OXY Options History — January 2018

In January 2018, OXY traded between $73.94 and $77.63. ATM implied volatility averaged 17.3%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.7% (HV 20d: 13.6%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-01-12: Highest Volume — 37,596 contracts
  • 2018-01-16: Largest IV spike — 13.1% change
  • 2018-01-30: Highest IV Rank — 70.3%
  • 2018-01-30: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.70$73.94$77.63$73.94$75.13
Max Pain$71.88$67.50$75.00$67.50$75.00
ATM IV17.3%14.2%21.5%14.4%21.2%
Expected Move5.3%3.9%7.0%3.9%6.8%
HV 20d13.6%9.4%18.6%10.1%18.6%
HV 60d14.5%13.3%15.9%13.3%14.5%
IV Rank34.9%8.1%70.3%10.1%68.3%
IV Percentile28.1%3.2%79.0%5.2%75.0%
Term Structure0.5%-1.3%2.8%0.3%0.7%
VWIV18.7%14.0%24.3%14.0%23.6%
Skew 25d1.5%1.0%2.1%1.7%1.7%
Skew 10d3.1%2.0%4.1%3.4%3.3%
Call IV 25d16.8%13.4%21.1%14.0%20.6%
Put IV 25d18.3%15.1%22.8%15.7%22.3%
Bid-Ask Spread %10.255.8216.0911.6211.26
Gamma HHI0.200.140.290.190.18
Net GEX19.8M10.5M26.7M11.3M21.4M
Net DEX-327.0M-403.5M-199.2M-269.9M-200.9M
Net VEX-1.4M-1.7M-1.0M-1.1M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.161.260.401.01
Total Volume13,419.6678,39037,5969,7338,390
Total OI166,282.619138,836198,394147,990168,076

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$73.94$67.5014.4%3.9%10.1%10.1%14.0%1.7%0.3%11.3M-269.9M-1.1M0.4011.62N/AN/A6,9482,78566,09181,899
2018-01-03$74.96$67.5015.2%4.1%10.7%16.3%15.2%1.5%0.2%10.6M-299.0M-1.1M0.4111.12N/AN/A10,7554,36066,44182,402
2018-01-04$74.96$70.0014.3%4.7%10.7%8.6%16.6%1.4%0.0%10.5M-300.6M-1.0M1.2616.09N/AN/A4,8946,19166,55583,955
2018-01-05$74.57$70.0014.2%4.7%9.8%8.1%16.5%1.7%0.4%12.9M-279.9M-1.2M0.3712.58N/AN/A15,4925,78268,09286,676
2018-01-08$75.19$70.0014.4%4.8%9.9%9.8%16.7%1.6%2.0%16.0M-347.2M-1.2M0.7110.36N/AN/A5,4383,85377,66688,181
2018-01-09$74.82$70.0014.4%4.8%9.4%10.0%16.9%1.2%2.3%17.1M-334.2M-1.2M0.8912.43N/AN/A5,7915,16579,16888,719
2018-01-10$74.18$70.0014.4%4.8%10.2%9.8%17.2%1.4%2.4%17.3M-299.0M-1.3M0.806.11N/AN/A7,7056,16480,71790,524
2018-01-11$75.80$72.5015.1%5.0%12.0%15.8%17.3%1.1%2.8%14.8M-363.7M-1.3M0.686.29N/AN/A8,2515,62679,95392,322
2018-01-12$76.52$72.5016.4%5.2%12.0%27.2%18.0%1.5%2.5%14.7M-403.5M-1.3M0.1612.33N/AN/A32,4885,10882,62493,666
2018-01-16$75.38$72.5018.6%5.4%13.8%45.7%18.5%1.3%-1.0%25.3M-369.9M-1.5M0.697.19N/AN/A7,8125,391100,35193,988
2018-01-17$75.80$72.5019.0%5.4%13.7%49.1%18.6%1.2%-1.0%23.6M-402.1M-1.4M0.7810.29N/AN/A4,8843,797101,14296,047
2018-01-18$75.41$72.5018.8%5.4%14.0%47.2%18.8%1.6%-1.3%24.9M-379.0M-1.4M0.985.82N/AN/A4,6034,503101,76096,634
2018-01-19$75.48$72.5017.9%5.2%13.9%39.5%19.7%1.6%-1.3%24.3M-365.1M-1.4M1.218.64N/AN/A6,5767,98499,78397,781
2018-01-22$77.63$72.5018.4%5.5%16.0%44.2%19.4%1.8%-0.5%22.8M-355.6M-1.3M0.5713.62N/AN/A9,4315,33279,17459,662
2018-01-23$77.42$72.5017.9%5.3%16.1%39.5%18.7%1.4%-0.2%24.0M-360.0M-1.5M0.4112.77N/AN/A10,0154,07283,70362,624
2018-01-24$77.61$72.5018.9%5.7%16.0%47.8%19.9%1.3%-0.2%24.7M-373.8M-1.6M0.469.84N/AN/A11,1725,11287,62464,021
2018-01-25$76.74$74.0019.1%5.9%16.7%49.9%20.4%1.0%-0.1%26.7M-329.1M-1.7M0.789.86N/AN/A4,9483,84392,95066,727
2018-01-26$77.04$74.0019.5%5.9%16.6%53.3%20.7%1.1%-0.3%26.0M-347.6M-1.6M1.118.46N/AN/A4,0454,49293,44067,386
2018-01-29$76.32$74.0020.6%6.6%17.1%62.6%22.8%2.1%1.2%25.2M-287.9M-1.7M0.8010.29N/AN/A4,8613,91192,65467,855
2018-01-30$74.88$75.0021.5%7.0%18.6%70.3%24.3%1.7%1.0%22.3M-199.2M-1.6M1.198.29N/AN/A6,3197,52493,94268,960
2018-01-31$75.13$75.0021.2%6.8%18.6%68.3%23.6%1.7%0.7%21.4M-200.9M-1.7M1.0111.26N/AN/A4,1704,22095,37372,703