OXY Options History — May 2020 In May 2020, OXY traded between $13.01 and $15.36. ATM implied volatility averaged 89.5%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded below realized volatility by 4.8% (HV 20d: 94.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.94.
Notable Days 2020-05-06 : Highest Volume — 133,175 contracts2020-05-13 : Largest IV spike — 21.8% change2020-05-04 : Highest IV Rank — 43.7%2020-05-01 : Largest Expected Move — 33.6%Monthly Statistics Metric Avg Min Max Open Close Price $14.38 $13.01 $15.36 $15.23 $13.01 Max Pain $15.13 $15.00 $17.50 $17.50 $15.00 ATM IV 89.5% 78.2% 104.7% 104.4% 85.5% Expected Move 25.9% 23.2% 33.6% 33.6% 23.8% HV 20d 94.3% 82.4% 102.1% 94.8% 84.1% HV 60d 173.4% 170.9% 175.0% 170.9% 174.3% IV Rank 35.3% 29.0% 43.7% 43.5% 33.1% IV Percentile 82.1% 77.4% 86.5% 86.5% 81.0% Term Structure 1.1% -2.5% 10.5% 4.4% 1.2% VWIV 92.1% 81.3% 125.1% 125.1% 85.1% Skew 25d 10.4% 1.7% 15.1% 6.8% 4.2% Skew 10d 23.6% 4.5% 49.0% 31.1% 4.5% Call IV 25d 86.8% 76.8% 108.3% 104.2% 85.6% Put IV 25d 97.2% 85.1% 115.0% 111.0% 89.8% Bid-Ask Spread % 7.40 3.20 17.67 4.31 15.47 Gamma HHI 0.12 0.08 0.41 0.09 0.11 Net GEX -8.4K -4.6M 1.6M 685.9K -1.2M Net DEX 38.9M -5.6M 106.3M 8.2M 72.7M Net VEX -1.1M -1.3M -1.1M -1.3M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.10 1.84 1.84 0.98 Total Volume 66,155.65 29,441 133,175 68,752 130,686 Total OI 847,547 689,039 953,278 904,670 865,212
Daily Data (20 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 2020-05-01 $15.23 $17.50 104.4% 33.6% 94.8% 43.5% 125.1% 6.8% 4.4% 685.9K 8.2M -1.3M 1.84 4.31 N/A N/A 24,246 44,506 416,435 488,235 2020-05-04 $15.36 $15.00 104.7% 29.7% 94.8% 43.7% 104.2% 13.4% -1.3% 588.6K 15.1M -1.2M 1.36 3.20 N/A N/A 20,411 27,748 392,290 457,966 2020-05-05 $15.18 $15.00 100.6% 28.1% 93.9% 41.4% 101.6% 6.7% 10.5% 346.9K 27.2M -1.2M 1.21 5.08 N/A N/A 33,522 40,394 399,093 471,482 2020-05-06 $13.53 $15.00 101.4% 30.1% 102.1% 41.9% 101.6% 14.7% 0.4% -1.3M 103.2M -1.1M 1.26 9.20 N/A N/A 58,831 74,344 407,306 486,222 2020-05-07 $13.82 $15.00 93.0% 25.5% 97.4% 37.3% 96.0% 10.8% 0.5% -1.2M 84.0M -1.1M 0.88 3.42 N/A N/A 33,929 29,703 423,310 494,219 2020-05-08 $14.97 $15.00 84.3% 25.1% 102.0% 32.6% 91.8% 14.3% 3.8% 649.0K 20.8M -1.2M 0.89 7.71 N/A N/A 38,309 34,195 430,931 504,686 2020-05-11 $15.07 $15.00 82.3% 24.4% 102.0% 31.4% 88.5% 11.7% 2.1% 627.9K 20.0M -1.1M 1.06 5.85 N/A N/A 14,271 15,170 418,974 492,224 2020-05-12 $14.78 $15.00 80.2% 24.1% 101.5% 30.3% 84.2% 10.3% 2.5% 207.8K 31.6M -1.1M 1.10 5.40 N/A N/A 17,837 19,633 424,663 497,569 2020-05-13 $13.43 $15.00 97.7% 27.5% 101.8% 39.9% 99.4% 10.4% -2.5% -2.4M 106.3M -1.1M 1.79 4.63 N/A N/A 28,246 50,520 427,980 505,940 2020-05-14 $13.68 $15.00 96.9% 27.2% 95.1% 39.4% 98.3% 13.8% -2.4% -1.5M 85.0M -1.1M 0.93 6.42 N/A N/A 20,402 19,040 435,020 511,824 2020-05-15 $13.86 $15.00 91.8% 26.2% 91.0% 36.6% 94.1% 11.9% -0.5% -4.6M 84.0M -1.1M 1.74 5.92 N/A N/A 24,999 43,484 437,923 515,355 2020-05-18 $15.10 $15.00 88.4% 25.5% 93.1% 34.8% 91.5% 15.1% -0.5% 1.1M -5.3M -1.2M 0.79 9.95 N/A N/A 42,213 33,329 313,242 375,797 2020-05-19 $14.49 $15.00 86.3% 24.7% 93.9% 33.6% 84.1% 15.0% -0.2% 921.5K 17.7M -1.2M 0.64 5.56 N/A N/A 20,811 13,385 331,271 393,298 2020-05-20 $14.99 $15.00 82.7% 23.7% 92.3% 31.7% 82.6% 14.2% 0.2% 1.6M -5.6M -1.2M 0.44 6.26 N/A N/A 36,049 15,811 341,100 399,062 2020-05-21 $14.28 $15.00 84.6% 24.2% 91.7% 32.7% 82.7% 10.2% 1.0% 1.0M 23.1M -1.2M 0.52 5.38 N/A N/A 25,938 13,550 359,939 407,773 2020-05-22 $14.14 $15.00 81.8% 23.5% 91.8% 31.0% 83.0% 4.4% 0.1% 366.4K 31.7M -1.2M 0.63 6.82 N/A N/A 25,884 16,363 371,123 414,375 2020-05-26 $14.43 $15.00 82.8% 23.6% 91.7% 31.5% 85.5% 11.1% 2.1% 1.5M 12.8M -1.2M 0.34 9.01 N/A N/A 34,326 11,748 358,972 385,334 2020-05-27 $14.39 $15.00 81.7% 23.3% 88.6% 31.0% 82.3% 7.5% -0.7% 1.6M 10.6M -1.2M 0.10 10.80 N/A N/A 110,428 10,987 371,818 392,206 2020-05-28 $13.78 $15.00 78.2% 23.2% 82.4% 29.0% 81.3% 1.7% 1.4% 881.1K 34.5M -1.2M 0.39 17.67 N/A N/A 48,919 18,946 432,527 398,244 2020-05-29 $13.01 $15.00 85.5% 23.8% 84.1% 33.1% 85.1% 4.2% 1.2% -1.2M 72.7M -1.1M 0.98 15.47 N/A N/A 65,876 64,810 455,193 410,019
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