OXY Options History — June 2020 In June 2020, OXY traded between $13.78 and $24.20. ATM implied volatility averaged 94.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded below realized volatility by 41.5% (HV 20d: 135.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.47.
Notable Days 2020-06-05 : Highest Volume — 425,066 contracts2020-06-08 : Largest IV spike — 22.8% change2020-06-11 : Highest IV Rank — 50.2%2020-06-11 : Largest Expected Move — 31.9%Monthly Statistics Metric Avg Min Max Open Close Price $18.72 $13.78 $24.20 $13.78 $18.20 Max Pain $16.73 $15.00 $17.50 $15.00 $17.50 ATM IV 94.0% 75.9% 116.7% 79.2% 86.4% Expected Move 26.6% 21.9% 31.9% 22.9% 24.2% HV 20d 135.5% 76.4% 154.0% 82.6% 150.5% HV 60d 124.4% 111.3% 174.9% 174.9% 112.4% IV Rank 37.7% 27.8% 50.2% 29.6% 33.5% IV Percentile 80.0% 74.6% 86.9% 77.0% 75.0% Term Structure -0.9% -7.3% 3.4% 0.3% 2.5% VWIV 94.3% 78.4% 114.5% 82.0% 82.4% Skew 25d 1.9% -14.5% 9.4% 7.0% 9.4% Skew 10d 4.3% -18.0% 13.4% 9.4% 13.4% Call IV 25d 95.7% 76.4% 123.7% 79.1% 82.0% Put IV 25d 97.6% 80.1% 116.9% 86.1% 91.4% Bid-Ask Spread % 7.64 4.10 17.78 6.91 5.75 Gamma HHI 0.11 0.07 0.25 0.08 0.10 Net GEX 4.0M 915.7K 7.7M 915.7K 3.3M Net DEX -227.0M -672.1M 37.2M 37.2M -84.9M Net VEX -1.7M -2.3M -1.2M -1.2M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.23 1.05 0.34 0.32 Total Volume 106,407.909 39,674 425,066 60,664 55,187 Total OI 983,548.955 823,076 1,151,976 877,158 853,807
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 2020-06-01 $13.78 $15.00 79.2% 22.9% 82.6% 29.6% 82.0% 7.0% 0.3% 915.7K 37.2M -1.2M 0.34 6.91 N/A N/A 45,172 15,492 441,257 435,901 2020-06-02 $14.61 $15.00 75.9% 22.5% 85.5% 27.8% 80.6% 6.1% 0.8% 2.9M -22.6M -1.3M 0.33 5.74 N/A N/A 43,796 14,430 453,571 442,316 2020-06-03 $15.43 $15.00 76.8% 21.9% 87.8% 28.3% 78.4% 2.7% -2.6% 4.7M -84.8M -1.4M 0.23 6.61 N/A N/A 59,975 13,774 461,703 447,621 2020-06-04 $15.47 $15.00 78.0% 22.7% 76.4% 28.9% 79.9% 5.1% -0.7% 5.1M -43.2M -1.7M 0.41 13.47 N/A N/A 56,779 23,535 560,461 494,329 2020-06-05 $20.34 $15.00 92.3% 25.2% 121.8% 36.8% 90.7% -4.9% -2.8% 5.3M -456.2M -1.7M 0.63 13.28 N/A N/A 261,209 163,857 480,674 460,855 2020-06-08 $24.20 $16.00 113.3% 29.9% 132.1% 48.3% 109.0% -14.5% -7.3% 5.1M -672.1M -2.0M 0.33 9.94 N/A N/A 227,610 75,744 496,868 484,293 2020-06-09 $23.38 $16.00 112.2% 31.0% 133.6% 47.7% 110.9% -12.1% -2.7% 6.0M -616.3M -2.1M 0.46 6.02 N/A N/A 107,576 49,314 544,181 513,449 2020-06-10 $21.12 $16.00 105.0% 28.5% 140.1% 43.7% 100.8% -7.6% -5.1% 5.2M -436.1M -2.0M 0.31 14.25 N/A N/A 91,139 28,244 559,001 524,936 2020-06-11 $17.61 $17.50 116.7% 31.9% 152.1% 50.2% 114.5% -7.5% -7.3% 2.6M -141.9M -1.8M 1.05 17.78 N/A N/A 111,508 117,157 570,714 535,957 2020-06-12 $18.34 $17.50 110.5% 31.1% 152.4% 46.7% 110.2% 5.7% -3.0% 2.5M -182.6M -1.9M 0.74 10.31 N/A N/A 69,591 51,200 581,943 570,033 2020-06-15 $18.93 $17.50 100.4% 28.8% 152.5% 41.2% 102.6% 6.9% -1.4% 4.1M -238.6M -1.8M 0.52 4.96 N/A N/A 55,415 28,801 532,857 530,365 2020-06-16 $20.13 $17.50 101.9% 29.2% 151.3% 42.0% 102.9% 4.1% -2.3% 4.9M -352.5M -1.9M 0.36 5.71 N/A N/A 61,722 22,456 545,004 537,293 2020-06-17 $19.28 $17.50 99.2% 28.4% 151.4% 40.6% 100.3% 2.6% -1.1% 4.8M -290.2M -1.8M 0.44 5.72 N/A N/A 32,004 14,193 562,183 542,978 2020-06-18 $19.62 $17.50 96.9% 27.8% 151.2% 39.3% 97.4% 3.5% 0.7% 5.1M -333.6M -1.8M 0.43 4.67 N/A N/A 40,041 17,388 565,715 544,451 2020-06-19 $20.18 $17.50 90.9% 25.9% 149.5% 36.0% 92.5% 4.4% 1.8% 7.7M -375.4M -1.8M 0.45 5.36 N/A N/A 58,438 26,305 571,716 547,842 2020-06-22 $19.84 $17.50 89.4% 25.1% 149.7% 35.2% 89.3% 4.2% 0.2% 4.3M -212.7M -1.7M 0.37 6.26 N/A N/A 35,374 13,072 415,048 408,028 2020-06-23 $19.66 $17.50 83.3% 23.4% 150.0% 31.8% 84.1% 3.5% 2.7% 5.0M -165.5M -2.3M 0.44 5.87 N/A N/A 27,600 12,074 525,222 459,244 2020-06-24 $18.07 $17.50 91.1% 26.3% 154.0% 36.1% 93.5% 5.9% 3.4% 2.5M -95.2M -1.6M 0.69 6.13 N/A N/A 45,500 31,561 433,390 417,045 2020-06-25 $18.46 $17.50 88.8% 25.8% 152.7% 34.9% 89.6% 3.1% 1.0% 2.7M -112.1M -1.7M 0.34 4.52 N/A N/A 34,868 11,765 439,711 432,098 2020-06-26 $17.55 $17.50 91.4% 26.7% 152.3% 36.3% 95.3% 6.1% 2.4% 1.2M -52.2M -1.6M 0.63 4.68 N/A N/A 28,784 18,245 443,252 434,704 2020-06-29 $17.74 $17.50 89.0% 25.6% 151.4% 35.0% 87.5% 8.4% 1.7% 2.1M -62.8M -1.6M 0.51 4.10 N/A N/A 28,624 14,455 415,552 420,509 2020-06-30 $18.20 $17.50 86.4% 24.2% 150.5% 33.5% 82.4% 9.4% 2.5% 3.3M -84.9M -1.6M 0.32 5.75 N/A N/A 41,874 13,313 426,095 427,712
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