OXY Options History — September 2020 In September 2020, OXY traded between $9.97 and $12.48. ATM implied volatility averaged 69.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 13.0% (HV 20d: 56.8%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2020-09-16 : Highest Volume — 122,400 contracts2020-09-09 : Largest IV drop — 8.9% change2020-09-08 : Highest IV Rank — 28.6%2020-09-08 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $11.06 $9.97 $12.48 $12.41 $9.97 Max Pain $11.95 $10.00 $15.00 $15.00 $10.00 ATM IV 69.8% 65.8% 77.4% 66.3% 69.0% Expected Move 20.1% 18.8% 21.9% 18.9% 19.3% HV 20d 56.8% 44.7% 66.1% 46.5% 65.7% HV 60d 57.5% 53.2% 67.0% 67.0% 56.2% IV Rank 24.4% 22.2% 28.6% 22.5% 24.0% IV Percentile 55.4% 51.8% 63.3% 55.8% 52.2% Term Structure 0.7% -5.0% 7.1% -2.3% 6.4% VWIV 71.7% 66.3% 77.2% 66.3% 69.4% Skew 25d 1.2% -2.9% 4.0% 2.4% 1.7% Skew 10d 0.5% -11.0% 13.4% 1.6% 2.5% Call IV 25d 71.2% 66.0% 78.4% 66.0% 70.3% Put IV 25d 72.4% 68.4% 78.8% 68.4% 72.0% Bid-Ask Spread % 3.69 2.45 9.03 2.77 2.45 Gamma HHI 0.12 0.07 0.20 0.14 0.08 Net GEX 841.0K -27.3K 2.6M 455.7K 705.6K Net DEX 23.6M -24.7M 70.5M 26.9M 26.6M Net VEX -831.9K -1.0M -675.5K -799.6K -822.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.20 1.31 0.77 0.20 Total Volume 52,485.667 26,124 122,400 40,642 30,359 Total OI 529,646.571 449,351 612,964 449,351 583,793
Daily Data (21 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 2020-09-01 $12.41 $15.00 66.3% 18.9% 46.5% 22.5% 66.3% 2.4% -2.3% 455.7K 26.9M -799.6K 0.77 2.77 N/A N/A 22,909 17,733 306,025 143,326 2020-09-02 $12.39 $15.00 66.5% 19.6% 45.6% 22.6% 68.7% -0.5% 0.4% 579.2K 23.0M -830.5K 0.21 2.66 N/A N/A 24,993 5,213 315,063 146,876 2020-09-03 $12.48 $13.00 70.8% 21.1% 45.7% 25.0% 73.1% -0.2% 0.3% 922.6K 15.0M -850.6K 0.25 4.02 N/A N/A 26,521 6,651 324,529 149,653 2020-09-04 $12.28 $13.00 72.3% 20.7% 45.6% 25.8% 73.8% 3.2% 0.6% 739.9K 21.1M -828.8K 0.50 7.65 N/A N/A 26,836 13,541 328,875 149,801 2020-09-08 $11.10 $13.00 77.4% 21.9% 48.1% 28.6% 77.2% 0.4% -0.4% 138.1K 51.5M -703.1K 0.56 2.82 N/A N/A 55,314 30,810 314,073 147,988 2020-09-09 $11.12 $13.00 70.5% 20.5% 44.7% 24.8% 71.6% 1.2% 1.9% 256.5K 47.6M -767.9K 0.45 3.34 N/A N/A 29,836 13,320 339,682 160,719 2020-09-10 $10.28 $12.00 71.6% 20.3% 49.9% 25.4% 72.7% 0.7% -1.1% -27.3K 70.5M -675.5K 0.31 3.49 N/A N/A 48,193 14,874 352,399 167,708 2020-09-11 $10.22 $12.00 71.1% 20.1% 50.1% 25.1% 73.3% 2.6% -3.4% 103.2K 66.9M -714.0K 0.54 3.02 N/A N/A 41,710 22,452 371,498 175,299 2020-09-14 $10.22 $12.00 65.8% 18.8% 49.8% 22.2% 67.3% 2.5% 2.6% 101.3K 64.2M -722.8K 0.27 2.98 N/A N/A 50,127 13,775 358,991 178,616 2020-09-15 $10.62 $12.00 66.1% 19.0% 52.0% 22.4% 68.4% -0.4% -2.0% 1.2M 41.4M -813.7K 0.23 2.86 N/A N/A 52,300 12,045 386,718 183,022 2020-09-16 $11.66 $11.00 67.3% 19.3% 64.2% 23.0% 69.9% -0.6% 1.8% 1.7M -8.1M -938.1K 0.23 5.66 N/A N/A 99,756 22,644 391,665 183,933 2020-09-17 $11.82 $11.00 69.3% 19.9% 64.7% 24.1% 74.7% -1.8% -0.8% 2.6M -24.7M -1.0M 0.20 9.03 N/A N/A 50,643 10,034 410,742 188,659 2020-09-18 $11.55 $11.00 67.6% 19.2% 64.7% 23.2% 72.0% -2.9% 0.9% 1.5M -7.8M -969.6K 0.25 3.39 N/A N/A 40,720 10,236 422,045 190,919 2020-09-21 $11.22 $12.00 69.6% 20.6% 64.7% 24.3% 73.0% 3.2% 0.7% 1.5M -16.2M -939.2K 0.28 3.29 N/A N/A 30,459 8,406 344,565 153,242 2020-09-22 $11.11 $11.00 68.8% 20.1% 62.9% 23.9% 71.1% 2.6% 1.0% 1.5M -8.5M -899.4K 0.34 3.01 N/A N/A 19,474 6,650 354,754 156,759 2020-09-23 $10.49 $11.00 74.8% 21.2% 65.0% 27.2% 76.4% 1.8% -5.0% 958.1K 14.4M -842.0K 0.27 3.51 N/A N/A 28,516 7,710 362,360 159,380 2020-09-24 $10.61 $11.00 71.2% 21.0% 64.9% 25.2% 74.3% 4.0% -0.2% 1.2M 12.4M -847.5K 1.31 3.31 N/A N/A 31,227 40,766 373,622 162,572 2020-09-25 $10.23 $11.00 71.0% 20.7% 65.5% 25.1% 72.8% 2.3% 1.4% 369.3K 29.4M -834.3K 0.50 2.76 N/A N/A 39,088 19,404 373,249 192,533 2020-09-28 $10.39 $11.00 68.0% 18.9% 65.6% 23.4% 68.7% 2.2% 7.1% 633.2K 19.7M -849.8K 0.26 2.87 N/A N/A 28,708 7,490 354,046 197,066 2020-09-29 $10.01 $11.00 70.6% 20.1% 66.1% 24.9% 70.7% 0.8% 5.1% 490.7K 29.4M -814.9K 0.27 2.62 N/A N/A 32,005 8,751 366,203 199,610 2020-09-30 $9.97 $10.00 69.0% 19.3% 65.7% 24.0% 69.4% 1.7% 6.4% 705.6K 26.6M -822.9K 0.20 2.45 N/A N/A 25,371 4,988 381,552 202,241
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