OXY Options History — November 2017 In November 2017, OXY traded between $65.57 and $70.52. ATM implied volatility averaged 18.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.4% (HV 20d: 16.9%). Max pain ranged from $62.50 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.78.
Notable Days 2017-11-08 : Highest Volume — 25,643 contracts2017-11-06 : Largest IV spike — 12.3% change2017-11-09 : Highest IV Rank — 40.6%2017-11-01 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $68.14 $65.57 $70.52 $65.57 $70.52 Max Pain $66.31 $62.50 $67.50 $62.50 $67.50 ATM IV 18.3% 16.3% 20.8% 19.5% 16.4% Expected Move 5.4% 5.0% 6.0% 6.0% 5.2% HV 20d 16.9% 10.8% 18.8% 10.8% 17.8% HV 60d 15.0% 13.6% 15.3% 13.6% 15.1% IV Rank 20.8% 4.7% 40.6% 29.6% 7.0% IV Percentile 19.0% 2.4% 51.6% 30.2% 3.2% Term Structure -0.1% -1.9% 2.3% 1.6% -0.3% VWIV 18.6% 17.0% 20.9% 20.9% 18.8% Skew 25d 2.3% 1.4% 3.4% 2.3% 2.2% Skew 10d 3.9% 2.2% 5.2% 4.1% 3.7% Call IV 25d 17.0% 14.9% 19.5% 18.8% 15.4% Put IV 25d 19.3% 16.8% 21.7% 21.1% 17.6% Bid-Ask Spread % 6.70 2.77 17.91 7.37 14.44 Gamma HHI 0.28 0.21 0.52 0.21 0.34 Net GEX 19.2M 10.5M 37.4M 17.0M 15.8M Net DEX -219.7M -325.5M -122.7M -159.0M -242.9M Net VEX -1.3M -1.4M -1.2M -1.4M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.27 1.31 0.33 0.33 Total Volume 11,377.571 5,925 25,643 15,718 14,029 Total OI 164,095.476 140,316 184,343 170,607 147,172
Daily Data (21 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 2017-11-01 $65.57 $62.50 19.5% 6.0% 10.8% 29.6% 20.9% 2.3% 1.6% 17.0M -159.0M -1.4M 0.33 7.37 N/A N/A 11,816 3,902 93,643 76,964 2017-11-02 $67.82 $62.50 17.5% 5.3% 15.8% 13.8% 18.9% 2.1% 2.3% 22.4M -294.3M -1.3M 0.42 4.00 N/A N/A 8,620 3,604 94,097 77,606 2017-11-03 $68.22 $62.50 16.8% 5.1% 15.4% 7.6% 17.2% 1.4% 2.3% 22.5M -325.5M -1.2M 0.27 3.94 N/A N/A 16,299 4,369 94,322 77,812 2017-11-06 $68.81 $65.00 18.8% 5.2% 15.5% 24.4% 18.4% 1.7% -1.9% 20.5M -308.9M -1.2M 0.69 2.83 N/A N/A 6,501 4,493 89,375 77,930 2017-11-07 $68.71 $65.00 19.4% 5.5% 15.5% 29.8% 19.7% 1.9% -0.3% 20.3M -299.9M -1.3M 1.10 2.77 N/A N/A 4,381 4,826 89,706 79,257 2017-11-08 $68.16 $65.00 20.6% 5.9% 16.0% 39.8% 19.5% 1.8% 0.2% 20.4M -265.4M -1.3M 0.50 6.50 N/A N/A 17,063 8,580 89,982 80,535 2017-11-09 $68.68 $65.00 20.8% 5.9% 15.9% 40.6% 19.4% 1.8% 0.1% 23.9M -311.1M -1.4M 1.04 7.32 N/A N/A 7,664 7,995 97,704 86,184 2017-11-10 $68.06 $67.50 20.4% 5.7% 16.4% 37.8% 19.0% 2.0% -0.8% 25.1M -274.3M -1.4M 1.31 5.77 N/A N/A 5,875 7,716 98,295 81,517 2017-11-13 $67.97 $67.50 19.8% 5.7% 16.4% 32.7% 18.5% 2.6% -1.6% 27.3M -262.7M -1.3M 1.08 7.41 N/A N/A 3,503 3,795 96,986 81,373 2017-11-14 $67.29 $67.50 19.5% 5.6% 16.9% 30.3% 18.9% 2.9% -1.0% 29.6M -207.2M -1.3M 0.86 5.82 N/A N/A 3,804 3,285 97,018 82,575 2017-11-15 $66.51 $67.50 19.8% 5.7% 17.6% 32.5% 19.5% 3.4% 0.6% 21.1M -147.2M -1.4M 0.99 3.70 N/A N/A 4,746 4,690 96,992 83,116 2017-11-16 $67.19 $67.50 17.6% 5.1% 17.9% 16.3% 17.5% 2.6% 0.1% 37.4M -184.0M -1.4M 0.72 4.10 N/A N/A 7,682 5,527 97,744 84,585 2017-11-17 $68.36 $67.50 17.9% 5.3% 18.6% 19.1% 17.2% 2.2% -1.8% 14.1M -297.9M -1.3M 0.73 6.70 N/A N/A 7,380 5,404 98,678 85,665 2017-11-20 $67.81 $67.50 18.1% 5.4% 18.8% 20.5% 18.9% 2.5% -0.3% 11.1M -123.7M -1.3M 0.92 4.92 N/A N/A 3,376 3,100 74,986 68,290 2017-11-21 $67.86 $67.50 17.6% 5.2% 18.5% 15.9% 17.0% 3.3% -0.7% 10.5M -122.7M -1.2M 0.73 6.89 N/A N/A 4,250 3,121 75,397 69,024 2017-11-22 $68.26 $67.50 17.3% 5.1% 18.3% 13.9% 17.8% 2.2% -0.5% 11.4M -138.9M -1.3M 0.94 5.23 N/A N/A 3,062 2,863 76,801 69,481 2017-11-24 $68.42 $67.50 16.4% 5.0% 17.7% 5.8% 17.5% 3.0% -0.2% 15.4M -149.5M -1.2M 0.82 12.39 N/A N/A 3,458 2,852 77,372 69,587 2017-11-27 $68.07 $67.50 16.3% 5.2% 17.9% 4.7% 18.6% 2.5% 0.1% 11.3M -132.6M -1.2M 1.23 5.54 N/A N/A 3,841 4,723 71,387 68,929 2017-11-28 $68.86 $67.50 16.4% 5.2% 18.1% 5.2% 17.9% 2.6% 0.1% 12.4M -159.7M -1.3M 0.72 5.21 N/A N/A 3,888 2,816 72,168 71,181 2017-11-29 $69.86 $67.50 16.9% 5.6% 18.2% 9.6% 19.6% 1.9% -0.0% 13.9M -207.4M -1.2M 0.67 17.91 N/A N/A 6,002 4,028 72,894 71,675 2017-11-30 $70.52 $67.50 16.4% 5.2% 17.8% 7.0% 18.8% 2.2% -0.3% 15.8M -242.9M -1.2M 0.33 14.44 N/A N/A 10,554 3,475 74,389 72,783
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