OXY Options History — December 2017

In December 2017, OXY traded between $68.82 and $73.75. ATM implied volatility averaged 14.6%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.9% (HV 20d: 12.7%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2017-12-07: Highest Volume — 71,989 contracts
  • 2017-12-05: Largest IV drop — 11.0% change
  • 2017-12-04: Highest IV Rank — 19.7%
  • 2017-12-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.09$68.82$73.75$70.19$73.71
Max Pain$67.00$65.00$67.50$67.50$67.50
ATM IV14.6%13.3%17.6%16.4%14.1%
Expected Move4.2%3.8%5.2%5.2%3.9%
HV 20d12.7%10.5%14.4%14.0%10.5%
HV 60d14.0%13.3%15.2%15.2%13.3%
IV Rank4.3%0.0%19.7%6.3%6.9%
IV Percentile1.8%0.0%9.9%2.8%2.4%
Term Structure0.4%-0.4%0.9%0.9%0.6%
VWIV16.0%13.6%23.2%18.7%13.8%
Skew 25d1.7%1.1%2.6%2.6%1.5%
Skew 10d3.3%2.4%4.4%4.4%3.3%
Call IV 25d13.9%12.7%16.3%15.1%13.5%
Put IV 25d15.7%14.4%18.8%17.7%15.0%
Bid-Ask Spread %11.203.3919.579.9713.97
Gamma HHI0.260.180.380.320.21
Net GEX15.5M11.6M23.3M18.1M11.9M
Net DEX-209.3M-287.2M-102.3M-229.1M-283.4M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.061.340.671.00
Total Volume12,960.856,07871,9898,6796,612
Total OI147,431.05136,742154,381152,361150,305

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$70.19$67.5016.4%5.2%14.0%6.3%18.7%2.6%0.9%18.1M-229.1M-1.3M0.679.97N/AN/A5,1823,49779,09373,268
2017-12-04$70.08$65.0017.6%4.8%14.0%19.7%18.1%2.5%-0.1%16.6M-216.2M-1.2M0.767.76N/AN/A4,6583,56278,02272,062
2017-12-05$69.96$65.0015.7%4.6%13.7%0.0%17.3%2.0%0.9%17.3M-207.5M-1.3M1.348.70N/AN/A3,1934,28579,04972,668
2017-12-06$69.19$65.0015.7%4.6%14.4%0.8%17.5%2.2%0.9%14.1M-161.3M-1.3M0.767.50N/AN/A4,7603,62079,16774,377
2017-12-07$69.40$65.0014.2%4.3%14.0%0.0%23.2%1.8%0.6%16.0M-168.3M-1.2M0.069.98N/AN/A67,9884,00179,43274,949
2017-12-08$68.82$67.5014.3%4.2%14.2%0.6%17.6%1.6%0.5%11.7M-102.3M-1.3M0.265.49N/AN/A17,6364,52569,11775,206
2017-12-11$69.48$67.5014.3%4.2%14.1%0.9%16.0%2.3%0.1%18.5M-137.1M-1.2M0.563.39N/AN/A6,4393,60169,24275,490
2017-12-12$70.01$67.5014.6%4.3%14.3%3.9%15.6%1.7%0.1%22.0M-169.3M-1.2M0.524.77N/AN/A7,6643,98169,70676,104
2017-12-13$69.96$67.5014.4%4.1%13.6%1.3%16.9%1.9%0.0%23.3M-160.8M-1.2M0.9112.22N/AN/A4,0803,72769,10277,080
2017-12-14$70.51$67.5013.8%4.0%12.8%0.0%15.1%1.6%0.2%23.2M-201.6M-1.1M0.7713.18N/AN/A5,2014,02369,13977,728
2017-12-15$70.48$67.5014.0%4.0%12.5%1.5%13.7%1.6%-0.4%17.5M-211.0M-1.1M0.7319.57N/AN/A6,6494,87069,13778,749
2017-12-18$71.02$67.5013.6%3.9%11.4%0.0%15.3%1.7%0.5%12.3M-184.4M-1.1M0.7214.38N/AN/A6,8854,97762,13274,610
2017-12-19$70.88$67.5013.8%4.0%10.9%1.1%14.3%1.5%0.6%12.1M-178.0M-1.2M0.6412.46N/AN/A4,7363,01864,33477,301
2017-12-20$71.92$67.5013.3%3.8%11.8%0.0%13.8%1.6%0.6%12.9M-227.7M-1.1M0.4418.22N/AN/A6,6602,92765,52177,678
2017-12-21$72.58$67.5014.4%4.1%11.9%9.5%14.7%1.3%0.5%12.0M-253.6M-1.1M0.498.01N/AN/A9,4944,63665,94578,347
2017-12-22$72.98$67.5013.9%3.9%11.9%5.6%14.4%1.1%0.5%11.6M-262.1M-1.2M0.5614.23N/AN/A7,2894,06467,87880,409
2017-12-26$73.55$67.5014.5%4.1%11.6%10.2%15.1%1.4%0.5%12.4M-275.4M-1.1M1.0213.66N/AN/A4,0044,08766,92480,185
2017-12-27$73.36$67.5014.6%4.1%11.5%11.4%15.7%1.3%0.2%13.2M-269.5M-1.1M1.0712.42N/AN/A3,1903,41868,00981,282
2017-12-28$73.75$67.5014.1%4.0%10.7%7.1%13.6%1.5%0.6%13.2M-287.2M-1.1M1.1414.07N/AN/A2,8343,24468,30181,573
2017-12-29$73.71$67.5014.1%3.9%10.5%6.9%13.8%1.5%0.6%11.9M-283.4M-1.0M1.0013.97N/AN/A3,3113,30167,89382,412