OXY Options History — January 2020 In January 2020, OXY traded between $39.74 and $47.35. ATM implied volatility averaged 30.2%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.7% (HV 20d: 24.6%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.57.
Notable Days 2020-01-06 : Highest Volume — 104,647 contracts2020-01-17 : Largest IV drop — 14.4% change2020-01-31 : Highest IV Rank — 77.5%2020-01-31 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $43.90 $39.74 $47.35 $42.55 $39.74 Max Pain $42.26 $40.00 $42.50 $42.50 $42.50 ATM IV 30.2% 25.5% 36.7% 26.2% 36.7% Expected Move 8.6% 7.2% 9.9% 7.5% 9.9% HV 20d 24.6% 17.2% 30.6% 25.1% 28.0% HV 60d 32.8% 31.0% 33.9% 32.6% 31.0% IV Rank 49.5% 28.8% 77.5% 32.0% 77.5% IV Percentile 56.7% 17.5% 92.5% 19.8% 92.5% Term Structure 1.2% -1.0% 3.8% 0.9% -0.2% VWIV 30.8% 26.0% 34.8% 26.7% 34.8% Skew 25d 0.7% -0.5% 2.7% 0.5% 2.7% Skew 10d 1.5% -0.4% 5.0% 0.8% 5.0% Call IV 25d 30.4% 26.0% 35.9% 26.3% 35.9% Put IV 25d 31.2% 26.3% 38.5% 26.9% 38.5% Bid-Ask Spread % 4.27 3.05 8.34 4.76 8.34 Gamma HHI 0.12 0.09 0.17 0.17 0.09 Net GEX 12.6M -896.7K 24.6M 15.6M -896.7K Net DEX -324.9M -741.4M 81.9M -230.9M 81.9M Net VEX -2.7M -2.8M -2.5M -2.6M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.19 1.42 0.25 1.05 Total Volume 41,649.095 16,702 104,647 59,872 29,219 Total OI 565,570 409,181 709,826 614,595 460,939
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 2020-01-02 $42.55 $42.50 26.2% 7.5% 25.1% 32.0% 26.7% 0.5% 0.9% 15.6M -230.9M -2.6M 0.25 4.76 N/A N/A 47,807 12,065 362,138 252,457 2020-01-03 $43.57 $42.50 29.1% 8.5% 25.8% 44.5% 30.1% 0.0% -0.1% 15.2M -363.6M -2.6M 0.19 3.51 N/A N/A 59,284 11,421 371,104 254,646 2020-01-06 $45.09 $40.00 31.1% 9.4% 26.6% 53.2% 33.8% 0.2% 1.8% 16.3M -473.1M -2.6M 0.33 4.23 N/A N/A 78,395 26,252 366,432 250,674 2020-01-07 $45.20 $40.00 30.4% 9.5% 25.9% 50.1% 34.6% -0.5% 3.8% 18.9M -502.5M -2.7M 0.25 3.56 N/A N/A 44,139 10,987 389,474 256,021 2020-01-08 $45.02 $42.50 28.6% 9.0% 19.3% 42.2% 31.8% 0.4% 3.1% 18.4M -484.4M -2.7M 0.35 5.52 N/A N/A 42,156 14,561 399,706 260,326 2020-01-09 $45.20 $42.50 29.0% 8.9% 19.3% 44.2% 31.8% 0.9% 3.2% 19.5M -502.3M -2.8M 0.31 5.84 N/A N/A 27,378 8,547 411,395 267,526 2020-01-10 $45.89 $42.50 29.4% 9.0% 19.0% 45.7% 31.9% -0.2% 3.1% 24.6M -602.4M -2.7M 0.40 4.20 N/A N/A 27,709 11,116 410,794 270,182 2020-01-13 $46.44 $42.50 30.6% 8.8% 18.8% 51.1% 31.4% 0.3% -0.5% 20.4M -618.2M -2.7M 0.39 4.85 N/A N/A 28,153 10,911 401,178 264,015 2020-01-14 $47.35 $42.50 31.9% 9.0% 17.2% 56.7% 32.0% 0.2% -1.0% 23.6M -741.4M -2.8M 0.38 3.24 N/A N/A 36,407 13,882 408,104 267,013 2020-01-15 $47.20 $42.50 31.3% 8.8% 17.9% 54.3% 31.9% 0.8% -0.6% 21.4M -710.0M -2.8M 0.42 3.05 N/A N/A 29,048 12,148 414,894 271,721 2020-01-16 $46.76 $42.50 29.8% 8.5% 18.8% 47.5% 30.6% 0.4% -0.3% 21.3M -667.5M -2.8M 0.81 4.70 N/A N/A 13,262 10,732 426,004 273,928 2020-01-17 $45.85 $42.50 25.5% 7.2% 21.5% 28.8% 26.0% 0.3% -0.4% 14.7M -546.2M -2.7M 0.57 3.49 N/A N/A 26,211 14,993 429,844 279,982 2020-01-21 $44.47 $42.50 27.5% 7.9% 25.4% 37.6% 28.1% 1.1% 2.7% 9.9M -229.3M -2.7M 0.72 5.15 N/A N/A 16,968 12,178 249,841 159,340 2020-01-22 $43.27 $42.50 28.3% 8.1% 28.2% 41.0% 28.9% 1.0% 3.1% 6.4M -125.3M -2.6M 0.52 3.84 N/A N/A 25,223 13,141 250,035 161,847 2020-01-23 $42.58 $42.50 30.0% 8.5% 28.7% 48.6% 30.7% 1.0% 2.1% 5.5M -86.4M -2.7M 0.72 3.60 N/A N/A 20,285 14,675 263,464 166,652 2020-01-24 $42.09 $42.50 29.9% 8.4% 29.2% 48.1% 29.9% 0.7% 2.2% 4.5M -61.0M -2.6M 0.70 3.24 N/A N/A 14,252 9,938 275,014 169,131 2020-01-27 $41.27 $42.50 32.9% 8.9% 30.2% 61.0% 31.7% 1.5% 0.1% 2.8M -12.3M -2.6M 1.42 3.42 N/A N/A 12,055 17,169 266,664 165,817 2020-01-28 $41.33 $42.50 31.6% 8.3% 30.2% 55.3% 29.3% 1.4% 0.4% 3.2M -18.2M -2.6M 0.77 3.29 N/A N/A 9,461 7,241 270,138 167,518 2020-01-29 $40.58 $42.50 31.4% 8.3% 30.6% 54.7% 29.4% 1.2% 0.7% 1.4M 36.0M -2.5M 0.44 3.57 N/A N/A 13,454 5,920 274,641 168,709 2020-01-30 $40.48 $42.50 33.7% 8.8% 30.4% 64.8% 31.8% 1.3% 0.3% 1.5M 34.5M -2.6M 0.88 4.20 N/A N/A 19,065 16,823 278,563 169,099 2020-01-31 $39.74 $42.50 36.7% 9.9% 28.0% 77.5% 34.8% 2.7% -0.2% -896.7K 81.9M -2.6M 1.05 8.34 N/A N/A 14,256 14,963 283,951 176,988
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