OXY Options History — September 2018

In September 2018, OXY traded between $75.77 and $82.45. ATM implied volatility averaged 19.1%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.0% (HV 20d: 18.1%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-09-25: Highest Volume — 30,906 contracts
  • 2018-09-24: Largest IV spike — 7.6% change
  • 2018-09-12: Highest IV Rank — 31.8%
  • 2018-09-12: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.89$75.77$82.45$79.16$82.45
Max Pain$79.21$77.50$80.00$80.00$80.00
ATM IV19.1%18.0%20.4%18.8%18.3%
Expected Move5.5%5.1%6.0%5.4%5.1%
HV 20d18.1%14.9%23.8%23.0%17.9%
HV 60d19.2%18.5%19.6%19.3%18.8%
IV Rank25.8%20.9%31.8%24.5%22.3%
IV Percentile34.7%21.8%52.8%31.7%23.0%
Term Structure0.6%-0.1%2.2%0.2%0.6%
VWIV19.5%17.2%21.4%19.9%17.7%
Skew 25d2.5%2.1%2.8%2.1%2.7%
Skew 10d4.9%4.1%7.2%4.3%5.7%
Call IV 25d18.2%16.9%19.7%18.3%16.9%
Put IV 25d20.8%19.6%22.0%20.4%19.6%
Bid-Ask Spread %6.464.0019.456.137.39
Gamma HHI0.170.140.210.180.21
Net GEX11.7M3.7M28.0M10.5M28.0M
Net DEX-136.0M-337.5M-15.0M-111.5M-337.5M
Net VEX-1.2M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.161.040.480.78
Total Volume11,254.8426,69330,90611,6009,786
Total OI139,010.684124,957158,061126,937158,061

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$79.16$80.0018.8%5.4%23.0%24.5%19.9%2.1%0.2%10.5M-111.5M-1.2M0.486.13N/AN/A7,8623,73871,56455,373
2018-09-05$79.14$80.0019.4%5.5%23.1%27.1%19.7%2.8%0.2%12.2M-110.0M-1.2M0.535.67N/AN/A7,0643,73975,45757,291
2018-09-06$77.63$80.0019.9%5.9%23.8%29.5%21.2%2.4%0.2%5.8M-50.9M-1.2M0.6319.45N/AN/A5,8593,72077,94158,287
2018-09-07$76.65$80.0019.9%5.8%18.7%29.6%20.7%2.3%0.1%4.4M-39.1M-1.2M0.865.04N/AN/A4,5313,91878,56758,834
2018-09-10$76.88$80.0019.9%5.8%18.4%29.3%20.4%2.3%0.2%6.2M-52.3M-1.2M0.624.37N/AN/A4,1202,57374,38758,581
2018-09-11$77.25$80.0020.0%5.8%18.4%30.0%20.2%2.5%0.3%7.0M-64.9M-1.2M0.574.24N/AN/A4,8152,74574,65859,079
2018-09-12$75.77$80.0020.4%6.0%18.2%31.8%20.3%2.3%0.8%3.7M-15.0M-1.1M0.885.64N/AN/A5,7815,10276,47059,716
2018-09-13$76.78$80.0019.6%5.7%14.9%28.0%20.3%2.1%0.4%5.1M-52.5M-1.2M1.048.16N/AN/A4,4254,59577,59561,674
2018-09-14$77.92$80.0018.4%5.4%15.3%23.0%19.3%2.3%0.6%8.5M-96.5M-1.2M0.854.87N/AN/A6,0465,16678,55963,983
2018-09-17$77.49$80.0019.6%5.7%15.0%28.4%20.0%2.5%-0.1%6.8M-79.3M-1.1M0.576.28N/AN/A4,9032,79777,35461,390
2018-09-18$79.04$77.5019.2%5.5%16.7%26.4%19.6%2.8%0.2%11.3M-145.2M-1.2M0.684.00N/AN/A6,1854,19278,06061,957
2018-09-19$79.75$77.5018.9%5.4%17.0%25.1%21.4%2.7%0.1%14.3M-176.8M-1.2M0.557.15N/AN/A5,3342,95278,70662,214
2018-09-20$79.27$77.5018.2%5.2%17.0%21.9%19.5%2.7%0.1%12.2M-153.0M-1.2M0.706.43N/AN/A5,1103,57479,51862,515
2018-09-21$79.55$77.5018.0%5.1%16.9%20.9%18.0%2.6%0.4%11.6M-161.6M-1.2M0.614.20N/AN/A5,8323,57879,86563,587
2018-09-24$80.69$77.5019.3%5.6%17.5%27.0%19.5%2.6%2.1%13.0M-202.5M-1.2M0.664.52N/AN/A8,5475,65068,25356,704
2018-09-25$81.20$77.5018.4%5.3%17.1%22.7%17.5%2.6%0.9%14.4M-218.7M-1.2M0.165.89N/AN/A26,6724,23469,68959,029
2018-09-26$81.19$80.0018.1%5.2%17.1%21.6%17.6%2.7%1.3%22.7M-257.1M-1.4M0.287.22N/AN/A15,6344,34089,41760,229
2018-09-27$81.16$80.0018.2%5.1%17.1%22.0%17.2%2.7%2.2%24.8M-259.9M-1.4M0.746.10N/AN/A5,0213,70295,56361,076
2018-09-28$82.45$80.0018.3%5.1%17.9%22.3%17.7%2.7%0.6%28.0M-337.5M-1.4M0.787.39N/AN/A5,5024,28496,52461,537