OXY Options History — April 2018

In April 2018, OXY traded between $64.68 and $77.50. ATM implied volatility averaged 23.4%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.4% (HV 20d: 27.8%). Max pain ranged from $64.50 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-04-20: Highest Volume — 19,605 contracts
  • 2018-04-17: Largest IV drop — 11.8% change
  • 2018-04-02: Highest IV Rank — 58.6%
  • 2018-04-02: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.98$64.68$77.50$64.68$77.37
Max Pain$68.26$64.50$70.00$64.50$70.00
ATM IV23.4%20.5%26.4%26.4%20.7%
Expected Move6.8%6.1%7.8%7.8%6.4%
HV 20d27.8%16.1%32.3%30.2%16.1%
HV 60d25.4%24.0%26.2%24.0%25.2%
IV Rank45.2%32.4%58.6%58.6%33.2%
IV Percentile84.5%52.8%96.8%96.8%55.6%
Term Structure-0.0%-1.0%1.4%0.9%0.6%
VWIV23.9%21.3%27.0%27.0%22.9%
Skew 25d2.9%2.1%4.0%3.6%2.1%
Skew 10d6.3%4.4%8.1%7.7%4.4%
Call IV 25d22.3%19.8%25.1%25.1%19.8%
Put IV 25d25.2%21.9%28.7%28.7%21.9%
Bid-Ask Spread %7.864.6812.179.124.88
Gamma HHI0.140.070.240.070.23
Net GEX14.2M4.5M29.2M4.5M29.2M
Net DEX-278.0M-451.3M16.3M16.3M-446.9M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.291.590.570.59
Total Volume11,380.7146,58419,6057,4939,584
Total OI149,449.286135,300173,017137,709170,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$64.68$64.5026.4%7.8%30.2%58.6%27.0%3.6%0.9%4.5M16.3M-1.4M0.579.12N/AN/A4,7632,73073,80163,908
2018-04-03$66.60$64.5023.8%6.9%32.0%47.1%24.6%4.0%1.2%7.9M-53.9M-1.4M0.2910.25N/AN/A10,9903,13574,25564,351
2018-04-04$66.65$64.5023.8%6.9%31.9%46.8%24.5%3.6%0.9%7.3M-44.7M-1.4M0.747.02N/AN/A4,3173,18072,31765,019
2018-04-05$67.76$67.5023.5%7.1%32.3%45.8%26.9%3.3%1.4%8.8M-83.8M-1.4M1.259.59N/AN/A2,9213,66372,32965,425
2018-04-06$67.57$67.5025.0%7.3%28.9%52.4%24.5%3.9%1.2%8.8M-76.3M-1.4M0.5910.05N/AN/A5,2683,13072,69365,256
2018-04-09$69.39$67.5024.6%7.0%29.9%50.5%24.6%3.3%-0.7%8.1M-134.2M-1.4M0.546.67N/AN/A5,4172,92370,62864,672
2018-04-10$70.43$67.5025.3%7.3%30.1%53.7%24.9%2.9%0.2%8.1M-172.5M-1.5M0.548.98N/AN/A6,1463,30672,20965,276
2018-04-11$71.69$67.5025.0%7.0%30.4%52.4%24.5%2.5%-0.6%8.9M-224.5M-1.4M0.679.72N/AN/A5,2283,52274,41265,801
2018-04-12$71.94$67.5024.3%6.8%30.4%49.3%24.8%3.3%-0.8%9.4M-234.9M-1.4M0.496.86N/AN/A7,5853,73775,65566,378
2018-04-13$73.70$67.5025.2%7.2%30.9%53.1%24.3%2.6%0.1%9.4M-299.3M-1.3M0.589.69N/AN/A9,1005,23977,51766,565
2018-04-16$74.88$67.5024.1%6.9%31.1%48.2%24.6%2.9%-0.5%10.0M-337.4M-1.3M0.567.26N/AN/A7,4614,19179,52763,136
2018-04-17$75.30$70.0021.3%6.1%30.1%35.6%21.3%2.6%-0.0%11.0M-361.1M-1.3M0.416.98N/AN/A11,2944,58681,47364,011
2018-04-18$76.14$70.0022.7%6.5%30.1%42.0%22.1%2.6%-0.1%13.5M-414.7M-1.3M0.4712.17N/AN/A12,6885,96888,38365,503
2018-04-19$76.12$70.0023.1%6.7%28.8%43.9%22.3%2.8%-0.8%17.1M-423.5M-1.4M0.569.89N/AN/A9,3945,25594,28866,313
2018-04-20$76.45$70.0021.7%6.2%27.7%37.6%22.8%2.8%0.5%18.2M-442.3M-1.4M0.314.68N/AN/A14,9514,65497,96567,780
2018-04-23$77.11$70.0022.1%6.3%27.7%39.2%22.8%2.8%-0.7%21.3M-405.0M-1.4M0.905.70N/AN/A4,0623,67392,60362,314
2018-04-24$77.06$70.0024.1%7.1%27.0%48.4%24.5%3.3%-0.9%20.2M-397.2M-1.5M0.665.63N/AN/A6,4674,29693,50162,819
2018-04-25$77.19$70.0023.3%6.7%24.9%44.8%23.6%2.7%-1.0%22.1M-411.3M-1.4M0.548.49N/AN/A9,3315,04395,89464,018
2018-04-26$77.50$70.0021.1%6.2%17.0%34.9%21.9%2.2%-0.5%26.3M-451.3M-1.5M0.616.16N/AN/A6,5584,003102,11265,279
2018-04-27$77.03$70.0020.5%6.2%16.6%32.4%22.1%2.3%-0.5%28.6M-439.2M-1.5M1.595.34N/AN/A3,5655,671107,10165,916
2018-04-30$77.37$70.0020.7%6.4%16.1%33.2%22.9%2.1%0.6%29.2M-446.9M-1.5M0.594.88N/AN/A6,0453,539105,25564,777