OXY Options History — January 2021

In January 2021, OXY traded between $17.46 and $24.29. ATM implied volatility averaged 72.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 7.1% (HV 20d: 79.3%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.35.

Notable Days

  • 2021-01-14: Highest Volume — 210,143 contracts
  • 2021-01-27: Largest IV spike — 13.7% change
  • 2021-01-27: Highest IV Rank — 30.0%
  • 2021-01-29: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.15$17.46$24.29$17.46$19.90
Max Pain$16.05$15.00$18.00$15.00$18.00
ATM IV72.2%66.5%84.3%70.7%80.0%
Expected Move20.5%18.5%24.0%20.5%24.0%
HV 20d79.3%67.0%84.5%81.0%83.1%
HV 60d87.0%83.4%89.7%83.4%89.1%
IV Rank24.8%22.5%30.0%24.9%26.6%
IV Percentile39.6%24.3%68.9%37.5%63.3%
Term Structure1.2%-3.2%8.3%3.5%8.3%
VWIV73.9%65.9%87.7%73.4%86.1%
Skew 25d-3.4%-8.1%0.5%-1.5%-8.1%
Skew 10d-2.7%-19.0%38.2%-1.4%-19.0%
Call IV 25d76.0%69.6%88.7%75.8%88.6%
Put IV 25d72.6%63.1%83.5%74.3%80.6%
Bid-Ask Spread %7.842.6232.413.1825.69
Gamma HHI0.150.110.240.150.11
Net GEX7.5M2.6M12.1M6.7M2.6M
Net DEX-485.0M-926.0M-248.8M-324.4M-248.8M
Net VEX-1.9M-2.1M-1.5M-1.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.160.720.580.72
Total Volume74,341.21130,305210,14342,35042,009
Total OI705,706.632545,395883,604753,240635,422

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$17.46$15.0070.7%20.5%81.0%24.9%73.4%-1.5%3.5%6.7M-324.4M-1.5M0.583.18N/AN/A26,73115,619485,767267,473
2021-01-05$19.31$15.0073.4%20.4%75.7%26.3%72.2%-0.1%0.4%9.1M-486.5M-1.7M0.223.68N/AN/A98,12121,531493,045277,793
2021-01-06$19.97$15.0067.3%19.3%76.1%23.0%68.5%-7.2%3.6%10.5M-546.1M-1.7M0.253.38N/AN/A67,19116,684507,082284,154
2021-01-07$20.74$15.0066.5%18.5%75.1%22.5%65.9%-1.8%3.5%11.8M-621.3M-1.7M0.272.96N/AN/A52,82214,267509,664286,243
2021-01-08$20.12$15.0068.6%19.1%76.0%23.7%68.9%-4.0%-1.5%11.8M-561.6M-1.7M0.412.64N/AN/A36,73915,013509,982290,831
2021-01-11$20.09$15.0069.2%19.7%67.0%24.0%69.8%-1.7%-1.6%9.0M-535.5M-1.6M0.392.84N/AN/A26,48810,251492,816284,414
2021-01-12$22.68$15.0071.7%19.9%79.7%25.4%71.0%-3.4%0.1%11.4M-782.2M-1.7M0.162.62N/AN/A144,48422,843496,641288,722
2021-01-13$22.38$16.0072.8%19.8%73.9%26.0%74.1%-3.4%-3.2%12.1M-732.3M-1.8M0.252.81N/AN/A52,89913,390506,731299,058
2021-01-14$24.29$16.0072.1%20.6%78.3%25.6%73.7%-7.3%-0.5%10.2M-926.0M-1.8M0.243.73N/AN/A169,68440,459514,965304,206
2021-01-15$22.38$16.0067.3%19.5%84.3%23.0%70.3%-6.1%2.1%5.6M-699.0M-1.9M0.346.00N/AN/A86,34229,559558,754324,850
2021-01-19$23.15$16.0069.3%19.8%84.5%24.1%73.6%-4.8%0.1%6.5M-416.9M-2.0M0.225.13N/AN/A72,06315,986367,437177,958
2021-01-20$22.95$16.0068.6%19.7%83.3%22.8%70.2%-2.6%0.9%7.2M-426.9M-2.1M0.376.41N/AN/A37,26613,829406,086187,040
2021-01-21$21.61$17.0068.6%19.6%83.3%22.5%70.4%-1.9%2.0%4.8M-339.8M-2.0M0.495.09N/AN/A44,33621,677406,832193,909
2021-01-22$21.48$17.0070.3%20.1%82.1%22.7%71.3%-1.1%0.9%4.9M-330.7M-2.0M0.285.24N/AN/A33,4129,482420,835200,469
2021-01-25$21.48$17.0073.5%21.0%79.7%24.5%75.5%-2.5%1.7%5.2M-341.2M-2.0M0.318.28N/AN/A23,0987,207398,440192,037
2021-01-26$20.45$17.0074.1%21.7%81.4%24.3%77.8%-2.9%1.7%4.3M-282.7M-2.0M0.394.17N/AN/A32,72612,908403,932193,983
2021-01-27$20.57$17.0084.3%23.7%81.2%30.0%87.7%-5.2%-0.3%4.9M-300.1M-2.0M0.3422.76N/AN/A38,06512,909415,962199,414
2021-01-28$20.89$17.0084.0%22.6%81.0%29.9%84.4%0.5%2.1%4.8M-312.8M-2.1M0.4332.41N/AN/A24,12910,264420,680204,799
2021-01-29$19.90$18.0080.0%24.0%83.1%26.6%86.1%-8.1%8.3%2.6M-248.8M-2.0M0.7225.69N/AN/A24,45617,553425,039210,383