OXY Options History — March 2018

In March 2018, OXY traded between $62.85 and $67.27. ATM implied volatility averaged 21.6%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.7% (HV 20d: 20.9%). Max pain ranged from $64.50 to $70.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2018-03-28: Highest Volume — 24,209 contracts
2018-03-28: Largest IV spike — 21.4% change
2018-03-28: Highest IV Rank — 69.4%
2018-03-28: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.78	$62.85	$67.27	$65.65	$64.93
Max Pain	$65.81	$64.50	$70.00	$70.00	$64.50
ATM IV	21.6%	17.7%	28.8%	22.6%	24.4%
Expected Move	6.2%	5.1%	8.2%	6.9%	7.0%
HV 20d	20.9%	16.7%	30.2%	22.0%	30.2%
HV 60d	20.3%	18.5%	24.3%	18.5%	24.3%
IV Rank	37.0%	19.6%	69.4%	41.8%	49.9%
IV Percentile	67.7%	20.2%	98.8%	88.9%	95.6%
Term Structure	0.3%	-0.9%	2.9%	-0.7%	0.5%
VWIV	22.2%	17.8%	27.7%	24.6%	25.0%
Skew 25d	2.8%	2.0%	3.6%	3.3%	2.9%
Skew 10d	6.1%	4.2%	9.2%	6.8%	6.1%
Call IV 25d	20.6%	16.7%	27.9%	22.1%	23.4%
Put IV 25d	23.5%	19.1%	30.4%	25.4%	26.3%
Bid-Ask Spread %	12.09	7.46	20.83	10.49	9.61
Gamma HHI	0.07	0.06	0.09	0.07	0.07
Net GEX	696.2K	-1.6M	5.0M	-1.1M	4.4M
Net DEX	62.3M	-37.2M	123.9M	77.0M	5.2M
Net VEX	-1.3M	-1.4M	-1.2M	-1.4M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.34	1.74	0.44	0.38
Total Volume	9,912.429	5,729	24,209	10,681	9,449
Total OI	125,518.476	118,954	141,332	120,884	141,332

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
2018-03-01	$65.65	$70.00	22.6%	6.9%	22.0%	41.8%	24.6%	3.3%	-0.7%	-1.1M	77.0M	-1.4M	0.44	10.49	N/A	N/A	7,430	3,251	60,398	60,486
2018-03-02	$65.76	$70.00	21.6%	6.4%	21.2%	37.3%	22.5%	3.5%	-0.1%	-394.4K	73.6M	-1.3M	0.61	9.37	N/A	N/A	4,232	2,565	61,419	60,777
2018-03-05	$65.98	$67.50	20.8%	6.2%	19.0%	33.8%	21.4%	3.0%	0.1%	-260.0K	66.1M	-1.4M	0.85	12.48	N/A	N/A	3,092	2,637	60,001	60,004
2018-03-06	$65.62	$67.50	20.9%	6.1%	16.7%	34.1%	21.5%	2.9%	0.1%	-474.3K	73.9M	-1.4M	0.71	9.32	N/A	N/A	5,026	3,563	60,951	60,612
2018-03-07	$65.22	$67.50	21.6%	6.3%	16.7%	37.4%	22.3%	2.9%	0.2%	-529.2K	86.9M	-1.3M	0.79	12.01	N/A	N/A	3,914	3,073	63,514	61,830
2018-03-08	$62.85	$65.00	21.3%	6.2%	19.9%	35.6%	21.7%	2.9%	-0.1%	-1.6M	123.9M	-1.2M	0.83	13.05	N/A	N/A	5,860	4,869	63,918	62,494
2018-03-09	$63.67	$65.00	19.7%	5.8%	20.3%	28.7%	20.3%	2.1%	0.3%	-1.2M	115.6M	-1.2M	0.72	13.53	N/A	N/A	7,251	5,189	64,143	63,829
2018-03-12	$63.88	$65.00	19.8%	5.6%	20.4%	29.0%	21.6%	2.0%	-0.4%	-357.7K	94.4M	-1.3M	0.94	14.50	N/A	N/A	4,211	3,974	65,252	63,777
2018-03-13	$64.05	$65.00	20.0%	5.6%	18.0%	29.8%	19.9%	2.4%	-0.4%	-471.7K	93.7M	-1.3M	0.83	12.44	N/A	N/A	4,384	3,627	65,825	64,158
2018-03-14	$64.04	$65.00	19.3%	5.5%	18.0%	26.9%	19.6%	2.3%	-0.0%	-327.4K	92.3M	-1.3M	1.33	7.58	N/A	N/A	3,293	4,374	66,021	64,387
2018-03-15	$63.92	$65.00	19.3%	5.5%	17.9%	26.9%	19.5%	2.2%	0.1%	-458.8K	96.9M	-1.3M	1.74	12.76	N/A	N/A	4,916	8,538	65,767	64,449
2018-03-16	$64.44	$65.00	17.7%	5.1%	18.3%	19.6%	17.8%	2.4%	-0.1%	1.8M	81.2M	-1.3M	1.39	7.64	N/A	N/A	5,137	7,156	66,242	65,039
2018-03-19	$63.59	$65.00	20.6%	5.9%	18.1%	32.5%	20.6%	3.5%	2.6%	-372.4K	76.7M	-1.3M	1.43	13.98	N/A	N/A	3,124	4,478	59,432	59,545
2018-03-20	$63.89	$65.00	20.1%	5.8%	18.4%	30.2%	20.3%	2.7%	0.1%	55.5K	68.0M	-1.3M	1.38	7.46	N/A	N/A	3,442	4,748	59,837	59,117
2018-03-21	$66.05	$65.00	20.5%	5.9%	22.1%	32.4%	21.1%	2.7%	-0.9%	2.7M	3.6M	-1.3M	0.71	15.18	N/A	N/A	6,238	4,409	60,928	60,050
2018-03-22	$65.13	$65.00	22.0%	6.3%	22.2%	39.1%	22.9%	3.3%	-0.4%	2.0M	28.3M	-1.4M	0.92	11.38	N/A	N/A	3,876	3,563	63,075	60,226
2018-03-23	$65.53	$65.00	25.7%	7.1%	22.3%	55.4%	25.5%	3.2%	2.9%	2.7M	10.2M	-1.3M	0.72	20.83	N/A	N/A	6,738	4,849	63,468	60,651
2018-03-26	$67.27	$65.00	22.2%	6.4%	23.8%	39.7%	24.2%	3.3%	1.6%	5.0M	-37.2M	-1.4M	0.86	11.47	N/A	N/A	4,142	3,572	63,541	59,928
2018-03-27	$65.81	$65.00	23.8%	6.8%	25.0%	46.8%	25.3%	3.6%	1.1%	3.1M	7.9M	-1.4M	0.60	11.28	N/A	N/A	6,107	3,655	63,546	60,122
2018-03-28	$63.16	$65.00	28.8%	8.2%	28.3%	69.4%	27.7%	2.4%	-0.4%	374.2K	70.1M	-1.3M	0.34	17.58	N/A	N/A	18,072	6,137	64,865	60,932
2018-03-29	$64.93	$64.50	24.4%	7.0%	30.2%	49.9%	25.0%	2.9%	0.5%	4.4M	5.2M	-1.4M	0.38	9.61	N/A	N/A	6,841	2,608	76,730	64,602