OXY Options History — March 2021 In March 2021, OXY traded between $26.54 and $31.16. ATM implied volatility averaged 67.2%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 4.1% (HV 20d: 63.1%). Max pain ranged from $23.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.34.
Notable Days 2021-03-18 : Highest Volume — 121,571 contracts2021-03-18 : Largest IV spike — 8.1% change2021-03-04 : Highest IV Rank — 14.2%2021-03-04 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $28.40 $26.54 $31.16 $27.62 $26.78 Max Pain $28.09 $23.00 $30.00 $23.00 $30.00 ATM IV 67.2% 61.7% 73.4% 69.0% 61.8% Expected Move 19.2% 16.7% 20.6% 20.3% 16.7% HV 20d 63.1% 56.9% 70.6% 64.5% 61.8% HV 60d 71.3% 68.6% 76.1% 76.1% 70.3% IV Rank 7.0% 2.7% 14.2% 11.5% 3.0% IV Percentile 15.3% 2.0% 35.9% 19.1% 2.4% Term Structure 0.4% -4.2% 3.9% 0.7% 2.6% VWIV 68.8% 60.6% 74.3% 73.0% 60.6% Skew 25d -0.9% -4.3% 0.7% 0.7% -0.3% Skew 10d -0.6% -8.1% 11.0% -1.8% 11.0% Call IV 25d 69.8% 62.8% 77.7% 71.8% 62.8% Put IV 25d 68.9% 62.5% 78.4% 72.4% 62.5% Bid-Ask Spread % 13.24 4.35 29.68 10.00 10.49 Gamma HHI 0.12 0.08 0.19 0.13 0.11 Net GEX 9.2M 5.9M 13.5M 8.5M 7.8M Net DEX -622.1M -882.2M -418.7M -610.2M -445.9M Net VEX -2.6M -2.9M -2.5M -2.5M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.16 0.61 0.25 0.25 Total Volume 59,497.87 23,435 121,571 45,732 23,435 Total OI 622,192.609 547,268 743,583 547,268 665,801
Daily Data (23 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 2021-03-01 $27.62 $23.00 69.0% 20.3% 64.5% 11.5% 73.0% 0.7% 0.7% 8.5M -610.2M -2.5M 0.25 10.00 N/A N/A 36,557 9,175 395,360 151,908 2021-03-02 $28.15 $23.00 69.5% 19.9% 64.3% 11.8% 70.8% 0.3% -4.2% 9.8M -645.5M -2.5M 0.37 4.99 N/A N/A 27,748 10,293 406,933 156,757 2021-03-03 $28.97 $24.00 70.1% 20.5% 64.5% 12.2% 74.3% -1.9% -3.3% 10.4M -706.7M -2.5M 0.33 4.35 N/A N/A 51,239 16,796 408,557 162,613 2021-03-04 $30.03 $27.00 73.4% 20.6% 62.9% 14.2% 72.7% 0.7% 0.6% 11.3M -786.6M -2.5M 0.61 19.30 N/A N/A 61,146 37,052 413,001 173,557 2021-03-05 $31.16 $28.00 72.5% 20.1% 63.3% 9.6% 72.4% -1.7% -0.5% 13.3M -882.2M -2.5M 0.38 13.67 N/A N/A 72,080 27,306 418,813 185,781 2021-03-08 $29.94 $28.00 70.5% 20.4% 66.4% 8.3% 73.7% -0.7% 3.9% 9.3M -745.5M -2.5M 0.18 12.73 N/A N/A 43,027 7,935 406,135 169,672 2021-03-09 $28.53 $28.00 71.3% 20.2% 57.1% 8.8% 71.1% -1.3% 0.1% 9.2M -641.6M -2.5M 0.55 14.62 N/A N/A 41,776 23,001 422,081 173,259 2021-03-10 $29.52 $28.00 69.3% 19.8% 56.9% 7.5% 71.2% -0.7% 0.1% 11.4M -729.6M -2.5M 0.42 9.58 N/A N/A 32,589 13,792 434,878 179,545 2021-03-11 $30.94 $28.00 68.7% 19.5% 58.2% 7.1% 70.2% -4.3% -0.9% 13.5M -857.4M -2.5M 0.25 5.83 N/A N/A 57,776 14,435 436,388 186,583 2021-03-12 $30.62 $28.00 67.8% 19.5% 57.3% 6.5% 69.9% -1.2% -0.1% 11.0M -821.0M -2.5M 0.49 14.23 N/A N/A 29,225 14,266 444,240 193,247 2021-03-15 $29.30 $28.00 71.1% 20.3% 60.2% 8.7% 72.1% -3.3% -0.5% 9.0M -698.9M -2.5M 0.16 17.15 N/A N/A 78,150 12,195 426,885 186,825 2021-03-16 $28.15 $28.00 66.2% 19.0% 61.0% 5.5% 69.0% -1.1% 0.6% 9.0M -626.1M -2.5M 0.29 13.88 N/A N/A 43,823 12,601 459,263 191,800 2021-03-17 $28.89 $28.00 65.0% 18.6% 61.5% 4.6% 65.8% -1.6% -1.6% 10.8M -690.8M -2.6M 0.22 8.16 N/A N/A 33,351 7,207 468,659 192,663 2021-03-18 $26.55 $28.00 70.3% 20.1% 66.6% 8.1% 72.5% -1.1% 0.9% 7.8M -518.8M -2.6M 0.47 26.40 N/A N/A 82,506 39,065 496,735 205,603 2021-03-19 $28.12 $30.00 67.1% 19.2% 69.5% 6.8% 70.1% -0.8% 0.3% 6.9M -648.7M -2.8M 0.38 10.39 N/A N/A 61,057 23,353 518,785 224,798 2021-03-22 $27.62 $30.00 62.9% 17.9% 69.1% 3.7% 63.9% -1.1% -0.5% 6.7M -479.2M -2.6M 0.20 17.05 N/A N/A 36,019 7,377 402,202 163,495 2021-03-23 $26.54 $29.00 62.6% 18.0% 70.6% 3.4% 65.9% -0.1% 2.4% 5.9M -418.7M -2.5M 0.37 14.40 N/A N/A 62,295 23,102 414,948 165,523 2021-03-24 $27.20 $30.00 61.7% 18.0% 64.8% 2.7% 63.5% -0.4% 3.4% 7.6M -473.7M -2.7M 0.39 9.92 N/A N/A 24,138 9,456 449,246 182,920 2021-03-25 $26.70 $30.00 63.5% 18.5% 62.5% 4.1% 66.8% 0.6% 2.6% 6.7M -432.5M -2.7M 0.30 9.45 N/A N/A 30,967 9,147 453,424 187,130 2021-03-26 $27.43 $30.00 63.1% 18.1% 63.3% 3.8% 64.2% 0.0% -1.1% 8.3M -488.9M -2.8M 0.33 14.46 N/A N/A 35,556 11,634 461,001 190,405 2021-03-29 $27.05 $30.00 64.8% 18.4% 62.7% 5.1% 65.9% -0.6% 0.3% 7.3M -456.6M -2.7M 0.17 29.68 N/A N/A 40,596 6,752 439,406 188,374 2021-03-30 $27.38 $30.00 64.4% 17.7% 62.5% 4.8% 62.7% -1.8% 2.4% 9.0M -503.6M -2.9M 0.54 13.73 N/A N/A 17,881 9,574 463,792 191,439 2021-03-31 $26.78 $30.00 61.8% 16.7% 61.8% 3.0% 60.6% -0.3% 2.6% 7.8M -445.9M -2.8M 0.25 10.49 N/A N/A 18,725 4,710 469,090 196,711
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