OXY Options History — October 2019 In October 2019, OXY traded between $40.31 and $43.84. ATM implied volatility averaged 36.0%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 8.3% (HV 20d: 27.7%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.60.
Notable Days 2019-10-22 : Highest Volume — 46,505 contracts2019-10-02 : Largest IV spike — 11.7% change2019-10-08 : Highest IV Rank — 90.9%2019-10-08 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $41.69 $40.31 $43.84 $43.84 $40.52 Max Pain $45.33 $45.00 $47.50 $45.00 $45.00 ATM IV 36.0% 32.4% 41.8% 33.2% 33.9% Expected Move 10.4% 9.1% 11.4% 9.1% 10.9% HV 20d 27.7% 16.8% 38.9% 38.7% 24.3% HV 60d 35.1% 32.0% 36.2% 35.7% 32.0% IV Rank 67.9% 53.5% 90.9% 58.1% 59.4% IV Percentile 87.8% 71.4% 99.6% 82.5% 79.0% Term Structure -0.9% -7.6% 1.4% 0.1% 0.7% VWIV 37.2% 32.6% 39.7% 32.6% 39.3% Skew 25d 1.9% 0.5% 9.5% 1.7% 0.7% Skew 10d 3.7% -0.2% 19.8% 5.1% 1.1% Call IV 25d 36.1% 32.7% 41.2% 33.9% 34.8% Put IV 25d 38.0% 33.5% 44.9% 35.7% 35.5% Bid-Ask Spread % 13.46 6.03 29.17 9.01 9.96 Gamma HHI 0.11 0.10 0.13 0.11 0.12 Net GEX -5.5M -10.4M 1.2M 127.9K -8.7M Net DEX 297.7M 191.1M 403.5M 198.1M 349.8M Net VEX -2.2M -2.5M -2.0M -2.5M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.19 1.20 0.48 0.77 Total Volume 14,602.826 8,250 46,505 8,330 17,324 Total OI 529,772.174 492,716 567,352 514,585 528,374
Daily Data (23 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 2019-10-01 $43.84 $45.00 33.2% 9.1% 38.7% 58.1% 32.6% 1.7% 0.1% 127.9K 198.1M -2.5M 0.48 9.01 N/A N/A 5,619 2,711 280,835 233,750 2019-10-02 $43.01 $45.00 37.1% 10.1% 38.9% 73.0% 35.8% 1.8% 1.4% -2.3M 248.2M -2.5M 0.27 10.08 N/A N/A 12,799 3,461 282,364 235,166 2019-10-03 $43.16 $47.50 35.9% 10.6% 36.3% 68.5% 36.8% 3.1% 0.8% -1.4M 229.2M -2.5M 0.19 19.78 N/A N/A 12,322 2,298 289,563 236,940 2019-10-04 $42.91 $47.50 35.4% 10.2% 36.2% 65.4% 36.0% 1.5% -0.4% -2.3M 257.3M -2.4M 0.77 19.25 N/A N/A 5,456 4,223 296,032 237,882 2019-10-07 $42.33 $47.50 38.2% 10.3% 36.4% 76.4% 36.8% 1.4% -1.7% -5.4M 289.9M -2.3M 0.31 12.27 N/A N/A 6,569 2,058 291,920 236,199 2019-10-08 $41.00 $45.00 41.8% 11.4% 35.7% 90.9% 39.4% 1.9% -1.7% -7.8M 355.7M -2.2M 0.57 23.06 N/A N/A 7,974 4,569 294,876 237,328 2019-10-09 $40.77 $45.00 41.5% 11.3% 35.7% 89.5% 39.4% 3.2% -2.4% -8.3M 374.3M -2.1M 0.27 19.85 N/A N/A 16,834 4,482 298,582 239,569 2019-10-10 $41.06 $45.00 39.5% 11.2% 35.8% 81.5% 39.7% 3.2% -0.4% -6.6M 344.1M -2.3M 1.20 14.84 N/A N/A 4,385 5,241 303,480 239,551 2019-10-11 $41.30 $45.00 41.4% 10.3% 36.0% 89.0% 38.7% 9.5% -7.6% -8.2M 352.7M -2.1M 0.56 29.17 N/A N/A 5,761 3,223 305,318 243,063 2019-10-14 $40.45 $45.00 37.1% 10.6% 26.7% 72.2% 37.1% 1.9% -1.2% -9.4M 390.3M -2.0M 0.50 12.23 N/A N/A 11,006 5,450 301,091 240,334 2019-10-15 $40.83 $45.00 35.4% 10.1% 20.5% 65.5% 35.2% 1.9% -1.3% -9.7M 376.9M -2.0M 1.01 15.14 N/A N/A 7,205 7,257 304,683 242,571 2019-10-16 $40.34 $45.00 35.6% 10.2% 20.3% 66.3% 39.2% 1.5% -0.2% -10.0M 399.2M -2.0M 0.97 16.65 N/A N/A 10,086 9,755 307,575 244,657 2019-10-17 $40.31 $45.00 35.6% 10.2% 16.8% 66.1% 39.3% 0.5% 0.2% -10.4M 403.5M -2.0M 0.26 12.40 N/A N/A 14,682 3,770 310,086 247,715 2019-10-18 $40.51 $45.00 35.9% 10.4% 17.2% 67.4% 36.5% 1.2% -0.5% -8.5M 382.1M -2.0M 0.64 11.97 N/A N/A 10,317 6,555 319,820 247,532 2019-10-21 $40.80 $45.00 34.3% 10.1% 17.6% 61.0% 36.4% 2.1% -1.6% -8.0M 334.8M -2.0M 0.47 11.37 N/A N/A 7,867 3,674 258,076 234,640 2019-10-22 $42.23 $45.00 35.6% 10.5% 22.6% 66.2% 37.9% 1.3% -1.5% -4.4M 226.9M -2.2M 0.91 11.62 N/A N/A 24,391 22,114 263,458 237,173 2019-10-23 $42.76 $45.00 34.3% 10.1% 23.3% 60.9% 36.7% 1.2% -1.6% -2.9M 191.1M -2.2M 0.48 8.57 N/A N/A 10,173 4,846 274,212 245,439 2019-10-24 $42.28 $45.00 34.1% 10.2% 23.5% 60.2% 36.1% 1.2% -1.7% -2.2M 215.7M -2.2M 0.64 7.29 N/A N/A 5,110 3,253 277,970 237,894 2019-10-25 $42.58 $45.00 33.0% 9.9% 23.8% 55.8% 35.6% 0.7% -1.7% 1.2M 192.1M -2.2M 0.84 6.03 N/A N/A 4,617 3,857 279,813 239,293 2019-10-28 $42.36 $45.00 32.4% 10.1% 23.5% 53.5% 35.8% 0.7% 0.7% -3.4M 219.1M -2.1M 0.57 11.62 N/A N/A 9,276 5,326 274,001 237,339 2019-10-29 $42.35 $45.00 33.1% 10.5% 22.9% 56.1% 37.4% 0.6% 0.7% -3.2M 218.8M -2.1M 0.47 6.18 N/A N/A 6,598 3,121 281,351 241,139 2019-10-30 $41.26 $45.00 33.4% 10.8% 23.7% 57.6% 38.7% 0.9% 0.5% -6.1M 297.0M -2.0M 0.66 11.29 N/A N/A 4,959 3,291 282,900 243,206 2019-10-31 $40.52 $45.00 33.9% 10.9% 24.3% 59.4% 39.3% 0.7% 0.7% -8.7M 349.8M -2.0M 0.77 9.96 N/A N/A 9,771 7,553 283,178 245,196
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