OXY Options History — September 2021 In September 2021, OXY traded between $24.98 and $30.20. ATM implied volatility averaged 51.4%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 5.9% (HV 20d: 57.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2021-09-28 : Highest Volume — 160,123 contracts2021-09-20 : Largest IV spike — 17.2% change2021-09-20 : Highest IV Rank — 31.0%2021-09-20 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $27.03 $24.98 $30.20 $25.12 $29.78 Max Pain $26.00 $25.00 $27.00 $25.00 $27.00 ATM IV 51.4% 48.2% 59.9% 49.2% 54.4% Expected Move 14.6% 13.5% 17.1% 13.5% 15.1% HV 20d 57.3% 53.7% 60.3% 54.2% 56.5% HV 60d 55.2% 54.0% 56.5% 54.7% 54.4% IV Rank 11.6% 4.2% 31.0% 6.4% 18.2% IV Percentile 14.8% 1.2% 44.8% 3.6% 27.8% Term Structure 0.5% -0.5% 2.2% 1.0% 1.1% VWIV 51.7% 47.5% 59.4% 47.5% 54.0% Skew 25d 2.8% 1.0% 5.8% 2.3% 2.9% Skew 10d 5.9% 1.2% 11.8% 5.5% 6.4% Call IV 25d 51.4% 48.7% 58.8% 49.6% 54.7% Put IV 25d 54.2% 50.1% 63.7% 51.9% 57.6% Bid-Ask Spread % 3.61 2.45 4.59 3.46 2.55 Gamma HHI 0.15 0.11 0.45 0.12 0.15 Net GEX 13.5M 6.6M 27.3M 9.0M 18.5M Net DEX -472.8M -867.9M -232.5M -270.1M -806.3M Net VEX -3.0M -3.6M -2.8M -2.8M -3.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.25 0.58 0.56 0.33 Total Volume 68,107.381 23,406 160,123 42,604 75,552 Total OI 785,388.238 723,090 889,149 738,483 889,149
Daily Data (21 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 2021-09-01 $25.12 $25.00 49.2% 13.5% 54.2% 6.4% 47.5% 2.3% 1.0% 9.0M -270.1M -2.8M 0.56 3.46 N/A N/A 27,262 15,342 507,729 230,754 2021-09-02 $26.47 $26.00 49.1% 14.2% 57.3% 6.4% 49.9% 1.2% 0.6% 13.3M -418.1M -3.0M 0.30 3.93 N/A N/A 68,113 20,677 517,589 233,707 2021-09-03 $25.80 $26.00 48.2% 14.0% 57.9% 4.2% 49.3% 1.4% 0.7% 12.5M -348.1M -2.9M 0.55 3.63 N/A N/A 30,341 16,542 527,992 237,937 2021-09-07 $25.72 $26.00 49.7% 14.1% 57.1% 7.6% 49.8% 2.5% -0.5% 9.3M -308.0M -2.8M 0.30 4.02 N/A N/A 20,357 6,208 506,390 233,863 2021-09-08 $24.98 $26.00 50.8% 14.5% 57.4% 10.1% 51.3% 1.8% -0.3% 7.9M -233.5M -2.8M 0.25 3.81 N/A N/A 36,088 8,980 516,214 244,278 2021-09-09 $25.18 $26.00 50.4% 14.4% 57.0% 9.2% 50.4% 3.5% -0.3% 8.2M -243.7M -2.8M 0.29 3.44 N/A N/A 18,074 5,332 521,811 246,485 2021-09-10 $25.03 $26.00 49.8% 14.3% 56.9% 7.9% 50.7% 4.0% 0.2% 10.8M -232.5M -2.8M 0.52 4.31 N/A N/A 23,658 12,316 536,945 250,787 2021-09-13 $26.68 $26.00 50.3% 14.4% 59.9% 9.0% 51.4% 4.1% 0.4% 12.1M -411.6M -2.9M 0.48 4.59 N/A N/A 60,847 29,110 520,158 241,842 2021-09-14 $26.18 $26.00 51.8% 14.8% 58.1% 12.3% 51.6% 3.9% 0.3% 12.2M -361.9M -2.9M 0.48 4.02 N/A N/A 27,293 13,222 530,080 244,520 2021-09-15 $27.81 $26.00 49.9% 14.3% 60.3% 8.1% 50.5% 2.4% 0.5% 14.3M -562.1M -3.0M 0.34 3.30 N/A N/A 85,402 28,620 538,564 252,955 2021-09-16 $27.45 $26.00 49.3% 14.1% 60.1% 6.8% 50.3% 1.9% 0.8% 16.2M -520.4M -3.0M 0.58 4.22 N/A N/A 27,827 16,156 547,383 256,726 2021-09-17 $26.95 $26.00 51.1% 14.6% 53.7% 10.9% 52.0% 2.1% 0.6% 27.3M -448.2M -3.1M 0.49 2.71 N/A N/A 42,698 21,103 564,578 265,924 2021-09-20 $25.31 $26.00 59.9% 17.1% 59.5% 31.0% 59.4% 4.9% -0.4% 6.6M -269.0M -2.9M 0.42 3.59 N/A N/A 45,956 19,308 496,579 226,511 2021-09-21 $25.62 $26.00 53.9% 15.3% 55.8% 17.1% 54.2% 5.8% 0.2% 7.2M -282.7M -2.9M 0.30 4.07 N/A N/A 38,056 11,594 511,853 230,953 2021-09-22 $26.87 $26.00 51.1% 14.6% 56.3% 10.8% 52.1% 3.3% 0.5% 11.2M -432.3M -3.1M 0.26 4.22 N/A N/A 76,620 20,285 535,407 236,984 2021-09-23 $28.01 $26.00 50.1% 14.3% 57.8% 8.7% 50.3% 2.6% -0.1% 15.3M -581.9M -3.2M 0.25 3.68 N/A N/A 69,844 17,259 554,580 242,557 2021-09-24 $28.26 $26.00 49.9% 13.9% 56.9% 8.2% 49.7% 2.3% 0.3% 15.9M -638.1M -3.3M 0.32 3.77 N/A N/A 35,379 11,455 582,949 249,223 2021-09-27 $30.15 $26.00 50.4% 14.2% 57.4% 9.2% 50.7% 1.0% 2.2% 18.0M -848.3M -3.3M 0.32 2.45 N/A N/A 98,000 31,267 557,023 243,934 2021-09-28 $30.02 $26.00 55.5% 15.6% 57.2% 20.9% 56.0% 1.9% 1.6% 18.7M -843.8M -3.4M 0.39 2.77 N/A N/A 115,581 44,542 566,483 247,974 2021-09-29 $30.20 $26.00 54.9% 15.4% 57.1% 19.5% 54.5% 2.6% 0.3% 19.3M -867.9M -3.5M 0.34 3.30 N/A N/A 43,132 14,857 587,219 258,564 2021-09-30 $29.78 $27.00 54.4% 15.1% 56.5% 18.2% 54.0% 2.9% 1.1% 18.5M -806.3M -3.6M 0.33 2.55 N/A N/A 56,650 18,902 612,335 276,814
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