ORCL Options History — April 2007

In April 2007, ORCL traded between $18.14 and $19.10. ATM implied volatility averaged 19.5%. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.3% (HV 20d: 19.8%). Max pain ranged from $17.00 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 0.47.

Notable Days

  • 2007-04-24: Highest Volume — 29,283 contracts
  • 2007-04-09: Largest IV spike — 13.7% change
  • 2007-04-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.74$18.14$19.10$18.14$18.80
Max Pain$17.30$17.00$18.00$17.00$18.00
ATM IV19.5%18.0%21.0%21.0%19.2%
Expected Move5.6%5.2%6.0%6.0%5.5%
HV 20d19.8%12.8%28.3%28.3%14.4%
HV 60d23.3%22.8%23.8%23.7%23.0%
Term Structure1.4%0.0%3.3%0.7%2.3%
VWIV19.7%17.9%21.4%21.1%19.8%
Skew 25d-0.2%-7.1%3.2%-3.5%-1.7%
Skew 10d-1.9%-9.6%3.8%0.9%-4.2%
Call IV 25d20.0%16.7%22.2%20.4%22.0%
Put IV 25d19.8%14.0%22.8%16.9%20.3%
Bid-Ask Spread %9.424.8817.204.887.34
Gamma HHI0.330.250.680.250.36
Net GEX14.8M11.8M36.5M12.7M15.0M
Net DEX-583.7M-667.4M-482.2M-482.2M-554.5M
Net VEX-3.2M-3.4M-3.0M-3.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.081.430.460.41
Total Volume14,685.655,77929,2836,13011,806
Total OI862,598.65791,799902,172861,847846,890

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$18.14$17.0021.0%6.0%28.3%0.0%21.1%-3.5%0.7%12.7M-482.2M-3.4M0.464.884,1921,938539,088322,759
2007-04-03$18.36$17.0020.1%5.8%26.9%0.0%19.6%-1.8%2.7%12.9M-525.5M-3.4M0.299.2615,0604,315539,872323,502
2007-04-04$18.56$17.0018.4%5.3%24.9%0.0%19.6%3.2%1.9%13.4M-568.6M-3.2M0.319.524,4201,359544,350324,591
2007-04-05$18.67$17.0018.0%5.2%24.8%0.0%18.6%2.6%2.8%13.3M-581.0M-3.3M0.199.926,6541,284544,144324,916
2007-04-09$18.57$17.0020.4%6.0%24.9%0.0%21.4%1.5%0.3%13.5M-577.2M-3.2M1.439.282,9174,161545,236325,294
2007-04-10$18.85$17.0018.5%5.8%23.9%0.0%20.9%2.1%0.3%14.0M-625.3M-3.1M0.559.6512,8497,047545,265326,496
2007-04-11$18.59$17.0020.7%5.8%22.4%0.0%20.2%0.0%1.4%13.8M-586.9M-3.2M0.2811.2214,9594,184549,575331,544
2007-04-12$18.70$17.0019.9%5.7%22.2%0.0%20.7%1.9%1.6%14.1M-603.6M-3.2M1.0110.345,6935,763553,417330,785
2007-04-13$18.63$17.0020.4%5.9%21.7%0.0%20.6%0.2%0.5%14.1M-586.1M-3.2M0.4817.206,4373,114552,207333,709
2007-04-16$18.90$17.0020.7%5.9%21.8%0.0%20.7%0.9%0.1%14.5M-650.1M-3.0M0.3111.4918,0075,579553,201335,361
2007-04-17$18.89$17.0020.0%5.7%20.3%0.0%20.0%0.4%1.5%14.5M-647.0M-3.1M0.1810.7912,1572,198555,840338,958
2007-04-18$18.73$17.0020.6%5.9%19.8%0.0%20.3%-3.0%0.8%14.7M-619.6M-3.1M0.3013.097,9222,354559,507340,333
2007-04-19$18.76$17.0019.9%5.7%16.0%0.0%19.4%0.2%0.8%14.8M-620.3M-3.1M0.4310.646,0862,643561,239340,933
2007-04-20$19.00$17.0018.6%5.3%15.4%0.0%19.2%-1.1%1.9%36.5M-667.4M-3.1M0.538.3217,3489,135561,722339,092
2007-04-23$18.94$18.0018.4%5.3%14.5%0.0%17.9%0.7%1.6%11.9M-544.5M-3.1M0.916.555,8675,320494,229297,570
2007-04-24$18.82$18.0018.7%5.4%14.6%0.0%18.6%-0.9%1.4%11.8M-525.8M-3.1M0.495.8419,5939,690494,655301,425
2007-04-25$18.90$18.0018.5%5.3%14.5%0.0%18.5%0.3%1.4%13.3M-552.1M-3.1M0.597.157,6894,522511,218307,082
2007-04-26$18.95$18.0019.6%5.6%12.8%0.0%19.5%1.0%0.0%13.5M-560.8M-3.2M0.086.119,662789514,122310,356
2007-04-27$19.10$18.0018.3%5.3%12.9%0.0%18.2%-7.1%3.3%13.7M-594.7M-3.2M0.139.8625,6723,328520,701310,789
2007-04-30$18.80$18.0019.2%5.5%14.4%0.0%19.8%-1.7%2.3%15.0M-554.5M-3.2M0.417.348,3733,433534,552312,338