As said above those symptoms could be EITHER the Oil Cooler or Head Gasket, when the HG went on my G40 that is exactly the same as what has happened to your car, including the loss of oil. The pressure of the oil forces the oil into the water without allowing the water to go the other way. I knew it was the HG though as G40s dont have an oil cooler.
Either way, you better familiarise yourself with coolant system flushing, coz you're going to be doing quite a bit of that in the near future. That mayo'd oil sticks like sh1t to a blanket.
:-[