OXY Options History — October 2020 In October 2020, OXY traded between $8.95 and $11.14. ATM implied volatility averaged 78.0%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 17.0% (HV 20d: 60.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.51.
Notable Days 2020-10-28 : Highest Volume — 149,440 contracts2020-10-28 : Largest IV spike — 13.5% change2020-10-28 : Highest IV Rank — 35.7%2020-10-30 : Largest Expected Move — 29.3%Monthly Statistics Metric Avg Min Max Open Close Price $10.02 $8.95 $11.14 $9.61 $9.10 Max Pain $13.50 $10.00 $15.00 $10.00 $13.00 ATM IV 78.0% 72.8% 90.3% 72.8% 87.1% Expected Move 22.9% 20.5% 29.3% 20.6% 29.3% HV 20d 60.9% 54.8% 72.0% 66.3% 58.6% HV 60d 57.4% 55.8% 60.2% 56.3% 57.1% IV Rank 28.9% 26.0% 35.7% 26.0% 33.9% IV Percentile 62.9% 57.4% 76.1% 57.8% 74.1% Term Structure 0.3% -4.5% 12.7% 12.7% -0.1% VWIV 80.5% 72.4% 102.6% 72.4% 98.1% Skew 25d 1.6% -9.8% 6.6% 0.2% 5.0% Skew 10d 1.7% -20.4% 12.4% -0.5% 12.4% Call IV 25d 78.7% 73.7% 92.0% 73.7% 87.0% Put IV 25d 80.3% 66.7% 98.4% 73.9% 92.0% Bid-Ask Spread % 3.33 1.84 15.42 2.58 8.06 Gamma HHI 0.10 0.07 0.22 0.07 0.13 Net GEX 550.3K -263.3K 2.3M 381.7K 35.6K Net DEX 22.5M -36.0M 62.5M 38.8M 53.8M Net VEX -886.6K -988.7K -775.2K -782.0K -977.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.12 2.36 0.22 0.34 Total Volume 46,702.045 18,223 149,440 42,191 28,647 Total OI 646,774.818 544,626 855,552 589,648 855,552
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 2020-10-01 $9.61 $10.00 72.8% 20.6% 66.3% 26.0% 72.4% 0.2% 12.7% 381.7K 38.8M -782.0K 0.22 2.58 N/A N/A 34,481 7,710 385,382 204,266 2020-10-02 $9.85 $10.00 74.7% 20.5% 67.2% 27.1% 73.4% 1.2% 7.3% 470.6K 30.4M -822.3K 0.71 2.85 N/A N/A 25,844 18,238 395,538 207,414 2020-10-05 $10.47 $15.00 75.4% 22.3% 72.0% 27.5% 77.6% -2.0% 5.6% 871.6K 5.7M -891.7K 0.35 2.92 N/A N/A 28,312 10,003 366,328 214,076 2020-10-06 $10.20 $15.00 73.7% 22.6% 63.6% 26.6% 80.0% 2.4% 0.2% 757.3K 17.7M -860.3K 0.34 3.05 N/A N/A 28,006 9,562 369,375 216,728 2020-10-07 $10.22 $15.00 77.0% 21.8% 63.6% 28.4% 79.7% -0.4% 2.1% 770.7K 19.2M -857.8K 0.92 5.52 N/A N/A 16,751 15,429 377,695 219,976 2020-10-08 $11.14 $14.00 74.2% 21.5% 64.9% 26.8% 77.0% -1.9% -1.7% 2.3M -36.0M -961.0K 0.68 2.43 N/A N/A 55,537 37,663 383,171 216,513 2020-10-09 $10.78 $14.00 75.0% 20.8% 66.2% 27.3% 73.5% -9.8% 4.1% 908.8K -8.4M -910.9K 0.37 2.47 N/A N/A 28,080 10,459 389,774 216,761 2020-10-12 $10.78 $14.00 76.6% 21.0% 66.2% 28.1% 74.2% 1.7% -3.4% 936.4K -4.9M -892.2K 0.28 2.58 N/A N/A 17,015 4,770 373,583 212,113 2020-10-13 $10.53 $14.00 74.9% 21.1% 65.4% 27.2% 75.2% 0.4% -1.4% 866.1K 5.2M -857.3K 0.19 2.46 N/A N/A 23,755 4,466 379,200 212,925 2020-10-14 $10.51 $14.00 75.3% 21.5% 55.2% 27.4% 76.4% -0.0% -0.2% 872.3K 4.2M -868.1K 0.36 2.11 N/A N/A 15,297 5,493 385,260 214,477 2020-10-15 $10.55 $14.00 75.9% 21.4% 54.8% 27.8% 75.9% -0.3% -1.6% 872.3K 4.7M -866.2K 0.27 2.12 N/A N/A 20,415 5,612 385,436 215,798 2020-10-16 $10.12 $14.00 76.0% 21.8% 56.0% 27.9% 75.6% 2.0% -0.2% 588.6K 21.5M -807.6K 0.20 2.01 N/A N/A 24,248 4,934 391,292 218,064 2020-10-19 $9.86 $14.00 79.1% 22.7% 55.9% 29.6% 79.8% 2.3% -2.9% 248.3K 27.8M -775.2K 0.12 1.84 N/A N/A 92,119 11,001 351,445 193,181 2020-10-20 $10.12 $14.00 78.6% 22.5% 57.0% 29.3% 78.8% 6.6% -4.5% 733.6K 20.6M -988.7K 0.34 15.42 N/A N/A 21,086 7,126 454,078 251,083 2020-10-21 $9.72 $14.00 77.7% 22.3% 55.2% 28.8% 80.2% 4.3% -3.4% 453.7K 26.6M -834.6K 0.21 2.04 N/A N/A 27,859 5,764 428,730 204,159 2020-10-22 $10.18 $14.00 76.2% 22.0% 57.8% 28.0% 76.9% 4.3% -3.2% 674.5K 10.4M -879.7K 2.36 2.09 N/A N/A 25,102 59,290 435,915 206,222 2020-10-23 $10.01 $13.00 77.2% 22.3% 56.7% 28.5% 77.7% 3.6% -2.3% 94.2K 26.9M -961.3K 1.51 1.94 N/A N/A 21,713 32,766 442,339 261,898 2020-10-26 $9.43 $13.00 81.3% 24.9% 59.9% 30.7% 86.4% 5.2% -0.8% -194.9K 55.2M -914.9K 0.45 2.25 N/A N/A 34,742 15,690 434,092 275,736 2020-10-27 $9.30 $13.00 79.5% 24.4% 58.8% 29.8% 84.2% 2.7% 0.7% -263.3K 58.3M -911.1K 0.30 1.88 N/A N/A 14,054 4,169 449,852 282,292 2020-10-28 $8.95 $13.00 90.3% 29.1% 60.1% 35.7% 102.6% 6.4% -1.1% -184.7K 62.5M -904.6K 0.28 2.62 N/A N/A 117,203 32,237 456,509 284,221 2020-10-29 $9.11 $13.00 86.5% 27.8% 59.4% 33.6% 96.4% 1.8% 0.1% -75.5K 55.7M -980.2K 0.32 2.08 N/A N/A 18,822 5,975 507,737 302,860 2020-10-30 $9.10 $13.00 87.1% 29.3% 58.6% 33.9% 98.1% 5.0% -0.1% 35.6K 53.8M -977.7K 0.34 8.06 N/A N/A 21,359 7,288 551,882 303,670
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