OXY Options History — December 2018

In December 2018, OXY traded between $57.35 and $71.22. ATM implied volatility averaged 33.8%, placing in the 81.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 0.3% (HV 20d: 33.5%). Max pain ranged from $67.50 to $71.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-12-27: Highest Volume — 16,037 contracts
  • 2018-12-17: Largest IV spike — 17.5% change
  • 2018-12-18: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.05$57.35$71.22$71.22$61.39
Max Pain$69.85$67.50$71.00$70.00$67.50
ATM IV33.8%24.6%44.1%24.6%33.7%
Expected Move10.0%7.5%13.3%7.5%9.8%
HV 20d33.5%29.3%37.3%34.4%37.1%
HV 60d32.2%30.0%35.2%30.0%35.2%
IV Rank81.4%50.7%100.0%50.7%65.1%
IV Percentile94.8%79.8%100.0%79.8%94.8%
Term Structure-0.6%-2.3%0.7%0.3%-0.5%
VWIV34.3%26.8%47.4%26.8%34.0%
Skew 25d5.1%2.5%6.2%4.2%5.5%
Skew 10d9.4%3.6%13.8%7.4%10.8%
Call IV 25d31.8%23.2%42.2%23.2%30.6%
Put IV 25d36.9%27.3%48.2%27.3%36.1%
Bid-Ask Spread %11.245.6717.775.677.85
Gamma HHI0.100.060.300.140.11
Net GEX-101.6K-5.1M8.0M8.0M-1.1M
Net DEX99.5M-16.4M156.8M-16.4M103.8M
Net VEX-699.7K-928.0K-513.2K-928.0K-526.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.071.461.350.77
Total Volume6,254.053,06516,0376,0613,754
Total OI151,719.9124,402162,852152,060124,402

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$71.22$70.0024.6%7.5%34.4%50.7%26.8%4.2%0.3%8.0M-16.4M-928.0K1.355.67N/AN/A2,5763,48592,52659,534
2018-12-04$69.63$71.0028.6%9.2%34.3%68.5%33.1%5.1%0.2%4.4M31.4M-926.9K0.716.72N/AN/A2,9932,13093,60662,226
2018-12-05$69.66$71.0028.9%9.5%30.8%69.6%34.0%5.2%0.4%4.2M32.9M-899.6K0.7214.22N/AN/A3,0502,19493,60662,226
2018-12-06$67.42$70.0032.5%9.0%32.1%85.9%32.0%4.1%0.0%877.2K93.6M-820.9K0.2713.02N/AN/A6,0581,63795,11963,275
2018-12-07$67.56$70.0030.8%8.7%31.7%78.0%29.3%5.2%-0.2%2.4M69.6M-878.9K0.417.40N/AN/A4,5041,84898,52664,067
2018-12-10$64.40$70.0032.9%9.2%33.8%87.5%31.8%2.5%-0.9%-1.1M127.6M-714.8K0.4711.58N/AN/A3,4291,60096,14961,653
2018-12-11$64.69$70.0031.7%8.8%33.3%82.1%30.0%3.1%-0.8%-806.8K111.4M-706.4K0.2611.58N/AN/A4,7941,25297,62960,631
2018-12-12$65.58$70.0029.2%8.6%33.4%71.0%29.2%5.1%0.7%528.2K89.1M-739.4K1.1110.40N/AN/A2,5582,85099,37060,410
2018-12-13$66.68$70.0027.7%7.9%34.1%64.2%27.4%4.5%0.0%1.7M66.6M-767.5K0.8711.82N/AN/A3,2482,829100,28561,233
2018-12-14$64.92$70.0029.3%8.5%33.8%71.7%29.0%4.5%0.7%-254.1K105.4M-707.8K1.4610.75N/AN/A2,5073,670101,13561,717
2018-12-17$63.68$70.0034.5%9.9%33.6%94.7%32.7%5.6%-1.1%-1.3M114.8M-677.7K0.336.81N/AN/A2,31175499,68559,744
2018-12-18$63.25$70.0036.0%10.3%33.6%100.0%34.5%5.7%-1.2%-1.7M122.6M-672.4K0.346.72N/AN/A2,480852100,36260,068
2018-12-19$62.22$70.0034.4%9.8%32.0%92.8%33.2%5.3%-2.0%-3.1M140.9M-607.5K0.488.78N/AN/A2,6371,274100,93660,131
2018-12-20$60.52$70.0040.2%11.6%30.7%100.0%39.4%6.2%-2.3%-3.1M145.7M-601.3K0.7417.06N/AN/A4,5553,390101,48058,322
2018-12-21$59.84$70.0039.1%11.4%29.3%95.7%40.4%6.1%-1.8%-5.1M156.8M-573.8K0.4517.12N/AN/A6,2952,851103,42758,859
2018-12-24$57.35$70.0044.1%13.3%30.8%100.0%47.4%5.9%-1.3%-2.4M150.7M-513.2K0.8517.77N/AN/A4,8364,08776,57853,880
2018-12-26$60.26$70.0040.7%12.7%37.3%88.5%43.4%5.6%-0.2%-1.6M116.7M-594.0K0.2214.93N/AN/A4,8301,04577,59654,173
2018-12-27$60.27$70.0039.1%12.4%36.6%83.4%41.3%6.2%-0.1%-1.4M115.3M-573.8K0.0711.51N/AN/A15,0021,03578,82054,343
2018-12-28$60.43$67.5037.6%11.3%36.2%78.1%38.0%5.9%-1.3%-1.2M111.7M-563.9K0.7313.16N/AN/A2,2471,63472,35854,311
2018-12-31$61.39$67.5033.7%9.8%37.1%65.1%34.0%5.5%-0.5%-1.1M103.8M-526.0K0.777.85N/AN/A2,1161,63870,69853,704