OXY Options History — December 2019 In December 2019, OXY traded between $37.43 and $41.11. ATM implied volatility averaged 27.8%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.4% (HV 20d: 28.2%). Max pain ranged from $39.50 to $45.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.44.
Notable Days 2019-12-06 : Highest Volume — 56,652 contracts2019-12-09 : Largest IV spike — 10.4% change2019-12-03 : Highest IV Rank — 47.6%2019-12-03 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $38.82 $37.43 $41.11 $38.72 $41.11 Max Pain $42.60 $39.50 $45.00 $40.00 $42.50 ATM IV 27.8% 25.3% 30.9% 30.4% 27.4% Expected Move 8.2% 7.3% 9.4% 9.4% 7.9% HV 20d 28.2% 23.6% 41.2% 41.2% 24.0% HV 60d 32.8% 31.4% 36.1% 35.2% 31.9% IV Rank 35.9% 25.5% 47.6% 45.6% 37.0% IV Percentile 33.4% 16.7% 59.1% 57.1% 30.2% Term Structure 0.5% -0.8% 1.2% 0.9% 1.0% VWIV 30.0% 27.0% 37.3% 34.6% 27.7% Skew 25d -0.2% -1.5% 1.1% -1.5% 0.6% Skew 10d -1.0% -4.8% 1.5% -4.8% 1.5% Call IV 25d 28.8% 25.9% 32.4% 32.4% 28.0% Put IV 25d 28.7% 26.0% 31.7% 30.9% 28.5% Bid-Ask Spread % 4.71 2.74 7.03 5.36 7.03 Gamma HHI 0.16 0.11 0.36 0.18 0.13 Net GEX 3.8M -8.0M 23.0M -4.5M 11.8M Net DEX 164.3M -59.5M 342.3M 257.7M -59.5M Net VEX -2.5M -2.6M -2.2M -2.4M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.14 0.86 0.27 0.66 Total Volume 33,531.81 14,643 56,652 27,884 31,645 Total OI 647,487.619 588,256 691,743 624,739 608,309
Daily Data (21 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 2019-12-02 $38.72 $40.00 30.4% 9.4% 41.2% 45.6% 34.6% -1.5% 0.9% -4.5M 257.7M -2.4M 0.27 5.36 N/A N/A 21,877 6,007 362,424 262,315 2019-12-03 $38.01 $40.00 30.9% 9.4% 36.3% 47.6% 34.2% -0.4% 0.7% -6.1M 330.7M -2.3M 0.51 4.86 N/A N/A 18,999 9,744 371,583 264,294 2019-12-04 $38.50 $39.50 30.2% 9.3% 32.7% 44.8% 37.3% -0.6% 0.9% -3.4M 271.4M -2.4M 0.39 6.64 N/A N/A 21,223 8,361 378,063 268,438 2019-12-05 $38.02 $45.00 28.6% 8.5% 27.5% 38.4% 31.1% -1.1% 1.1% -8.0M 321.6M -2.3M 0.20 3.36 N/A N/A 26,556 5,394 388,244 271,889 2019-12-06 $38.99 $45.00 26.1% 7.8% 28.4% 28.4% 28.2% -1.0% 0.9% 23.0M 206.2M -2.2M 0.24 3.34 N/A N/A 45,854 10,798 400,473 273,804 2019-12-09 $37.43 $45.00 28.7% 8.5% 30.1% 39.1% 30.5% 0.4% 0.6% -5.3M 342.3M -2.4M 0.73 3.09 N/A N/A 20,201 14,736 386,859 264,515 2019-12-10 $37.65 $45.00 29.2% 8.6% 28.6% 40.9% 32.5% 0.8% 0.8% -3.9M 268.4M -2.5M 0.14 3.31 N/A N/A 46,681 6,385 395,097 259,586 2019-12-11 $37.59 $42.50 28.9% 8.5% 28.3% 39.7% 30.0% 0.8% 0.7% -1.5M 242.6M -2.5M 0.58 2.84 N/A N/A 22,649 13,075 410,087 255,906 2019-12-12 $38.23 $42.50 28.4% 8.4% 28.9% 37.9% 31.5% 0.3% 1.2% 5.2M 160.3M -2.5M 0.24 5.25 N/A N/A 45,578 11,060 417,730 255,866 2019-12-13 $37.75 $42.50 27.0% 8.0% 29.0% 32.1% 29.4% 0.2% 1.2% -1.9M 225.4M -2.5M 0.63 3.29 N/A N/A 17,811 11,304 426,946 258,150 2019-12-16 $38.28 $42.50 26.4% 7.7% 27.9% 29.9% 27.9% 0.2% -0.8% 1.5M 182.9M -2.4M 0.60 2.74 N/A N/A 17,770 10,594 414,638 253,663 2019-12-17 $38.24 $42.50 27.0% 7.8% 27.6% 32.2% 28.8% -0.9% -0.4% 1.5M 185.3M -2.5M 0.60 3.68 N/A N/A 12,692 7,622 420,828 258,740 2019-12-18 $38.70 $42.50 27.4% 7.9% 26.3% 34.0% 28.9% -0.6% -0.5% 6.4M 146.5M -2.5M 0.86 3.22 N/A N/A 17,077 14,761 423,551 260,429 2019-12-19 $38.61 $42.50 26.8% 7.7% 26.1% 31.4% 28.4% -0.6% -0.2% 5.4M 162.5M -2.5M 0.30 4.64 N/A N/A 11,242 3,401 426,109 262,728 2019-12-20 $38.88 $42.50 26.1% 7.6% 25.8% 28.6% 27.9% -1.1% -0.5% 11.6M 132.5M -2.5M 0.31 6.05 N/A N/A 24,988 7,792 428,426 263,317 2019-12-23 $39.61 $42.50 25.3% 7.3% 26.0% 25.5% 27.0% 0.1% 0.6% 8.0M 72.6M -2.4M 0.49 6.69 N/A N/A 22,591 11,182 344,387 243,869 2019-12-24 $39.84 $42.50 26.5% 7.7% 26.0% 30.2% 27.9% -0.1% 0.5% 9.4M 33.1M -2.6M 0.43 4.83 N/A N/A 21,127 9,132 352,844 244,593 2019-12-26 $40.12 $42.50 26.5% 7.8% 23.6% 33.1% 28.3% 0.2% 0.5% 11.2M 3.3M -2.6M 0.40 6.21 N/A N/A 20,041 8,105 358,009 247,913 2019-12-27 $40.22 $42.50 26.8% 7.9% 23.6% 34.4% 28.0% 0.2% 0.4% 9.8M -6.9M -2.6M 0.37 6.54 N/A N/A 18,392 6,880 360,874 251,551 2019-12-30 $40.76 $42.50 28.6% 8.4% 23.9% 42.2% 29.8% 1.1% 0.7% 9.1M -28.8M -2.6M 0.24 5.96 N/A N/A 34,588 8,253 354,203 245,990 2019-12-31 $41.11 $42.50 27.4% 7.9% 24.0% 37.0% 27.7% 0.6% 1.0% 11.8M -59.5M -2.6M 0.66 7.03 N/A N/A 19,101 12,544 358,492 249,817
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