14.0%	24.8%	19.1%	3.5%	-0.2%	-2.2M	119.0M	-1.2M	0.90	4.50	N/A	N/A	5,304	4,749	56,373	67,750
2017-08-25	$59.22	$60.00	18.8%	5.4%	12.5%	21.4%	19.6%	4.0%	-0.2%	-2.9M	123.2M	-1.2M	1.26	8.92	N/A	N/A	3,565	4,489	57,408	68,364
2017-08-28	$59.08	$60.00	18.7%	5.5%	12.0%	20.4%	20.1%	3.6%	0.2%	-3.6M	126.7M	-1.2M	1.66	8.17	N/A	N/A	2,424	4,013	54,986	67,789
2017-08-29	$59.10	$60.00	18.8%	5.6%	11.7%	21.4%	19.8%	4.2%	-0.0%	-3.7M	128.4M	-1.2M	0.86	11.67	N/A	N/A	4,669	4,032	55,439	68,351
2017-08-30	$59.16	$60.00	18.3%	5.4%	11.6%	17.7%	19.2%	3.2%	-0.1%	-3.7M	128.2M	-1.1M	1.48	10.87	N/A	N/A	2,589	3,831	56,433	68,892
2017-08-31	$59.68	$60.00	17.9%	5.3%	11.6%	13.9%	19.4%	3.3%	-0.4%	-2.8M	109.8M	-1.2M	1.49	13.57	N/A	N/A	2,820	4,194	56,840	69,254