OXY Options History — November 2020 In November 2020, OXY traded between $9.65 and $16.81. ATM implied volatility averaged 71.2%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 13.9% (HV 20d: 85.0%). Max pain ranged from $9.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.36.
Notable Days 2020-11-23 : Highest Volume — 233,338 contracts2020-11-04 : Largest IV drop — 14.1% change2020-11-03 : Highest IV Rank — 33.2%2020-11-03 : Largest Expected Move — 28.0%Monthly Statistics Metric Avg Min Max Open Close Price $12.81 $9.65 $16.81 $9.65 $15.82 Max Pain $10.55 $9.00 $13.00 $13.00 $11.00 ATM IV 71.2% 62.9% 85.7% 85.6% 69.4% Expected Move 21.1% 18.3% 28.0% 27.1% 21.1% HV 20d 85.0% 54.2% 100.0% 58.2% 100.0% HV 60d 70.9% 55.9% 80.8% 58.8% 80.8% IV Rank 25.2% 20.6% 33.2% 33.1% 24.2% IV Percentile 45.0% 30.3% 72.5% 72.5% 39.8% Term Structure 0.2% -2.4% 4.1% 0.2% 2.1% VWIV 75.7% 65.4% 98.4% 95.4% 79.0% Skew 25d 1.6% -4.9% 5.4% 3.4% -0.9% Skew 10d 5.0% -0.7% 10.7% 6.7% 6.5% Call IV 25d 73.3% 64.7% 86.6% 86.6% 73.4% Put IV 25d 74.9% 66.7% 91.1% 90.0% 72.5% Bid-Ask Spread % 5.17 2.70 22.01 22.01 3.40 Gamma HHI 0.13 0.10 0.23 0.11 0.12 Net GEX 3.7M 687.2K 7.8M 708.2K 5.7M Net DEX -166.4M -439.0M 22.2M 18.9M -323.5M Net VEX -1.3M -1.6M -1.0M -1.1M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.15 0.81 0.19 0.43 Total Volume 75,544.8 26,241 233,338 50,806 55,373 Total OI 828,634.95 695,581 887,014 827,769 746,441
Daily Data (20 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 2020-11-02 $9.65 $13.00 85.6% 27.1% 58.2% 33.1% 95.4% 3.4% 0.2% 708.2K 18.9M -1.1M 0.19 22.01 N/A N/A 42,534 8,272 537,043 290,726 2020-11-03 $9.72 $13.00 85.7% 28.0% 57.7% 33.2% 98.4% 4.9% 0.2% 687.2K 21.5M -1.1M 0.15 7.68 N/A N/A 27,650 4,241 537,043 290,726 2020-11-04 $9.84 $12.00 73.6% 24.0% 58.0% 26.5% 87.4% 3.5% 4.1% 994.7K 22.2M -1.0M 0.19 3.25 N/A N/A 22,139 4,102 559,228 293,188 2020-11-05 $10.51 $9.00 78.2% 22.4% 54.2% 29.0% 78.3% 5.4% 0.1% 1.8M -16.8M -1.1M 0.29 3.83 N/A N/A 33,296 9,632 563,033 292,636 2020-11-06 $10.03 $10.00 79.8% 22.8% 55.4% 29.9% 79.7% 2.8% -2.1% 3.0M 10.5M -1.0M 0.20 3.92 N/A N/A 33,217 6,782 560,114 294,025 2020-11-09 $12.24 $10.00 72.6% 21.6% 90.9% 26.0% 76.4% -4.9% 1.2% 3.0M -136.2M -1.3M 0.28 12.07 N/A N/A 128,626 36,596 557,541 288,052 2020-11-10 $12.32 $10.00 73.7% 21.4% 90.2% 26.6% 76.4% 3.0% 0.8% 3.4M -143.7M -1.3M 0.24 4.47 N/A N/A 64,578 15,584 581,583 295,592 2020-11-11 $11.81 $10.00 66.1% 19.0% 91.9% 22.4% 69.3% 2.2% 0.2% 2.6M -93.2M -1.2M 0.54 3.56 N/A N/A 32,232 17,367 556,359 294,954 2020-11-12 $11.26 $10.00 68.9% 20.3% 93.8% 23.9% 72.3% 1.5% 3.6% 1.8M -50.6M -1.1M 0.68 4.11 N/A N/A 21,784 14,809 562,074 298,344 2020-11-13 $11.82 $10.00 66.5% 18.9% 93.6% 22.6% 67.2% 2.1% -0.8% 2.4M -89.9M -1.2M 0.64 3.66 N/A N/A 26,776 17,153 564,286 298,911 2020-11-16 $12.66 $10.00 64.2% 18.6% 95.1% 21.4% 66.5% 4.5% -2.2% 3.5M -144.5M -1.2M 0.35 3.15 N/A N/A 34,562 12,011 539,194 291,088 2020-11-17 $12.90 $10.00 66.1% 19.0% 95.0% 22.4% 67.4% 1.5% 2.7% 4.2M -166.4M -1.2M 0.34 3.12 N/A N/A 32,119 10,886 546,789 292,251 2020-11-18 $13.03 $10.00 65.6% 18.8% 92.9% 22.1% 68.3% 0.2% 2.0% 4.8M -185.1M -1.2M 0.43 4.10 N/A N/A 83,504 35,814 556,295 292,231 2020-11-19 $13.35 $10.00 65.5% 18.7% 92.3% 22.0% 69.8% 0.1% 0.6% 4.6M -199.2M -1.3M 0.42 3.76 N/A N/A 28,863 12,027 567,457 313,902 2020-11-20 $13.51 $10.00 62.9% 18.3% 91.6% 20.6% 65.4% 2.0% -2.4% 3.7M -211.8M -1.3M 0.35 2.78 N/A N/A 41,061 14,554 569,547 317,467 2020-11-23 $15.72 $10.00 69.4% 20.1% 99.1% 24.2% 72.8% 0.6% -2.0% 5.8M -350.8M -1.4M 0.27 6.21 N/A N/A 184,017 49,321 443,494 252,087 2020-11-24 $16.64 $11.00 68.7% 19.9% 98.6% 23.8% 72.5% -1.1% -0.6% 7.8M -432.4M -1.5M 0.21 2.70 N/A N/A 173,762 37,166 469,640 267,608 2020-11-25 $16.81 $11.00 71.1% 20.6% 95.6% 25.1% 75.0% 1.4% -1.6% 7.5M -439.0M -1.6M 0.28 2.73 N/A N/A 77,302 21,417 498,391 282,822 2020-11-27 $16.55 $11.00 69.8% 20.4% 97.0% 24.4% 75.8% 0.2% -1.1% 6.2M -417.7M -1.6M 0.81 2.89 N/A N/A 22,015 17,752 517,580 292,957 2020-11-30 $15.82 $11.00 69.4% 21.1% 100.0% 24.2% 79.0% -0.9% 2.1% 5.7M -323.5M -1.5M 0.43 3.40 N/A N/A 38,630 16,743 477,074 269,367
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