ORCL Options History — March 2007

In March 2007, ORCL traded between $16.37 and $18.49. ATM implied volatility averaged 25.3%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.2% (HV 20d: 28.5%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2007-03-20: Highest Volume — 140,359 contracts
  • 2007-03-15: Largest IV spike — 29.7% change
  • 2007-03-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.34$16.37$18.49$16.77$18.13
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV25.3%19.5%33.5%28.6%19.5%
Expected Move7.5%5.6%9.3%8.2%5.6%
HV 20d28.5%22.2%33.4%22.9%29.8%
HV 60d23.5%21.7%24.5%21.7%23.8%
Term Structure-0.9%-3.5%1.8%0.3%1.8%
VWIV25.7%16.2%31.5%29.2%20.0%
Skew 25d2.0%-3.1%5.0%0.8%3.4%
Skew 10d3.8%-6.2%13.5%-2.2%6.1%
Call IV 25d25.2%16.4%31.0%29.1%19.0%
Put IV 25d27.3%17.2%32.8%29.9%22.4%
Bid-Ask Spread %9.245.4913.739.575.49
Gamma HHI0.230.170.380.190.25
Net GEX10.3M6.7M13.1M6.7M12.4M
Net DEX-355.6M-567.3M-188.2M-224.3M-478.1M
Net VEX-3.4M-3.4M-3.3M-3.3M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.200.900.370.90
Total Volume35,770.1827,886140,35961,6667,886
Total OI914,698.136749,9071,027,019904,433861,051

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$16.77$17.0028.6%8.2%22.9%0.0%29.2%0.8%0.3%6.7M-224.3M-3.3M0.379.5744,88316,783568,230336,203
2007-03-02$16.71$17.0030.1%8.6%22.8%0.0%30.8%0.7%-0.5%8.1M-239.3M-3.4M0.2313.7318,7804,233590,392338,308
2007-03-05$16.37$17.0033.5%9.3%22.2%0.0%31.5%2.3%-3.5%9.0M-188.2M-3.3M0.247.0122,4535,336600,231339,656
2007-03-06$16.88$17.0028.5%8.2%24.7%0.0%28.2%3.3%-1.8%9.7M-287.2M-3.4M0.679.9617,85912,026611,490341,782
2007-03-07$16.49$17.0029.2%8.4%25.9%0.0%29.1%2.5%-1.0%9.1M-189.1M-3.3M0.5010.136,0063,025611,037349,655
2007-03-08$16.69$17.0028.5%8.5%26.2%0.0%29.4%0.5%-2.3%9.0M-233.3M-3.3M0.2313.2428,1636,349613,242350,668
2007-03-09$16.63$17.0026.4%8.4%25.9%0.0%29.4%1.2%-3.1%9.8M-232.9M-3.4M0.548.988,8154,799632,279352,811
2007-03-12$17.07$17.0024.9%8.2%27.6%0.0%28.5%1.6%-2.1%8.3M-338.3M-3.3M0.209.0754,32110,757630,058353,258
2007-03-13$16.65$17.0025.0%8.3%29.1%0.0%30.0%1.5%-2.1%10.9M-263.7M-3.4M0.768.9216,01012,175665,278354,959
2007-03-14$16.88$17.0022.2%8.3%29.5%0.0%29.4%2.3%-2.1%10.3M-308.1M-3.4M0.558.2019,26410,526668,315358,704
2007-03-15$16.72$17.0028.8%8.3%29.5%0.0%28.9%0.5%-2.0%8.2M-241.0M-3.4M0.7913.5316,87713,271659,313357,385
2007-03-16$16.70$17.0028.0%8.0%29.3%0.0%27.9%1.2%-1.1%9.5M-241.0M-3.4M0.4712.4916,3787,690667,316359,374
2007-03-19$17.18$17.0028.8%8.2%30.7%0.0%28.8%3.4%-2.3%7.8M-293.3M-3.4M0.276.7334,8839,577468,156281,751
2007-03-20$17.55$17.0029.4%8.4%31.0%0.0%30.2%2.1%-2.9%8.9M-371.4M-3.4M0.4110.1099,52840,831489,390285,335
2007-03-21$18.17$17.0021.9%6.3%33.0%0.0%22.2%4.2%0.5%12.8M-526.0M-3.4M0.3810.3762,47523,716546,059311,584
2007-03-22$18.49$17.0021.3%6.1%33.4%0.0%21.0%2.5%-0.0%13.1M-567.3M-3.3M0.246.1535,7108,513546,990316,826
2007-03-23$18.24$17.0019.9%5.7%32.2%0.0%19.3%2.3%1.0%12.8M-522.0M-3.4M0.2710.3010,6752,935548,315318,934
2007-03-26$18.39$17.0021.1%6.1%32.2%0.0%16.2%5.0%0.0%12.4M-546.4M-3.3M0.307.1318,3605,541540,233319,980
2007-03-27$18.49$17.0020.8%6.0%29.1%0.0%16.6%2.2%0.3%12.3M-551.5M-3.4M0.397.9110,9834,243535,963322,182
2007-03-28$18.17$17.0020.7%5.9%30.3%0.0%17.9%-3.1%1.1%12.2M-492.8M-3.4M0.558.4012,7547,022534,071323,367
2007-03-29$18.16$17.0020.1%5.8%29.8%0.0%20.4%4.6%1.5%12.4M-488.5M-3.4M0.505.889,6714,862538,583324,645
2007-03-30$18.13$17.0019.5%5.6%29.8%0.0%20.0%3.4%1.8%12.4M-478.1M-3.4M0.905.494,1503,736537,815323,236