OXY Options History — February 2020

In February 2020, OXY traded between $32.17 and $42.91. ATM implied volatility averaged 42.0%, placing in the 86.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 7.7% (HV 20d: 34.4%). Max pain ranged from $38.50 to $42.50. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-02-27: Highest Volume — 76,788 contracts
  • 2020-02-28: Largest IV spike — 20.0% change
  • 2020-02-24: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$32.17$42.91$40.20$32.19
Max Pain$42.03$38.50$42.50$42.50$38.50
ATM IV42.0%35.7%70.6%36.6%70.6%
Expected Move12.2%9.5%21.9%9.7%21.9%
HV 20d34.4%23.1%54.7%26.8%54.7%
HV 60d30.1%26.7%39.3%29.1%39.3%
IV Rank86.6%73.2%100.0%77.0%100.0%
IV Percentile95.5%88.1%100.0%92.1%100.0%
Term Structure-1.0%-5.6%2.6%2.6%-5.6%
VWIV42.3%33.5%72.5%34.2%72.5%
Skew 25d3.0%1.4%6.0%2.6%6.0%
Skew 10d4.7%0.8%16.6%5.3%16.6%
Call IV 25d40.8%34.8%68.7%35.8%68.7%
Put IV 25d43.7%36.7%74.7%38.4%74.7%
Bid-Ask Spread %7.892.5042.484.1042.48
Gamma HHI0.090.080.120.110.08
Net GEX3.2M-1.7M9.0M1.1M-680.9K
Net DEX-10.0M-220.5M315.6M37.2M278.5M
Net VEX-2.6M-2.8M-2.0M-2.6M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.330.990.740.75
Total Volume31,374.47412,37576,78815,31247,534
Total OI478,536.053398,066525,588452,050493,061

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$40.20$42.5036.6%9.7%26.8%77.0%34.2%2.6%2.6%1.1M37.2M-2.6M0.744.10N/AN/A8,8116,501276,249175,801
2020-02-04$40.47$42.5035.8%9.5%23.1%73.9%33.5%2.0%2.5%2.2M16.7M-2.6M0.334.40N/AN/A19,7396,439279,759176,684
2020-02-05$42.09$42.5036.1%9.5%27.9%75.2%33.8%2.0%1.7%7.6M-135.4M-2.8M0.493.70N/AN/A18,8779,287290,523179,024
2020-02-06$42.17$42.5035.7%10.5%28.0%73.2%36.0%1.4%2.6%7.9M-144.2M-2.8M0.996.26N/AN/A7,8167,731297,299183,019
2020-02-07$41.89$42.5035.9%10.6%27.9%74.4%37.4%2.1%2.2%5.8M-108.5M-2.8M0.806.49N/AN/A6,8755,500299,266186,786
2020-02-10$40.39$42.5039.1%11.1%29.2%87.9%38.2%2.2%-0.8%972.5K27.9M-2.6M0.643.39N/AN/A17,85411,344292,688183,195
2020-02-11$41.10$42.5039.3%11.2%29.7%88.9%38.3%2.6%-0.1%2.5M-36.4M-2.7M0.829.53N/AN/A14,62911,991298,468188,374
2020-02-12$42.47$42.5039.1%10.7%31.6%87.9%37.2%2.5%-1.2%7.3M-172.2M-2.8M0.583.47N/AN/A14,6238,497302,556193,179
2020-02-13$42.01$42.5039.5%10.7%31.6%89.8%37.1%2.2%-2.7%5.0M-119.3M-2.8M0.523.62N/AN/A17,2999,024306,683197,844
2020-02-14$41.72$42.5037.6%10.4%31.6%81.5%36.8%2.0%-2.9%2.4M-81.1M-2.8M0.794.83N/AN/A7,7576,128314,591204,629
2020-02-18$41.55$42.5037.5%10.7%31.2%81.2%37.3%3.0%-1.2%1.5M-62.5M-2.7M0.672.50N/AN/A14,5179,708302,029199,619
2020-02-19$42.52$42.5037.4%10.7%31.1%80.7%37.1%2.5%-2.1%5.6M-170.9M-2.8M0.503.89N/AN/A18,2139,169306,507204,624
2020-02-20$42.91$42.5038.4%11.1%29.9%85.1%38.3%3.0%-2.7%9.0M-220.5M-2.8M0.444.57N/AN/A15,7826,892312,346206,825
2020-02-21$42.09$42.5039.4%11.6%30.1%89.4%40.4%3.8%-2.3%3.9M-117.3M-2.8M0.374.53N/AN/A23,0058,562316,165209,423
2020-02-24$39.84$42.5042.9%13.0%35.7%100.0%44.7%4.0%-1.8%2.3M24.8M-2.7M0.776.47N/AN/A17,49413,410244,913153,153
2020-02-25$36.25$42.5048.9%15.2%48.1%100.0%52.5%1.8%-1.8%-1.2M200.6M-2.4M0.559.37N/AN/A38,05020,937252,971160,943
2020-02-26$34.45$40.0050.3%15.5%50.5%100.0%53.4%4.5%-2.3%-1.7M276.3M-2.2M0.3711.82N/AN/A43,24616,086268,609172,459
2020-02-27$32.17$40.0058.8%18.6%54.6%100.0%64.3%5.6%-2.2%-1.2M315.6M-2.0M0.7414.51N/AN/A44,01432,774283,629178,292
2020-02-28$32.19$38.5070.6%21.9%54.7%100.0%72.5%6.0%-5.6%-680.9K278.5M-2.2M0.7542.48N/AN/A27,13620,398302,893190,168