OXY Options History — November 2018

In November 2018, OXY traded between $68.31 and $74.10. ATM implied volatility averaged 29.9%, placing in the 74.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 4.1% (HV 20d: 34.0%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2018-11-06: Highest Volume — 34,793 contracts
  • 2018-11-21: Largest IV drop — 13.0% change
  • 2018-11-05: Highest IV Rank — 92.9%
  • 2018-11-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.32$68.31$74.10$68.31$70.35
Max Pain$69.83$67.50$75.00$75.00$70.00
ATM IV29.9%26.2%34.1%30.4%28.3%
Expected Move8.6%7.2%11.1%10.0%8.6%
HV 20d34.0%30.4%39.2%33.6%34.2%
HV 60d27.7%24.9%30.1%26.3%29.9%
IV Rank74.2%57.9%92.9%76.4%67.0%
IV Percentile93.1%82.9%99.6%96.4%90.1%
Term Structure-0.7%-2.4%1.1%1.1%-1.0%
VWIV31.5%25.1%39.2%34.9%31.8%
Skew 25d5.5%4.2%6.8%4.2%5.1%
Skew 10d10.9%8.3%13.6%10.0%9.8%
Call IV 25d27.4%24.8%31.3%28.5%26.4%
Put IV 25d32.9%29.6%36.7%32.7%31.5%
Bid-Ask Spread %7.274.0114.168.517.02
Gamma HHI0.140.070.220.080.13
Net GEX7.4M-466.3K14.0M-466.3K7.0M
Net DEX-22.3M-139.7M108.9M108.9M-4.2M
Net VEX-1.1M-1.3M-919.3K-919.3K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.271.200.550.76
Total Volume11,185.196,88434,79310,0067,607
Total OI176,430.143138,127216,482176,423154,327

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$68.31$75.0030.4%10.0%33.6%76.4%34.9%4.2%1.1%-466.3K108.9M-919.3K0.558.51N/AN/A6,4393,567110,75065,673
2018-11-02$68.33$75.0032.9%11.1%33.8%87.6%39.2%4.8%0.5%406.2K100.0M-959.7K0.6414.16N/AN/A8,4975,419113,22166,592
2018-11-05$70.04$67.5034.1%8.9%35.4%92.9%34.4%5.2%-2.4%2.3M45.4M-1.0M0.8510.24N/AN/A6,8685,853113,81466,657
2018-11-06$72.92$67.5030.4%8.0%39.2%76.5%25.1%5.6%-1.6%6.0M-44.1M-1.1M0.297.16N/AN/A27,0547,739116,30669,762
2018-11-07$73.80$67.5027.4%7.2%35.7%63.1%27.7%4.6%-1.4%11.7M-106.1M-1.2M0.276.66N/AN/A16,1104,277132,39770,083
2018-11-08$72.41$67.5027.8%7.4%35.8%64.7%29.0%4.4%-1.3%10.3M-53.4M-1.2M1.076.52N/AN/A5,9846,432143,08270,524
2018-11-09$74.10$67.5028.3%7.6%36.9%67.3%30.9%4.8%0.8%14.0M-139.7M-1.3M0.9113.12N/AN/A5,2654,795143,73972,743
2018-11-12$72.25$67.5031.7%8.5%30.4%82.1%31.7%6.7%-1.5%8.7M-39.0M-1.2M1.148.42N/AN/A3,7894,336135,51165,623
2018-11-13$70.73$70.0034.0%9.4%31.1%92.4%34.3%6.5%-1.0%5.3M10.4M-1.1M0.597.13N/AN/A6,9054,068135,93065,817
2018-11-14$71.15$70.0033.5%9.3%31.2%90.1%37.3%6.7%-0.8%6.6M-7.8M-1.2M1.207.07N/AN/A3,2083,840138,84466,329
2018-11-15$72.66$70.0030.8%8.6%31.7%78.4%32.6%6.1%-0.9%10.4M-66.9M-1.2M1.078.74N/AN/A4,0144,300139,08065,481
2018-11-16$73.35$70.0028.9%8.2%31.8%69.6%29.6%5.8%0.1%12.8M-98.8M-1.2M0.875.62N/AN/A5,1194,473139,77066,085
2018-11-19$73.06$70.0029.0%8.2%31.9%70.1%28.9%6.0%-0.7%11.0M-85.3M-1.2M0.524.78N/AN/A7,2003,77882,90355,224
2018-11-20$70.43$70.0032.4%9.3%33.7%85.5%33.6%6.8%-1.5%6.5M-12.9M-1.1M0.784.80N/AN/A5,3904,18487,16456,838
2018-11-21$72.17$70.0028.2%8.1%33.6%66.8%27.6%5.9%-1.3%10.3M-61.5M-1.1M0.654.10N/AN/A5,6423,69488,65157,525
2018-11-23$69.83$71.5030.7%8.9%35.7%77.6%32.1%6.5%-1.7%4.8M11.0M-1.0M0.597.66N/AN/A4,6612,72790,44858,307
2018-11-26$70.68$70.0028.3%8.5%35.6%67.0%29.8%5.3%-0.7%7.3M-14.6M-995.2K0.534.22N/AN/A4,5132,37189,57057,301
2018-11-27$69.49$70.0027.9%8.4%34.4%65.5%31.9%4.8%-0.5%4.2M26.0M-934.4K0.654.01N/AN/A5,1023,30190,28358,060
2018-11-28$70.46$70.0026.2%8.1%33.9%57.9%29.2%4.9%0.4%6.6M-5.0M-981.0K0.645.41N/AN/A5,3433,39391,78859,339
2018-11-29$71.19$70.0026.5%8.2%34.0%59.1%29.4%4.9%-0.5%8.8M-31.4M-1.0M0.617.40N/AN/A4,7432,88993,26960,223
2018-11-30$70.35$70.0028.3%8.6%34.2%67.0%31.8%5.1%-1.0%7.0M-4.2M-1.0M0.767.02N/AN/A4,3313,27693,64860,679