ORCL Options History — January 2007 In January 2007, ORCL traded between $16.98 and $17.86. ATM implied volatility averaged 21.8%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.4% (HV 20d: 18.5%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.56.
Notable Days 2007-01-11 : Highest Volume — 58,433 contracts2007-01-08 : Largest IV spike — 19.6% change2007-01-08 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $17.37 $16.98 $17.86 $17.51 $17.16 Max Pain $17.05 $15.00 $18.00 $15.00 $17.00 ATM IV 21.8% 18.4% 26.3% 23.1% 18.9% Expected Move 6.3% 5.3% 7.1% 6.6% 5.4% HV 20d 18.5% 17.7% 19.0% 19.0% 17.7% Term Structure 2.1% 0.1% 4.0% 0.6% 3.2% VWIV 21.7% 17.9% 24.6% 23.1% 18.1% Skew 25d 1.2% -3.4% 4.9% 1.7% 2.4% Skew 10d 2.4% -5.8% 10.2% 2.0% 0.7% Call IV 25d 20.8% 14.2% 24.9% 17.8% 14.2% Put IV 25d 22.1% 16.5% 26.2% 19.5% 16.5% Bid-Ask Spread % 10.02 5.13 25.00 5.13 12.36 Gamma HHI 0.24 0.16 0.44 0.24 0.19 Net GEX 9.7M 3.7M 16.7M 13.3M 4.8M Net DEX -669.7M -1.10B -185.7M -977.3M -216.7M Net VEX -3.0M -3.2M -2.8M -3.1M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.08 1.13 0.38 1.13 Total Volume 25,699.05 10,586 58,433 43,062 17,834 Total OI 1,342,353 746,309 1,740,217 1,679,295 822,999
Daily Data (20 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 Vol Put Vol Call OI Put OI 2007-01-03 $17.51 $15.00 23.1% 6.6% 0.0% 0.0% 23.1% 1.7% 0.6% 13.3M -977.3M -3.1M 0.38 5.13 31,288 11,774 1,031,338 647,957 2007-01-04 $17.68 $15.00 23.8% 6.8% 0.0% 0.0% 23.7% 4.9% 0.1% 14.4M -1.04B -3.2M 0.69 7.47 14,614 10,107 1,041,905 652,651 2007-01-05 $17.64 $17.00 22.0% 6.9% 0.0% 0.0% 24.0% 0.6% 1.7% 14.2M -1.03B -3.2M 0.08 9.13 16,459 1,264 1,043,922 658,777 2007-01-08 $17.86 $17.00 26.3% 7.1% 0.0% 0.0% 24.4% 0.5% 1.4% 15.4M -1.10B -3.2M 0.34 9.36 13,859 4,669 1,052,825 659,581 2007-01-09 $17.82 $18.00 21.5% 7.0% 0.0% 0.0% 24.6% 1.7% 2.1% 14.5M -1.08B -3.2M 0.45 13.78 7,303 3,283 1,053,805 661,435 2007-01-10 $17.77 $18.00 22.7% 6.8% 0.0% 0.0% 23.9% 0.3% 1.7% 14.0M -1.06B -3.1M 0.50 9.54 14,630 7,333 1,054,342 661,032 2007-01-11 $17.39 $18.00 24.1% 6.9% 0.0% 0.0% 24.2% 0.8% 0.7% 12.9M -948.6M -3.1M 0.78 25.00 32,768 25,665 1,057,361 661,987 2007-01-12 $17.50 $18.00 23.6% 6.8% 0.0% 0.0% 22.6% 2.1% 2.7% 11.4M -970.7M -3.2M 0.22 8.70 35,391 7,684 1,059,738 680,479 2007-01-16 $17.30 $18.00 24.1% 6.9% 0.0% 0.0% 23.9% -0.1% 1.7% 11.1M -878.3M -3.1M 0.88 10.67 12,510 10,960 1,055,057 680,787 2007-01-17 $17.52 $17.00 22.7% 6.5% 0.0% 0.0% 20.7% -1.2% 2.0% 16.7M -979.0M -3.0M 0.37 11.34 8,743 3,222 1,057,449 674,604 2007-01-18 $17.12 $17.00 23.1% 6.6% 0.0% 0.0% 22.8% 0.8% 2.1% 7.2M -799.5M -2.9M 0.53 10.49 11,287 5,954 1,052,390 673,515 2007-01-19 $17.27 $17.00 22.1% 6.3% 0.0% 0.0% 22.1% 3.3% 1.2% 13.0M -847.2M -2.9M 0.59 10.03 14,855 8,751 1,047,730 670,339 2007-01-22 $17.00 $17.00 20.4% 5.9% 0.0% 0.0% 20.1% 2.5% 3.5% 3.7M -185.7M -2.8M 1.01 7.05 14,041 14,149 453,085 293,224 2007-01-23 $17.12 $17.00 20.5% 5.9% 0.0% 0.0% 20.2% 4.0% 1.8% 4.2M -212.7M -2.9M 0.46 6.55 8,399 3,833 459,920 297,050 2007-01-24 $17.14 $17.00 18.4% 5.3% 0.0% 0.0% 17.9% 3.6% 3.8% 4.0M -212.1M -2.8M 0.90 9.73 21,269 19,051 463,263 295,642 2007-01-25 $16.98 $17.00 20.3% 5.8% 19.0% 0.0% 18.7% 2.3% 2.2% 4.2M -192.6M -2.9M 0.35 7.60 11,875 4,134 471,703 307,364 2007-01-26 $17.15 $17.00 18.7% 5.4% 18.9% 0.0% 18.5% -1.7% 4.0% 4.5M -213.7M -2.9M 1.01 8.14 16,341 16,451 474,749 308,545 2007-01-29 $17.27 $17.00 19.7% 5.6% 18.6% 0.0% 19.3% -0.0% 4.0% 4.9M -229.0M -3.0M 0.13 9.83 16,404 2,175 482,818 322,348 2007-01-30 $17.16 $17.00 20.7% 5.9% 18.2% 0.0% 20.6% -3.4% 1.4% 4.8M -215.7M -3.0M 0.51 8.43 22,344 11,308 483,743 319,601 2007-01-31 $17.16 $17.00 18.9% 5.4% 17.7% 0.0% 18.1% 2.4% 3.2% 4.8M -216.7M -3.1M 1.13 12.36 8,388 9,446 500,868 322,131
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