OXY Options History — September 2017

In September 2017, OXY traded between $59.76 and $65.15. ATM implied volatility averaged 17.2%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.1% (HV 20d: 15.1%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-09-07: Highest Volume — 29,553 contracts
  • 2017-09-25: Largest IV spike — 8.2% change
  • 2017-09-29: Highest IV Rank — 21.4%
  • 2017-09-08: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.25$59.76$65.15$59.76$64.17
Max Pain$60.60$60.00$62.50$60.00$62.50
ATM IV17.2%15.8%18.5%17.2%18.5%
Expected Move4.9%4.5%5.5%4.8%4.9%
HV 20d15.1%11.1%17.4%11.1%17.4%
HV 60d16.9%15.3%20.0%20.0%15.3%
IV Rank7.7%0.0%21.4%8.4%21.4%
IV Percentile3.4%0.0%13.5%2.4%13.5%
Term Structure0.6%-0.3%2.0%-0.3%2.0%
VWIV17.6%15.9%19.4%17.9%17.1%
Skew 25d2.4%1.8%3.4%2.9%2.2%
Skew 10d4.8%3.4%6.2%6.2%3.8%
Call IV 25d16.2%14.7%17.2%15.7%16.9%
Put IV 25d18.6%16.7%20.0%18.6%19.1%
Bid-Ask Spread %5.932.7711.449.625.89
Gamma HHI0.150.100.290.120.11
Net GEX5.1M-3.7M15.9M-2.9M7.9M
Net DEX-13.0M-163.7M126.4M108.7M-102.4M
Net VEX-1.3M-1.5M-1.1M-1.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.502.281.490.72
Total Volume13,585.757,06629,5537,06613,056
Total OI138,215.05125,171157,074127,477155,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$59.76$60.0017.2%4.8%11.1%8.4%17.9%2.9%-0.3%-2.9M108.7M-1.2M1.499.62N/AN/A2,8344,23257,57069,907
2017-09-05$60.71$60.0017.8%5.3%12.7%13.6%18.4%3.4%0.0%-1.4M74.9M-1.2M0.919.24N/AN/A5,1734,72156,34568,826
2017-09-06$61.65$60.0017.3%5.1%13.8%7.0%18.5%2.9%0.3%377.2K38.5M-1.1M0.759.07N/AN/A5,7984,32057,01469,900
2017-09-07$61.83$60.0017.0%5.1%13.8%2.5%18.8%3.1%0.2%607.2K29.8M-1.2M0.7411.44N/AN/A16,98112,57257,97570,619
2017-09-08$60.24$60.0018.4%5.5%16.5%13.7%19.4%2.7%0.1%-3.6M126.4M-1.2M0.886.85N/AN/A14,82213,11163,71678,952
2017-09-11$60.43$60.0018.0%5.3%16.5%10.0%17.4%2.6%0.7%-3.7M67.3M-1.2M0.895.07N/AN/A5,4884,89456,80771,349
2017-09-12$60.74$60.0017.8%5.3%16.6%8.7%18.1%2.6%0.6%-1.9M52.4M-1.2M1.292.77N/AN/A3,7994,88258,43371,755
2017-09-13$61.52$60.0016.8%4.8%16.9%0.0%17.5%2.1%-0.3%2.6M22.1M-1.3M2.285.70N/AN/A2,7136,19559,35672,231
2017-09-14$61.56$60.0016.6%4.8%15.4%0.0%16.7%2.4%0.2%4.0M17.8M-1.3M0.504.41N/AN/A10,1025,07860,16373,936
2017-09-15$61.32$60.0016.2%4.7%14.7%0.0%17.0%2.2%0.2%6.4M18.2M-1.3M1.323.12N/AN/A4,3525,74767,02074,754
2017-09-18$61.77$60.0016.3%4.7%14.8%0.9%16.3%2.3%0.4%9.7M-2.6M-1.3M0.926.89N/AN/A5,1674,76965,65668,169
2017-09-19$61.82$60.0016.1%4.6%14.3%0.0%16.3%2.3%0.3%11.7M-8.4M-1.2M1.344.49N/AN/A4,6896,26167,19969,300
2017-09-20$62.44$60.0016.2%4.6%14.5%1.2%16.3%2.2%0.0%15.9M-45.5M-1.3M1.154.74N/AN/A5,5166,35669,18071,609
2017-09-21$62.72$60.0015.8%4.5%14.4%0.0%15.9%2.1%0.3%13.8M-51.1M-1.3M1.834.90N/AN/A3,4316,26367,79072,156
2017-09-22$62.98$60.0016.0%4.6%14.0%2.0%16.0%2.2%-0.1%9.4M-67.2M-1.3M1.694.71N/AN/A6,60911,13868,66872,756
2017-09-25$64.57$62.0017.3%5.1%15.9%12.3%18.0%2.4%1.8%7.5M-115.7M-1.3M1.034.78N/AN/A6,5356,73967,65876,480
2017-09-26$64.47$62.5018.0%5.2%15.9%17.1%18.7%1.9%1.7%7.1M-113.1M-1.4M0.565.96N/AN/A11,8546,69569,52476,848
2017-09-27$65.15$62.5017.8%5.0%15.9%16.1%17.6%1.8%1.9%8.5M-146.5M-1.5M0.815.23N/AN/A8,1876,62174,26177,675
2017-09-28$65.14$62.5018.2%5.0%16.0%19.2%19.0%2.1%2.0%9.6M-163.7M-1.5M0.693.71N/AN/A8,2745,74178,22978,845
2017-09-29$64.17$62.5018.5%4.9%17.4%21.4%17.1%2.2%2.0%7.9M-102.4M-1.5M0.725.89N/AN/A7,5835,47376,44279,228