OXY Options History — October 2017

In October 2017, OXY traded between $63.87 and $65.80. ATM implied volatility averaged 19.3%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.7% (HV 20d: 12.6%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2017-10-10: Highest Volume — 22,039 contracts
2017-10-25: Largest IV spike — 4.3% change
2017-10-03: Highest IV Rank — 34.1%
2017-10-31: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.63	$63.87	$65.80	$64.06	$64.54
Max Pain	$62.27	$60.00	$62.50	$62.50	$62.50
ATM IV	19.3%	18.0%	20.1%	20.1%	19.7%
Expected Move	5.5%	4.5%	6.0%	5.0%	6.0%
HV 20d	12.6%	9.2%	17.5%	17.5%	9.5%
HV 60d	14.5%	13.3%	15.4%	15.3%	13.4%
IV Rank	27.9%	17.6%	34.1%	33.7%	30.8%
IV Percentile	24.4%	9.9%	36.1%	32.1%	33.3%
Term Structure	0.1%	-1.1%	1.6%	-0.1%	1.6%
VWIV	19.3%	16.2%	20.4%	17.8%	20.3%
Skew 25d	2.0%	1.8%	2.4%	2.3%	2.1%
Skew 10d	4.1%	3.4%	5.0%	4.2%	4.1%
Call IV 25d	18.6%	17.1%	19.7%	19.7%	18.8%
Put IV 25d	20.6%	19.2%	21.9%	21.9%	20.9%
Bid-Ask Spread %	3.93	2.24	7.48	3.74	4.37
Gamma HHI	0.18	0.14	0.23	0.15	0.20
Net GEX	12.2M	8.0M	16.2M	8.0M	13.6M
Net DEX	-132.5M	-196.4M	-92.1M	-102.7M	-92.1M
Net VEX	-1.5M	-1.6M	-1.4M	-1.5M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.18	1.30	0.81	0.33
Total Volume	10,963.273	5,927	22,039	12,496	13,732
Total OI	168,491.955	156,622	180,452	156,622	169,371

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
2017-10-02	$64.06	$62.50	20.1%	5.0%	17.5%	33.7%	17.8%	2.3%	-0.1%	8.0M	-102.7M	-1.5M	0.81	3.74	N/A	N/A	6,899	5,597	78,535	78,087
2017-10-03	$63.95	$62.50	20.1%	4.9%	16.9%	34.1%	17.7%	1.9%	0.2%	8.5M	-100.5M	-1.6M	1.22	4.29	N/A	N/A	3,741	4,550	82,361	79,047
2017-10-04	$64.39	$62.50	19.6%	4.5%	16.3%	30.1%	16.2%	2.0%	0.1%	9.8M	-126.1M	-1.6M	0.88	5.02	N/A	N/A	4,009	3,514	83,491	79,248
2017-10-05	$64.36	$60.00	19.7%	5.5%	16.4%	31.1%	19.4%	1.9%	0.1%	10.7M	-132.0M	-1.5M	0.97	7.48	N/A	N/A	3,690	3,576	84,503	79,595
2017-10-06	$63.87	$60.00	19.3%	5.5%	13.2%	28.1%	19.9%	1.8%	0.1%	11.3M	-100.0M	-1.6M	1.03	4.89	N/A	N/A	3,617	3,709	85,470	80,069
2017-10-09	$63.96	$62.50	19.6%	5.4%	13.2%	29.7%	19.5%	2.0%	-0.6%	9.0M	-99.4M	-1.6M	1.15	3.44	N/A	N/A	3,128	3,608	83,880	79,581
2017-10-10	$64.46	$62.50	19.4%	5.7%	13.3%	28.8%	19.5%	1.8%	0.6%	9.8M	-133.6M	-1.5M	0.18	4.02	N/A	N/A	18,739	3,300	84,439	79,799
2017-10-11	$64.41	$62.50	19.8%	5.7%	12.8%	31.4%	19.9%	1.9%	0.2%	12.0M	-135.2M	-1.6M	0.59	3.09	N/A	N/A	5,346	3,157	94,311	80,235
2017-10-12	$64.20	$62.50	19.7%	5.7%	12.9%	30.9%	19.8%	1.9%	0.1%	11.8M	-123.3M	-1.6M	0.51	2.30	N/A	N/A	6,173	3,123	95,060	80,466
2017-10-13	$64.72	$62.50	19.4%	5.5%	12.9%	28.2%	19.2%	2.0%	-0.2%	14.6M	-159.2M	-1.6M	0.53	3.24	N/A	N/A	7,250	3,817	96,409	80,589
2017-10-16	$64.78	$62.50	19.6%	5.6%	12.8%	30.0%	19.6%	2.0%	-1.1%	13.5M	-159.4M	-1.6M	1.17	3.08	N/A	N/A	2,921	3,424	93,150	80,151
2017-10-17	$64.66	$62.50	19.2%	5.5%	12.9%	26.6%	19.1%	2.0%	-0.5%	12.9M	-148.0M	-1.6M	1.05	3.31	N/A	N/A	3,142	3,291	93,292	80,678
2017-10-18	$64.60	$62.50	19.1%	5.5%	12.6%	26.5%	19.5%	2.2%	-0.5%	11.9M	-141.9M	-1.5M	1.30	2.98	N/A	N/A	2,576	3,351	93,451	80,790
2017-10-19	$64.83	$62.50	19.1%	5.5%	12.6%	25.9%	19.5%	2.1%	-0.8%	12.9M	-158.2M	-1.5M	0.32	2.24	N/A	N/A	9,222	2,988	93,666	81,182
2017-10-20	$65.34	$62.50	18.5%	5.4%	12.7%	21.7%	18.6%	2.1%	-1.0%	15.2M	-196.4M	-1.5M	0.38	2.72	N/A	N/A	10,141	3,856	99,124	81,328
2017-10-23	$65.08	$62.50	18.3%	5.4%	9.5%	20.2%	19.0%	2.1%	0.5%	14.8M	-140.5M	-1.5M	0.34	3.73	N/A	N/A	9,887	3,357	90,450	73,951
2017-10-24	$65.80	$62.50	18.0%	5.3%	10.2%	17.6%	19.6%	2.1%	0.3%	16.2M	-178.0M	-1.4M	0.29	3.94	N/A	N/A	11,688	3,349	89,938	74,657
2017-10-25	$65.35	$62.50	18.8%	5.6%	9.9%	23.8%	19.1%	2.4%	0.4%	14.7M	-145.7M	-1.4M	0.37	4.65	N/A	N/A	9,534	3,546	89,788	75,388
2017-10-26	$64.66	$62.50	19.0%	5.7%	10.6%	25.4%	19.9%	2.1%	0.3%	13.1M	-100.7M	-1.5M	0.33	4.17	N/A	N/A	8,778	2,866	90,587	76,008
2017-10-27	$64.99	$62.50	19.2%	5.7%	9.2%	26.7%	20.2%	2.2%	0.3%	9.9M	-128.8M	-1.4M	0.34	5.27	N/A	N/A	12,214	4,113	91,384	76,332
2017-10-30	$64.95	$62.50	19.9%	5.9%	9.2%	32.2%	20.4%	2.1%	1.6%	13.9M	-112.7M	-1.5M	0.24	4.44	N/A	N/A	10,218	2,455	91,238	75,744
2017-10-31	$64.54	$62.50	19.7%	6.0%	9.5%	30.8%	20.3%	2.1%	1.6%	13.6M	-92.1M	-1.5M	0.33	4.37	N/A	N/A	10,327	3,405	93,289	76,082