OXY Options History — November 2021

In November 2021, OXY traded between $28.99 and $34.88. ATM implied volatility averaged 50.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 6.5% (HV 20d: 44.2%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-11-23: Highest Volume — 110,803 contracts
  • 2021-11-26: Largest IV spike — 17.1% change
  • 2021-11-30: Highest IV Rank — 35.8%
  • 2021-11-30: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.00$28.99$34.88$34.88$29.85
Max Pain$30.14$30.00$31.00$31.00$30.00
ATM IV50.7%46.8%59.9%50.3%59.9%
Expected Move14.8%13.4%18.0%15.4%18.0%
HV 20d44.2%38.2%52.3%42.4%49.7%
HV 60d49.9%47.5%51.7%51.7%49.8%
IV Rank11.4%1.3%35.8%9.8%35.8%
IV Percentile17.9%0.4%64.3%13.9%64.3%
Term Structure-0.4%-5.4%0.8%-0.2%-1.6%
VWIV52.7%47.5%63.9%54.2%63.9%
Skew 25d0.9%-2.2%8.5%-0.4%3.1%
Skew 10d-0.3%-15.3%4.3%-1.4%2.5%
Call IV 25d52.2%40.8%69.0%51.8%59.9%
Put IV 25d53.1%48.5%66.9%51.5%63.1%
Bid-Ask Spread %5.683.1720.724.156.18
Gamma HHI0.100.090.120.110.09
Net GEX13.8M7.0M18.4M18.4M10.7M
Net DEX-760.8M-1.18B-305.0M-1.18B-496.6M
Net VEX-3.5M-3.7M-3.1M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.351.030.630.44
Total Volume66,038.61939,457110,80351,09157,677
Total OI936,306.667808,518997,790911,743911,495

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$34.88$31.0050.3%15.4%42.4%9.8%54.2%-0.4%-0.2%18.4M-1.18B-3.7M0.634.15N/AN/A31,34219,749597,273314,470
2021-11-02$34.42$31.0051.1%15.6%41.6%12.0%55.1%-0.3%0.6%17.7M-1.11B-3.7M0.794.77N/AN/A22,45317,643600,249318,946
2021-11-03$33.80$31.0050.6%15.5%40.4%10.8%55.5%-0.4%0.3%17.3M-1.03B-3.7M0.564.08N/AN/A30,23717,012606,335322,010
2021-11-04$33.60$30.0048.2%14.6%40.0%4.9%51.4%-2.2%-5.4%17.5M-1.00B-3.7M0.5720.72N/AN/A58,02933,309613,792325,310
2021-11-05$33.31$30.0050.0%14.3%38.2%9.8%50.8%8.5%0.1%16.3M-970.3M-3.6M0.414.98N/AN/A78,45632,292632,853339,522
2021-11-08$34.21$30.0049.8%14.5%39.3%9.2%51.4%-1.1%0.8%18.1M-1.09B-3.6M0.573.48N/AN/A47,44227,005607,785324,477
2021-11-09$33.83$30.0049.7%14.4%39.1%8.9%51.0%-0.3%0.8%18.1M-1.02B-3.6M0.554.79N/AN/A40,80622,356619,343332,310
2021-11-10$31.80$30.0051.1%14.7%44.8%12.5%52.7%-0.4%0.3%12.5M-717.0M-3.6M0.355.16N/AN/A56,47819,530627,554338,468
2021-11-11$32.10$30.0048.4%14.0%44.7%5.4%49.8%0.2%0.7%14.8M-781.4M-3.5M0.496.53N/AN/A34,13116,765650,163343,619
2021-11-12$31.95$30.0047.7%13.8%44.6%3.5%49.5%0.1%0.7%11.4M-745.0M-3.5M0.735.91N/AN/A23,25817,030653,433343,641
2021-11-15$32.07$30.0048.7%14.0%42.2%6.2%49.6%0.0%0.1%15.8M-789.1M-3.4M0.414.07N/AN/A37,60515,572632,491337,175
2021-11-16$31.84$30.0047.4%13.6%42.3%2.9%48.0%0.3%-0.2%15.1M-753.3M-3.4M0.723.17N/AN/A22,97916,478639,162341,515
2021-11-17$30.63$30.0047.4%13.6%43.8%2.9%47.9%1.2%-0.1%10.0M-531.9M-3.2M0.554.83N/AN/A32,26317,707642,163344,598
2021-11-18$30.67$30.0046.8%13.4%43.6%1.3%47.5%1.5%-0.3%10.4M-532.5M-3.2M0.934.95N/AN/A24,48122,646645,589345,756
2021-11-19$28.99$30.0050.7%14.6%45.4%11.5%52.7%2.6%-0.6%7.0M-305.0M-3.1M1.034.19N/AN/A43,18944,325647,623350,167
2021-11-22$30.23$30.0049.6%14.2%45.7%8.7%51.0%1.4%0.1%9.5M-499.6M-3.2M0.674.73N/AN/A43,37429,123542,308266,210
2021-11-23$31.86$30.0050.9%14.5%50.3%12.0%51.7%0.6%-1.0%13.1M-696.9M-3.4M0.474.76N/AN/A75,35135,452556,608280,134
2021-11-24$32.05$30.0050.9%14.5%46.2%12.1%51.4%-0.4%-1.6%15.7M-738.4M-3.5M0.684.27N/AN/A38,34826,159584,307291,042
2021-11-26$29.86$30.0059.6%17.4%52.0%35.0%62.3%2.9%-1.3%10.1M-461.8M-3.5M0.608.48N/AN/A60,84136,763602,486296,135
2021-11-29$30.14$30.0055.3%16.3%52.3%23.7%58.6%1.7%-0.2%10.9M-525.6M-3.4M0.534.98N/AN/A39,93521,220599,248294,675
2021-11-30$29.85$30.0059.9%18.0%49.7%35.8%63.9%3.1%-1.6%10.7M-496.6M-3.5M0.446.18N/AN/A40,02217,655611,722299,773