OXY Options History — July 2020 In July 2020, OXY traded between $15.68 and $18.06. ATM implied volatility averaged 79.9%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 7.6% (HV 20d: 72.4%). Max pain ranged from $16.00 to $72.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.54.
Notable Days 2020-07-01 : Highest Volume — 103,781 contracts2020-07-02 : Largest IV drop — 100.0% change2020-07-09 : Highest IV Rank — 45.0%2020-07-13 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $16.81 $15.68 $18.06 $17.69 $15.68 Max Pain $20.64 $16.00 $72.50 $17.50 $17.00 ATM IV 79.9% 68.9% 107.4% 83.0% 72.4% Expected Move 23.0% 20.4% 24.9% 24.4% 22.0% HV 20d 72.4% 51.6% 150.2% 150.2% 58.7% HV 60d 107.4% 101.8% 112.3% 112.3% 101.8% IV Rank 30.0% 23.9% 45.0% 31.7% 25.9% IV Percentile 67.1% 60.2% 84.9% 72.2% 60.2% Term Structure -1.3% -23.2% 3.8% 1.6% -0.6% VWIV 79.7% 71.4% 86.8% 83.8% 77.2% Skew 25d 8.1% 2.4% 38.6% 6.7% 9.4% Skew 10d 17.0% 8.1% 70.9% 12.5% 13.7% Call IV 25d 77.3% 69.6% 86.7% 81.8% 71.3% Put IV 25d 85.4% 72.5% 125.3% 88.5% 80.7% Bid-Ask Spread % 36.57 14.26 59.33 14.26 19.23 Gamma HHI 0.15 0.09 0.22 0.10 0.12 Net GEX 972.8K -261.3K 2.9M 2.9M -147.3K Net DEX -11.4M -85.0M 33.4M -55.3M 4.4M Net VEX -304.9K -1.5M -23.7K -1.5M -281.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.00 1.16 1.01 1.03 Total Volume 27,649.682 804 103,781 103,781 24,484 Total OI 176,621.364 4,595 877,350 877,350 173,925
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 2020-07-01 $17.69 $17.50 83.0% 24.4% 150.2% 31.7% 83.8% 6.7% 1.6% 2.9M -55.3M -1.5M 1.01 14.26 N/A N/A 51,681 52,100 443,331 434,019 2020-07-02 $17.77 $72.50 0.0% 0.0% 150.2% 0.0% 0.0% 0.0% 0.0% -10.0K 2.2M -23.7K 0.00 21.06 N/A N/A 804 0 1,201 3,394 2020-07-06 $18.06 $16.00 79.0% 23.3% 112.7% 29.5% 77.6% 10.0% -4.6% 2.5M -85.0M -909.1K 0.32 17.50 N/A N/A 21,846 7,068 229,781 172,894 2020-07-07 $17.20 $26.00 81.0% 23.6% 91.3% 30.6% 83.8% 9.7% -0.1% 34.7K 19.6M -468.1K 1.13 56.00 N/A N/A 6,028 6,803 99,011 187,723 2020-07-08 $17.35 $24.00 84.5% 24.0% 91.5% 32.5% 79.3% 8.7% -1.5% -261.3K 30.1M -372.8K 0.33 56.04 N/A N/A 10,804 3,615 75,215 182,628 2020-07-09 $16.38 $22.00 107.4% 24.4% 87.2% 45.0% 84.3% 38.6% -23.2% -75.9K 23.9M -285.3K 0.87 57.70 N/A N/A 8,165 7,124 63,998 159,692 2020-07-10 $16.62 $21.00 78.7% 23.3% 60.5% 29.3% 79.7% 7.1% 0.7% -182.2K 33.4M -214.6K 1.16 57.50 N/A N/A 5,157 5,957 46,895 130,385 2020-07-13 $16.31 $17.00 84.8% 24.9% 58.4% 32.6% 85.0% 4.9% 1.4% 158.3K -314.2K -78.4K 0.26 59.33 N/A N/A 17,225 4,432 29,979 19,261 2020-07-14 $16.70 $17.00 82.6% 24.6% 57.8% 31.4% 86.7% 6.9% 3.8% 507.2K -8.1M -99.1K 0.27 35.22 N/A N/A 14,257 3,909 40,202 22,578 2020-07-15 $17.20 $17.00 84.6% 24.8% 53.8% 32.6% 86.8% 7.3% 3.3% 945.1K -15.4M -112.8K 0.31 37.53 N/A N/A 24,682 7,679 46,207 25,204 2020-07-16 $17.05 $17.00 83.0% 23.7% 52.2% 31.7% 82.1% 5.3% -0.7% 1.1M -19.3M -157.3K 0.86 42.80 N/A N/A 8,862 7,601 58,096 26,612 2020-07-17 $16.35 $17.00 78.1% 22.6% 52.9% 29.0% 78.3% 2.4% -0.1% 436.9K -7.4M -162.4K 0.58 41.05 N/A N/A 10,940 6,378 60,608 31,173 2020-07-20 $15.82 $17.00 75.9% 21.8% 51.6% 27.8% 77.0% 8.0% -3.4% 368.9K -5.0M -160.7K 0.37 28.14 N/A N/A 24,888 9,218 46,946 24,445 2020-07-21 $17.37 $17.00 79.7% 22.9% 63.7% 29.9% 77.8% 6.7% -1.3% 1.5M -34.9M -211.9K 0.13 29.33 N/A N/A 88,772 11,389 63,431 33,526 2020-07-22 $16.96 $17.00 76.8% 22.0% 64.0% 28.3% 78.8% 6.5% 1.2% 2.8M -33.4M -234.6K 0.67 30.78 N/A N/A 16,909 11,394 96,680 40,268 2020-07-23 $16.74 $17.00 76.0% 21.8% 57.3% 27.8% 77.0% 5.7% -1.0% 2.7M -22.8M -234.4K 0.49 35.25 N/A N/A 11,146 5,429 98,619 44,394 2020-07-24 $16.74 $17.00 76.6% 22.0% 56.5% 28.1% 77.1% 5.6% -1.5% 1.5M -19.0M -236.8K 0.49 43.96 N/A N/A 10,792 5,292 101,300 46,525 2020-07-27 $16.59 $17.00 75.0% 22.2% 53.9% 27.3% 77.0% 6.2% -0.3% 947.1K -16.0M -225.7K 0.35 28.98 N/A N/A 15,126 5,258 73,521 40,988 2020-07-28 $16.38 $17.00 75.8% 22.2% 53.8% 27.7% 75.8% 4.2% -2.9% 1.1M -13.2M -228.6K 0.31 32.62 N/A N/A 14,149 4,338 80,331 44,172 2020-07-29 $16.96 $17.00 68.9% 20.4% 54.6% 23.9% 71.4% 2.9% 1.6% 2.2M -26.6M -246.4K 0.36 30.87 N/A N/A 14,098 5,011 88,308 47,050 2020-07-30 $15.82 $17.00 74.3% 22.1% 58.9% 26.9% 78.0% 7.1% 0.2% 467.2K -3.2M -250.9K 0.66 29.30 N/A N/A 22,595 14,888 98,470 52,684 2020-07-31 $15.68 $17.00 72.4% 22.0% 58.7% 25.9% 77.2% 9.4% -0.6% -147.3K 4.4M -281.6K 1.03 19.23 N/A N/A 12,053 12,431 110,359 63,566
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