OXY Options History — November 2019

In November 2019, OXY traded between $37.84 and $44.25. ATM implied volatility averaged 34.6%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 7.3% (HV 20d: 41.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2019-11-08: Highest Volume — 81,000 contracts
  • 2019-11-05: Largest IV drop — 13.6% change
  • 2019-11-13: Highest IV Rank — 76.2%
  • 2019-11-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$37.84$44.25$42.15$38.67
Max Pain$40.63$40.00$45.00$45.00$40.00
ATM IV34.6%31.8%38.1%33.4%32.2%
Expected Move10.0%9.4%11.0%11.0%9.8%
HV 20d41.9%28.6%45.0%28.6%44.0%
HV 60d35.9%33.0%37.2%33.0%35.2%
IV Rank62.4%51.1%76.2%57.5%52.9%
IV Percentile80.6%64.3%94.4%76.2%66.3%
Term Structure-0.5%-4.1%3.1%0.5%-0.5%
VWIV35.9%33.4%39.8%39.8%35.4%
Skew 25d0.1%-9.3%7.3%0.1%-2.2%
Skew 10d-2.7%-14.7%5.0%-0.1%-6.4%
Call IV 25d36.0%32.1%44.5%34.5%34.6%
Put IV 25d36.1%31.9%46.9%34.6%32.4%
Bid-Ask Spread %9.174.8315.5211.097.44
Gamma HHI0.150.080.230.110.15
Net GEX-5.0M-12.6M2.9M-4.9M-216.7K
Net DEX315.4M44.5M473.7M227.8M264.0M
Net VEX-2.3M-2.6M-1.9M-2.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.200.780.300.41
Total Volume38,654.415,12381,00027,27615,123
Total OI617,169.7536,956695,411536,956641,588

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$42.15$45.0033.4%11.0%28.6%57.5%39.8%0.1%0.5%-4.9M227.8M-2.1M0.3011.09N/AN/A20,9276,349287,887249,069
2019-11-04$44.25$42.5037.1%10.4%33.1%72.2%36.7%2.2%-4.1%2.2M44.5M-2.3M0.5315.52N/AN/A34,83418,559292,327244,958
2019-11-05$41.95$42.5032.0%9.6%36.7%52.2%34.1%1.8%2.2%-6.0M256.2M-2.0M0.4710.53N/AN/A44,78121,268311,849255,792
2019-11-06$39.80$42.5033.1%9.7%41.3%56.1%34.7%4.2%2.2%-12.2M448.0M-1.9M0.789.81N/AN/A31,60224,494326,802266,332
2019-11-07$39.05$40.0034.4%9.9%41.7%61.6%34.9%7.3%3.1%-12.6M473.7M-2.0M0.749.43N/AN/A26,47619,541342,049273,519
2019-11-08$40.08$40.0034.6%10.0%42.8%62.1%34.6%-9.3%2.5%-12.6M397.5M-2.2M0.3415.15N/AN/A60,49620,504352,083281,301
2019-11-11$38.89$40.0037.0%10.5%43.5%71.9%37.0%1.0%-1.5%-9.1M425.9M-2.3M0.646.71N/AN/A17,98911,576363,055274,747
2019-11-12$38.41$40.0037.4%10.5%43.4%73.4%37.2%0.3%-0.6%-10.7M460.7M-2.2M0.2011.07N/AN/A44,2188,672368,858279,707
2019-11-13$38.26$40.0038.1%10.5%43.3%76.2%38.5%-0.3%-0.8%-9.3M449.0M-2.3M0.709.11N/AN/A21,12914,802391,998282,345
2019-11-14$37.84$40.0035.9%10.0%43.4%67.5%36.4%0.0%-0.6%-12.3M463.1M-2.3M0.458.26N/AN/A24,27910,841402,926282,726
2019-11-15$38.84$40.0034.1%9.6%44.6%60.4%34.4%0.4%-1.5%-1.8M375.6M-2.4M0.484.83N/AN/A31,23914,958410,058285,353
2019-11-18$39.22$40.0033.8%9.6%44.6%58.9%33.5%0.3%-1.3%-2.1M255.1M-2.4M0.476.13N/AN/A24,45011,613324,500246,116
2019-11-19$38.19$40.0035.9%10.2%43.3%67.4%36.4%0.3%-2.0%-4.0M322.9M-2.5M0.728.34N/AN/A19,23613,791338,375253,658
2019-11-20$38.50$40.0036.4%10.4%43.1%69.4%36.8%-0.4%-1.6%-2.7M302.6M-2.6M0.447.84N/AN/A21,4279,481349,335261,090
2019-11-21$39.02$40.0035.8%10.4%43.5%67.0%36.7%-0.3%-1.8%-179.4K243.2M-2.6M0.426.99N/AN/A16,2076,779356,253263,309
2019-11-22$39.68$40.0034.2%9.9%44.0%60.6%35.4%-0.4%-1.4%2.9M180.1M-2.6M0.408.23N/AN/A17,9547,252360,548264,463
2019-11-25$39.78$40.0031.8%9.4%44.0%51.1%33.4%-0.2%-0.8%1.1M171.7M-2.5M0.648.03N/AN/A17,36511,170349,900257,095
2019-11-26$38.62$40.0033.0%9.7%45.0%55.8%35.0%-1.1%-0.7%-2.7M283.8M-2.5M0.5610.83N/AN/A19,49710,998355,819262,197
2019-11-27$38.74$40.0032.2%9.7%44.3%52.8%36.6%-2.5%-0.6%-1.8M262.8M-2.6M0.338.03N/AN/A15,9405,271366,664266,743
2019-11-29$38.67$40.0032.2%9.8%44.0%52.9%35.4%-2.2%-0.5%-216.7K264.0M-2.5M0.417.44N/AN/A10,7454,378372,685268,903