OXY Options History — September 2019 In September 2019, OXY traded between $42.76 and $47.99. ATM implied volatility averaged 30.5%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 6.7% (HV 20d: 37.3%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.51.
Notable Days 2019-09-06 : Highest Volume — 105,520 contracts2019-09-16 : Largest IV spike — 20.2% change2019-09-16 : Highest IV Rank — 60.1%2019-09-16 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $45.29 $42.76 $47.99 $42.76 $44.56 Max Pain $44.63 $42.50 $45.00 $45.00 $45.00 ATM IV 30.5% 28.0% 33.7% 31.6% 32.0% Expected Move 8.7% 8.0% 9.6% 9.1% 8.8% HV 20d 37.3% 31.3% 44.2% 35.1% 38.5% HV 60d 33.9% 31.1% 36.4% 31.1% 35.6% IV Rank 48.1% 38.4% 60.1% 53.8% 53.5% IV Percentile 69.0% 47.2% 85.3% 76.6% 77.8% Term Structure 0.6% -0.7% 2.5% 0.0% 1.9% VWIV 30.5% 27.5% 33.7% 31.0% 31.2% Skew 25d 2.9% 1.5% 4.3% 3.9% 3.6% Skew 10d 5.6% 2.6% 8.2% 6.6% 6.6% Call IV 25d 29.8% 27.0% 33.3% 30.3% 32.0% Put IV 25d 32.7% 30.4% 35.5% 34.3% 35.5% Bid-Ask Spread % 10.25 2.67 21.52 5.16 13.73 Gamma HHI 0.12 0.08 0.15 0.11 0.13 Net GEX 7.9M -4.2M 15.3M -4.2M 3.4M Net DEX 82.1M -209.7M 334.2M 334.2M 141.6M Net VEX -2.8M -3.2M -2.4M -2.4M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.14 1.23 0.35 1.16 Total Volume 23,506.9 6,019 105,520 6,019 9,805 Total OI 524,976.1 484,683 582,397 484,683 509,426
Daily Data (20 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 2019-09-03 $42.76 $45.00 31.6% 9.1% 35.1% 53.8% 31.0% 3.9% 0.0% -4.2M 334.2M -2.4M 0.35 5.16 N/A N/A 4,463 1,556 250,394 234,289 2019-09-04 $43.53 $45.00 30.1% 8.4% 33.1% 46.2% 30.6% 4.2% 0.3% -2.4M 294.6M -2.5M 0.36 4.74 N/A N/A 7,785 2,841 250,956 235,195 2019-09-05 $45.16 $42.50 29.0% 8.3% 35.5% 42.0% 29.2% 4.3% 0.3% 1.9M 178.1M -2.6M 0.42 7.45 N/A N/A 14,747 6,252 254,821 236,690 2019-09-06 $45.42 $42.50 29.6% 8.6% 35.4% 44.6% 29.6% 3.1% 0.2% 3.7M 150.4M -2.7M 0.15 2.67 N/A N/A 92,139 13,381 254,411 237,637 2019-09-09 $45.02 $42.50 31.4% 8.9% 35.2% 51.3% 30.9% 3.0% -0.0% 8.5M 98.2M -3.0M 0.43 6.29 N/A N/A 16,970 7,244 291,772 240,136 2019-09-10 $46.33 $45.00 29.9% 8.4% 32.2% 45.4% 29.5% 3.6% -0.4% 13.6M -37.3M -3.1M 0.18 3.71 N/A N/A 33,051 5,855 296,874 237,678 2019-09-11 $46.26 $45.00 28.3% 8.0% 32.1% 39.6% 28.4% 3.4% -0.5% 13.9M -36.4M -3.1M 0.29 8.03 N/A N/A 13,432 3,915 300,272 239,316 2019-09-12 $45.60 $45.00 28.6% 8.2% 31.3% 40.5% 28.0% 3.4% 0.3% 12.4M 40.3M -2.9M 0.53 5.73 N/A N/A 6,013 3,167 299,350 239,364 2019-09-13 $45.14 $45.00 28.0% 8.0% 31.5% 38.4% 27.5% 3.3% -0.0% 11.7M 85.2M -2.8M 0.74 12.25 N/A N/A 8,415 6,217 299,924 240,513 2019-09-16 $47.99 $45.00 33.7% 9.6% 37.9% 60.1% 33.5% 1.5% -0.7% 15.3M -209.7M -3.2M 0.33 7.22 N/A N/A 51,511 17,001 295,024 239,232 2019-09-17 $45.34 $45.00 32.7% 9.4% 42.8% 56.4% 33.7% 2.6% 0.2% 9.7M 65.9M -2.9M 0.63 11.87 N/A N/A 20,211 12,781 307,775 243,466 2019-09-18 $44.66 $45.00 31.1% 8.9% 43.2% 50.0% 31.3% 1.6% 1.9% 8.0M 143.0M -2.7M 0.38 17.06 N/A N/A 12,163 4,614 314,181 249,536 2019-09-19 $45.84 $45.00 31.6% 9.1% 44.1% 52.0% 30.9% 2.0% -0.7% 12.4M 13.4M -2.8M 0.14 21.52 N/A N/A 19,665 2,811 319,429 251,680 2019-09-20 $45.47 $45.00 30.6% 8.7% 44.2% 48.4% 31.1% 1.6% 0.7% 8.7M 44.2M -2.8M 0.40 6.95 N/A N/A 10,262 4,121 330,241 252,156 2019-09-23 $45.59 $45.00 29.8% 8.4% 39.0% 45.1% 29.7% 2.2% 1.1% 8.9M 44.6M -2.7M 0.74 16.56 N/A N/A 9,831 7,278 274,604 221,697 2019-09-24 $45.38 $45.00 30.7% 8.8% 38.8% 48.5% 31.4% 2.9% 1.7% 8.2M 59.7M -2.7M 0.79 14.24 N/A N/A 5,025 3,947 278,395 227,420 2019-09-25 $45.35 $45.00 30.1% 8.6% 38.8% 46.2% 30.9% 2.7% 1.5% 8.2M 66.0M -2.7M 0.73 15.55 N/A N/A 6,719 4,888 281,209 229,604 2019-09-26 $45.24 $45.00 30.7% 8.6% 38.2% 48.5% 30.8% 2.4% 2.5% 8.0M 79.9M -2.7M 1.23 11.42 N/A N/A 2,957 3,631 283,819 232,137 2019-09-27 $45.16 $45.00 31.3% 8.8% 38.2% 50.6% 31.0% 2.5% 1.6% 7.3M 85.3M -2.7M 0.29 12.83 N/A N/A 10,408 3,066 284,997 233,902 2019-09-30 $44.56 $45.00 32.0% 8.8% 38.5% 53.5% 31.2% 3.6% 1.9% 3.4M 141.6M -2.6M 1.16 13.73 N/A N/A 4,541 5,264 278,498 230,928
« Aug 2019 | All History | Oct 2019 » Home OXY History September 2019