OXY Options History — December 2020 In December 2020, OXY traded between $15.10 and $21.34. ATM implied volatility averaged 71.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 20.1% (HV 20d: 91.6%). Max pain ranged from $11.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.32.
Notable Days 2020-12-04 : Highest Volume — 238,522 contracts2020-12-21 : Largest IV spike — 5.8% change2020-12-10 : Highest IV Rank — 28.1%2020-12-10 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $18.23 $15.10 $21.34 $15.10 $17.37 Max Pain $13.77 $11.00 $15.00 $11.00 $15.00 ATM IV 71.5% 67.0% 76.4% 69.2% 67.0% Expected Move 20.6% 18.7% 21.9% 20.7% 18.7% HV 20d 91.6% 81.3% 108.5% 102.7% 81.3% HV 60d 82.5% 79.0% 84.4% 81.4% 83.5% IV Rank 25.3% 22.8% 28.1% 24.1% 22.8% IV Percentile 41.3% 26.7% 55.8% 39.0% 26.7% Term Structure 1.0% -1.2% 3.5% 1.6% -1.2% VWIV 74.1% 66.9% 77.5% 76.4% 66.9% Skew 25d -2.2% -5.5% 1.6% -0.9% 0.3% Skew 10d -2.2% -11.0% 10.0% -2.6% -3.7% Call IV 25d 75.2% 68.3% 80.5% 71.9% 68.3% Put IV 25d 73.0% 68.6% 77.9% 71.0% 68.6% Bid-Ask Spread % 42.51 3.00 67.65 4.37 67.65 Gamma HHI 0.13 0.11 0.17 0.11 0.15 Net GEX 7.6M 4.8M 11.0M 5.0M 6.4M Net DEX -453.0M -775.2M -261.2M -261.2M -308.5M Net VEX -1.7M -1.9M -1.5M -1.5M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.32 0.16 0.54 0.29 0.25 Total Volume 91,079.227 23,527 238,522 73,524 27,548 Total OI 810,857.727 760,912 869,266 765,675 798,146
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 2020-12-01 $15.10 $11.00 69.2% 20.7% 102.7% 24.1% 76.4% -0.9% 1.6% 5.0M -261.2M -1.5M 0.29 4.37 N/A N/A 57,113 16,411 489,192 276,483 2020-12-02 $15.93 $12.00 71.9% 21.1% 103.1% 25.5% 75.5% -2.4% 1.7% 6.5M -336.4M -1.5M 0.27 3.00 N/A N/A 77,284 20,971 503,767 280,000 2020-12-03 $16.30 $12.00 68.8% 20.2% 103.0% 23.9% 71.2% -0.7% 2.8% 7.8M -372.5M -1.5M 0.16 5.75 N/A N/A 86,577 13,902 519,356 285,731 2020-12-04 $18.54 $12.00 71.1% 20.4% 108.5% 25.1% 72.0% 0.7% 0.6% 7.9M -611.0M -1.7M 0.19 45.37 N/A N/A 200,938 37,584 530,409 290,319 2020-12-07 $18.22 $13.00 73.5% 20.9% 106.3% 26.5% 75.4% -3.4% -0.5% 8.2M -518.7M -1.7M 0.26 42.42 N/A N/A 67,418 17,679 506,454 279,550 2020-12-08 $19.21 $13.00 73.4% 21.1% 86.2% 26.4% 74.2% -2.6% 0.1% 9.9M -617.7M -1.8M 0.18 42.30 N/A N/A 131,673 23,324 526,234 286,606 2020-12-09 $19.35 $13.00 74.6% 21.5% 86.2% 27.0% 76.1% -2.3% 1.5% 10.5M -602.2M -1.8M 0.34 43.31 N/A N/A 152,444 52,056 525,623 289,423 2020-12-10 $21.34 $14.00 76.4% 21.9% 86.5% 28.1% 77.1% -2.6% 0.4% 10.3M -775.2M -1.9M 0.23 45.86 N/A N/A 172,582 39,371 531,135 312,632 2020-12-11 $20.84 $14.00 74.8% 21.4% 84.1% 27.1% 75.9% -4.2% 0.1% 11.0M -700.7M -1.9M 0.42 46.29 N/A N/A 68,808 29,181 532,934 327,591 2020-12-14 $19.28 $14.00 73.0% 21.0% 92.1% 26.2% 75.6% -2.7% -0.1% 7.9M -532.2M -1.8M 0.47 46.41 N/A N/A 75,317 35,187 520,159 304,543 2020-12-15 $19.80 $14.00 72.9% 20.9% 90.6% 26.1% 76.1% -2.8% 0.2% 9.2M -586.9M -1.9M 0.37 46.11 N/A N/A 66,285 24,760 534,222 311,474 2020-12-16 $19.41 $14.00 70.5% 20.2% 91.9% 24.8% 73.1% -1.9% 3.5% 9.0M -545.6M -1.8M 0.54 47.58 N/A N/A 21,735 11,776 538,139 317,166 2020-12-17 $19.16 $14.00 69.3% 19.8% 92.6% 24.1% 73.3% -4.7% 1.4% 9.0M -519.3M -1.8M 0.41 47.29 N/A N/A 28,926 11,988 541,755 318,980 2020-12-18 $18.53 $14.00 70.0% 20.0% 94.4% 24.5% 71.3% -1.8% 1.7% 5.9M -445.0M -1.8M 0.45 49.61 N/A N/A 42,082 19,125 547,501 321,765 2020-12-21 $17.46 $14.00 74.1% 21.2% 98.2% 26.8% 77.5% -4.8% 0.7% 5.3M -320.6M -1.7M 0.48 50.35 N/A N/A 50,354 24,206 481,956 278,956 2020-12-22 $16.91 $15.00 71.2% 20.5% 84.5% 25.2% 75.5% 1.6% -0.0% 4.8M -270.3M -1.6M 0.26 51.05 N/A N/A 33,277 8,698 491,821 291,173 2020-12-23 $18.05 $15.00 74.1% 21.3% 85.2% 26.7% 75.7% -5.5% 1.0% 6.0M -358.8M -1.7M 0.16 49.15 N/A N/A 81,768 12,775 490,160 293,787 2020-12-24 $17.59 $15.00 69.8% 19.9% 85.8% 24.4% 72.7% -3.3% 3.3% 6.2M -320.9M -1.7M 0.28 49.79 N/A N/A 33,878 9,412 524,357 297,616 2020-12-28 $17.44 $15.00 70.0% 20.4% 85.7% 24.4% 75.4% -2.0% 0.1% 6.1M -313.6M -1.6M 0.27 50.23 N/A N/A 38,410 10,187 492,309 278,973 2020-12-29 $17.29 $15.00 69.0% 19.6% 83.9% 23.9% 72.1% -0.5% 1.6% 6.2M -300.0M -1.6M 0.36 50.64 N/A N/A 17,282 6,245 500,790 282,552 2020-12-30 $17.85 $15.00 68.6% 19.8% 82.2% 23.7% 70.4% -1.0% 1.5% 7.6M -349.4M -1.6M 0.34 50.68 N/A N/A 35,337 11,869 504,143 282,988 2020-12-31 $17.37 $15.00 67.0% 18.7% 81.3% 22.8% 66.9% 0.3% -1.2% 6.4M -308.5M -1.5M 0.25 67.65 N/A N/A 22,028 5,520 513,571 284,575
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