ORCL Options History — February 2007

Name: ORCL Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, ORCL traded between $16.29 and $17.42. ATM implied volatility averaged 22.2%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.3% (HV 20d: 18.0%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2007-02-20: Highest Volume — 48,231 contracts
2007-02-08: Largest IV spike — 18.9% change
2007-02-28: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.86	$16.29	$17.42	$17.05	$16.43
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	22.2%	18.7%	28.0%	19.0%	28.0%
Expected Move	6.5%	5.4%	8.0%	5.4%	8.0%
HV 20d	18.0%	15.4%	21.4%	17.3%	21.4%
Term Structure	2.1%	0.8%	4.6%	2.6%	0.9%
VWIV	22.2%	18.9%	28.0%	18.9%	28.0%
Skew 25d	0.8%	-1.9%	4.4%	2.9%	-0.7%
Skew 10d	0.3%	-6.1%	10.2%	2.0%	-2.4%
Call IV 25d	21.7%	13.2%	25.9%	13.2%	25.9%
Put IV 25d	22.6%	16.1%	25.2%	16.1%	25.2%
Bid-Ask Spread %	9.81	5.56	14.41	8.36	11.52
Gamma HHI	0.18	0.15	0.22	0.19	0.18
Net GEX	5.7M	4.6M	7.7M	5.0M	5.7M
Net DEX	-193.0M	-280.9M	-133.0M	-209.4M	-160.9M
Net VEX	-3.1M	-3.2M	-3.0M	-3.1M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.14	1.65	0.37	1.01
Total Volume	20,631.737	6,046	48,231	8,819	37,959
Total OI	847,204.053	813,748	884,800	824,452	884,800

Daily Data (19 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
2007-02-01	$17.05	$17.00	19.0%	5.4%	17.3%	0.0%	18.9%	2.9%	2.6%	5.0M	-209.4M	-3.1M	0.37	8.36	6,426	2,393	500,740	323,712
2007-02-02	$17.42	$17.00	20.0%	6.5%	18.7%	0.0%	21.7%	2.5%	2.0%	5.9M	-265.9M	-3.1M	1.65	14.41	6,932	11,468	501,438	322,116
2007-02-05	$17.16	$17.00	21.2%	6.3%	19.4%	0.0%	22.0%	1.1%	1.3%	5.5M	-228.2M	-3.1M	0.37	9.76	6,244	2,308	505,227	319,067
2007-02-06	$17.02	$17.00	18.9%	6.2%	18.8%	0.0%	22.0%	1.1%	2.2%	5.4M	-199.8M	-3.0M	0.82	10.82	14,965	12,221	508,705	320,102
2007-02-07	$16.91	$17.00	18.7%	6.2%	18.9%	0.0%	21.6%	0.1%	2.5%	5.1M	-179.5M	-3.1M	0.29	13.57	11,242	3,253	513,254	326,442
2007-02-08	$16.71	$17.00	22.3%	6.4%	19.2%	0.0%	22.2%	-0.4%	2.4%	4.8M	-152.0M	-3.0M	0.36	10.35	5,773	2,062	513,914	323,645
2007-02-09	$16.70	$17.00	22.5%	6.5%	17.9%	0.0%	22.1%	-1.4%	1.0%	4.7M	-143.8M	-3.0M	0.72	10.23	6,712	4,801	515,208	322,785
2007-02-12	$16.65	$17.00	22.1%	6.3%	17.6%	0.0%	21.7%	1.3%	2.5%	4.6M	-145.3M	-3.0M	0.90	7.89	14,930	13,384	517,560	322,490
2007-02-13	$16.62	$17.00	22.9%	6.6%	17.3%	0.0%	22.8%	0.2%	1.4%	4.7M	-133.0M	-3.0M	0.22	7.02	9,764	2,176	522,331	330,787
2007-02-14	$16.77	$17.00	21.9%	6.3%	16.9%	0.0%	20.2%	0.7%	2.0%	5.7M	-168.7M	-3.0M	0.54	10.36	5,073	2,764	525,115	325,245
2007-02-15	$16.91	$17.00	21.9%	6.3%	15.4%	0.0%	21.7%	3.0%	1.7%	6.0M	-188.5M	-3.0M	0.81	10.49	13,454	10,941	526,326	324,387
2007-02-16	$16.70	$17.00	22.4%	6.4%	15.5%	0.0%	22.2%	-0.4%	1.3%	5.0M	-152.2M	-3.0M	0.14	8.95	21,188	3,020	527,706	330,538
2007-02-20	$16.98	$17.00	22.4%	6.4%	15.9%	0.0%	22.2%	1.5%	3.0%	5.2M	-207.0M	-3.1M	0.34	5.56	36,024	12,207	502,113	311,635
2007-02-21	$17.20	$17.00	22.0%	6.3%	16.4%	0.0%	21.4%	2.6%	3.1%	7.4M	-272.6M	-3.1M	0.60	8.63	26,426	15,982	530,629	315,040
2007-02-22	$17.27	$17.00	20.7%	5.9%	16.4%	0.0%	20.7%	4.4%	4.6%	7.7M	-280.9M	-3.2M	0.87	13.88	3,231	2,815	541,308	324,198
2007-02-23	$16.82	$17.00	22.3%	6.4%	18.7%	0.0%	22.2%	-1.1%	4.0%	7.0M	-211.3M	-3.2M	0.93	5.84	16,560	15,319	538,864	323,928
2007-02-26	$16.82	$17.00	24.8%	7.1%	18.3%	0.0%	22.6%	-1.9%	0.8%	6.5M	-207.9M	-3.2M	0.34	6.78	7,739	2,608	546,238	330,269
2007-02-27	$16.29	$17.00	28.0%	8.0%	21.1%	0.0%	26.6%	0.7%	1.1%	6.7M	-160.0M	-3.2M	0.41	11.98	15,297	6,342	553,288	325,727
2007-02-28	$16.43	$17.00	28.0%	8.0%	21.4%	0.0%	28.0%	-0.7%	0.9%	5.7M	-160.9M	-3.2M	1.01	11.52	18,855	19,104	557,920	326,880