OXY Options History — August 2020

In August 2020, OXY traded between $12.81 and $16.37. ATM implied volatility averaged 65.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 11.5% (HV 20d: 54.4%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2020-08-17: Highest Volume — 113,327 contracts
  • 2020-08-26: Largest IV spike — 10.0% change
  • 2020-08-03: Highest IV Rank — 28.7%
  • 2020-08-03: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.34$12.81$16.37$15.40$12.81
Max Pain$15.62$15.00$17.00$17.00$15.00
ATM IV65.9%58.1%77.5%77.5%67.2%
Expected Move19.1%16.6%23.7%23.7%19.0%
HV 20d54.4%46.1%62.5%58.3%47.1%
HV 60d97.6%76.8%101.8%101.8%76.8%
IV Rank22.3%18.0%28.7%28.7%23.0%
IV Percentile56.5%51.4%63.7%63.7%56.2%
Term Structure-0.2%-3.6%1.5%-1.4%-1.4%
VWIV68.1%60.2%84.7%84.7%67.2%
Skew 25d1.5%-2.5%8.2%2.3%4.1%
Skew 10d3.7%-5.5%18.3%3.3%4.3%
Call IV 25d67.4%60.7%76.9%76.9%67.0%
Put IV 25d69.0%62.5%80.5%79.2%71.1%
Bid-Ask Spread %9.412.0729.9520.022.76
Gamma HHI0.120.090.160.120.12
Net GEX718.3K-232.5K1.8M236.8K814.9K
Net DEX314.9K-59.0M33.8M3.8M8.9M
Net VEX-691.1K-873.5K-288.7K-288.7K-852.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.110.630.520.11
Total Volume54,742.76227,429113,32741,27354,001
Total OI354,877.762159,479476,713159,479446,722

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$15.40$17.0077.5%23.7%58.3%28.7%84.7%2.3%-1.4%236.8K3.8M-288.7K0.5220.02N/AN/A27,19714,07697,11162,368
2020-08-04$15.70$16.0075.2%22.6%56.9%27.4%80.2%8.2%-2.0%315.1K-902.9K-303.5K0.292.87N/AN/A46,09213,270100,16269,652
2020-08-05$15.93$16.0071.1%22.5%57.1%25.1%78.6%5.0%-3.6%827.1K-20.4M-418.7K0.133.03N/AN/A51,1666,544125,45778,630
2020-08-06$15.47$16.0071.4%20.3%54.5%25.3%70.6%2.9%-0.5%160.0K-11.8M-498.2K0.4318.75N/AN/A19,1228,307150,56485,467
2020-08-07$15.43$16.0073.8%21.3%54.1%26.6%74.2%2.6%-1.0%702.4K-16.3M-510.5K0.2929.95N/AN/A50,72314,552158,29186,948
2020-08-10$16.37$16.0072.9%20.8%58.1%26.1%73.5%1.8%0.5%1.8M-59.0M-683.6K0.1718.28N/AN/A61,45610,577174,93386,846
2020-08-11$15.26$16.0067.6%19.2%62.5%23.2%68.9%1.8%-0.4%1.0M-22.4M-667.8K0.3128.58N/AN/A68,83221,003209,84994,118
2020-08-12$14.97$16.0065.2%18.7%61.3%21.9%68.4%-0.7%-0.2%369.5K-12.6M-713.0K0.6311.29N/AN/A43,80227,474228,749100,821
2020-08-13$14.59$16.0060.5%17.6%61.7%19.3%63.9%-0.5%1.5%-232.5K11.3M-725.9K0.406.95N/AN/A32,51113,065247,181117,990
2020-08-14$14.65$16.0060.4%17.3%60.5%19.2%63.0%-0.1%0.1%411.4K14.8M-729.2K0.4418.10N/AN/A27,39611,936257,636122,940
2020-08-17$13.91$16.0062.4%18.1%62.0%20.3%65.5%-2.5%-1.8%33.7K22.9M-690.0K0.242.68N/AN/A91,43421,893240,413113,886
2020-08-18$13.97$15.0060.5%17.3%49.8%19.3%62.7%-1.2%1.5%1.1M1.4M-801.8K0.262.19N/AN/A37,5209,864293,269127,050
2020-08-19$13.78$15.0060.3%17.3%49.6%19.2%62.2%-0.6%0.8%841.8K11.2M-801.7K0.202.40N/AN/A38,2507,797306,715130,595
2020-08-20$13.49$16.0063.8%18.3%49.7%21.1%66.0%1.2%-0.2%550.2K22.3M-803.8K0.453.07N/AN/A32,43214,728314,006135,526
2020-08-21$13.11$15.0063.1%18.1%49.9%20.7%64.1%2.4%-1.0%346.4K33.8M-793.5K0.415.22N/AN/A35,70814,626331,892143,568
2020-08-24$13.56$15.0062.6%17.3%52.5%20.5%62.4%1.2%0.1%1.2M-5.3M-835.9K0.256.99N/AN/A37,2719,202285,433124,772
2020-08-25$13.52$15.0058.1%16.6%52.6%18.0%60.2%1.9%1.4%1.2M-2.5M-844.7K0.336.97N/AN/A28,8109,558295,546129,749
2020-08-26$13.03$15.0063.9%18.3%50.7%21.2%65.6%1.7%1.1%927.1K11.2M-835.2K0.302.07N/AN/A29,5888,845307,139134,655
2020-08-27$12.98$15.0063.6%18.2%46.1%21.0%65.2%0.3%0.6%895.1K14.9M-842.7K0.312.81N/AN/A38,56912,079318,782140,289
2020-08-28$13.14$15.0063.0%17.7%46.8%20.7%63.1%0.2%0.8%1.6M1.2M-873.5K0.392.61N/AN/A34,67813,644331,907144,806
2020-08-31$12.81$15.0067.2%19.0%47.1%23.0%67.2%4.1%-1.4%814.9K8.9M-852.1K0.112.76N/AN/A48,6025,399305,865140,857