OXY Options History — March 2020 In March 2020, OXY traded between $9.61 and $33.30. ATM implied volatility averaged 146.7%, placing in the 84.4% IV rank vs the trailing year. The 30-day expected move averaged 41.4%. IV traded below realized volatility by 56.8% (HV 20d: 203.5%). Max pain ranged from $12.50 to $38.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2020-03-26 : Highest Volume — 160,374 contracts2020-03-09 : Largest IV spike — 98.4% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 59.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.10 $9.61 $33.30 $32.48 $11.31 Max Pain $20.52 $12.50 $38.50 $38.50 $12.50 ATM IV 146.7% 51.1% 207.5% 58.0% 153.2% Expected Move 41.4% 15.9% 59.5% 18.3% 42.3% HV 20d 203.5% 53.6% 261.7% 55.1% 260.4% HV 60d 125.1% 39.2% 156.3% 39.2% 156.1% IV Rank 84.4% 62.3% 100.0% 75.5% 71.0% IV Percentile 98.4% 94.4% 100.0% 99.2% 94.4% Term Structure 5.3% -39.0% 160.3% -2.0% 56.6% VWIV 144.0% 54.6% 205.3% 64.9% 141.6% Skew 25d 33.6% 5.2% 171.1% 5.2% 33.7% Skew 10d 49.7% 8.9% 97.3% 8.9% 48.8% Call IV 25d 130.5% 50.4% 183.7% 56.7% 179.0% Put IV 25d 164.1% 57.0% 262.8% 61.9% 212.7% Bid-Ask Spread % 16.24 6.61 39.74 26.15 15.65 Gamma HHI 0.08 0.06 0.15 0.08 0.09 Net GEX 168.4K -343.7K 939.5K -343.7K 34.4K Net DEX 149.2M 57.9M 322.6M 242.6M 69.9M Net VEX -1.2M -2.4M -673.7K -2.2M -798.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.35 1.14 0.41 0.66 Total Volume 69,103.682 18,686 160,374 29,715 41,751 Total OI 602,798.318 464,135 755,257 464,135 676,307
Daily Data (22 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 2020-03-02 $32.48 $38.50 58.0% 18.3% 55.1% 75.5% 64.9% 5.2% -2.0% -343.7K 242.6M -2.2M 0.41 26.15 N/A N/A 21,123 8,592 288,962 175,173 2020-03-03 $33.30 $38.50 58.8% 19.0% 56.0% 77.2% 66.2% 5.7% -2.5% 503.0K 205.4M -2.4M 0.51 19.78 N/A N/A 15,470 7,889 299,491 179,242 2020-03-04 $32.68 $38.50 51.1% 15.9% 55.8% 62.3% 54.6% 6.6% -0.9% -147.2K 243.7M -2.2M 0.36 16.26 N/A N/A 13,799 4,907 306,450 184,173 2020-03-05 $31.32 $32.50 63.0% 16.3% 53.6% 85.3% 58.8% 9.5% -2.7% -227.2K 266.3M -2.1M 0.43 9.11 N/A N/A 13,029 5,657 312,471 184,612 2020-03-06 $26.76 $32.50 85.2% 22.1% 73.2% 100.0% 81.2% 15.6% -4.0% -340.7K 322.6M -1.6M 0.62 9.95 N/A N/A 45,767 28,315 317,217 186,223 2020-03-09 $14.02 $30.00 169.1% 45.4% 232.8% 100.0% 153.0% 27.0% 3.5% 102.1K 200.3M -775.0K 0.54 17.20 N/A N/A 60,517 32,474 320,056 190,873 2020-03-10 $14.36 $20.00 175.4% 36.1% 234.4% 100.0% 130.9% 13.6% -39.0% 189.9K 211.8M -709.5K 0.63 11.46 N/A N/A 74,421 47,014 351,817 196,220 2020-03-11 $11.88 $20.00 155.1% 40.6% 237.8% 87.0% 141.6% 33.0% 14.1% 122.8K 181.0M -673.7K 0.70 6.61 N/A N/A 55,241 38,558 379,420 213,601 2020-03-12 $11.62 $17.50 154.9% 52.9% 235.7% 86.9% 189.8% 171.1% -5.2% 231.2K 136.5M -931.4K 0.86 23.29 N/A N/A 71,538 61,843 396,668 235,656 2020-03-13 $13.03 $17.50 195.7% 47.8% 243.6% 100.0% 157.2% 61.0% 160.3% 347.6K 144.2M -1.0M 0.35 19.80 N/A N/A 54,671 18,957 410,372 244,323 2020-03-16 $12.22 $17.50 171.0% 48.5% 242.8% 86.1% 170.7% 34.1% -10.1% 384.1K 125.5M -988.5K 1.02 12.27 N/A N/A 19,782 20,191 395,524 232,799 2020-03-17 $11.11 $17.50 179.2% 51.5% 242.1% 90.7% 160.6% 37.8% -9.7% 84.5K 135.2M -813.2K 0.43 10.93 N/A N/A 24,216 10,358 400,616 235,300 2020-03-18 $10.07 $17.50 207.5% 59.5% 240.0% 100.0% 198.1% 37.4% -22.4% 46.7K 113.0M -815.6K 0.57 39.74 N/A N/A 42,070 24,091 407,946 232,802 2020-03-19 $10.39 $12.50 191.5% 55.3% 241.1% 91.5% 185.6% 43.3% -4.9% 31.1K 103.8M -846.3K 0.46 23.74 N/A N/A 32,758 15,118 428,677 234,378 2020-03-20 $10.10 $12.50 189.0% 53.1% 240.9% 90.1% 205.3% 47.9% 26.0% 285.1K 102.8M -798.1K 1.13 15.04 N/A N/A 27,339 30,836 435,872 236,936 2020-03-23 $9.61 $12.50 154.6% 49.2% 241.0% 71.8% 167.2% 35.7% 7.9% 152.1K 90.8M -725.2K 0.52 9.76 N/A N/A 18,072 9,416 369,594 211,154 2020-03-24 $10.30 $12.50 151.5% 42.3% 245.8% 70.1% 155.6% 26.6% -5.7% 238.7K 94.3M -740.1K 0.66 8.28 N/A N/A 33,778 22,169 376,660 212,837 2020-03-25 $12.35 $12.50 152.2% 45.0% 260.7% 70.4% 162.6% 42.9% -2.6% 739.4K 63.8M -1.0M 0.81 23.08 N/A N/A 65,517 53,131 390,860 224,087 2020-03-26 $12.56 $12.50 158.3% 47.1% 261.7% 73.7% 165.2% 13.2% -36.9% 939.5K 57.9M -1.1M 0.95 14.51 N/A N/A 82,352 78,022 410,049 267,478 2020-03-27 $11.68 $13.00 163.0% 48.6% 261.3% 76.3% 170.4% 22.5% -24.2% 225.2K 82.2M -1.2M 1.09 10.62 N/A N/A 44,382 48,307 434,705 320,552 2020-03-30 $11.01 $13.00 189.1% 53.4% 260.3% 90.2% 187.9% 16.9% 21.7% 106.9K 88.6M -1.1M 1.14 14.07 N/A N/A 45,358 51,485 421,853 331,557 2020-03-31 $11.31 $12.50 153.2% 42.3% 260.4% 71.0% 141.6% 33.7% 56.6% 34.4K 69.9M -798.3K 0.66 15.65 N/A N/A 25,180 16,571 360,554 315,753
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