"First attested in the 17th century, noun use of 5th century Latin oxymōrum (adj), neut. nom. form of oxymōrus (adj), from Ancient Greek ὀξύμωρος (oksúmōros), compound of ὀξύς (oksús, “sharp, keen, pointed”) (English oxy-, as in oxygen) + μωρός (mōrós, “dull, stupid, folly”) (English moron (“stupid person”)). Literally “sharp-dull”, "keen-stupid" or "pointed folly" – itself an oxymoron, hence autological.More at Wikipedia. Heard on a podcast of No Such Thing As A Fish.
Compare sophomore (literally “wise fool”).
Historically, an oxymoron was "a paradox with a point", where the contradiction seems absurd at first glance, and yet is deliberate, its purpose being to underscore a point or to draw attention to a concealed point. The modern usage of oxymoron as a synonym for the simpler contradiction in terms is considered incorrect by some speakers and writers, and is perhaps best avoided in certain contexts."