ORCL Options History — May 2007

In May 2007, ORCL traded between $18.49 and $19.42. ATM implied volatility averaged 19.9%. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.2% (HV 20d: 16.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-05-18: Highest Volume — 40,864 contracts
  • 2007-05-10: Largest IV spike — 22.4% change
  • 2007-05-10: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.04$18.49$19.42$18.59$19.38
Max Pain$17.14$17.00$18.00$18.00$17.00
ATM IV19.9%16.6%22.4%18.9%20.3%
Expected Move5.8%4.8%6.4%5.4%5.8%
HV 20d16.7%13.4%20.7%15.1%18.8%
HV 60d22.4%20.6%23.4%22.8%20.6%
Term Structure3.5%1.9%6.6%1.9%3.8%
VWIV20.6%17.6%21.8%17.6%20.5%
Skew 25d0.7%-3.3%2.3%1.0%-1.2%
Skew 10d-0.7%-8.1%9.2%3.2%-6.5%
Call IV 25d19.8%12.6%22.3%17.0%20.1%
Put IV 25d20.6%14.1%23.1%18.0%18.9%
Bid-Ask Spread %10.197.1016.447.3814.55
Gamma HHI0.420.290.600.370.36
Net GEX17.8M10.8M29.0M16.5M12.9M
Net DEX-606.8M-688.5M-507.9M-513.4M-641.0M
Net VEX-3.4M-3.5M-3.3M-3.3M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.134.570.130.53
Total Volume18,951.9556,11440,86438,55810,641
Total OI920,926.636852,589966,119852,589948,483

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$18.59$18.0018.9%5.4%15.1%0.0%17.6%1.0%1.9%16.5M-513.4M-3.3M0.137.3834,0914,467539,856312,733
2007-05-02$18.86$18.0016.6%4.8%15.4%0.0%21.8%-3.3%3.7%19.9M-575.5M-3.3M2.107.127,66116,125557,578314,937
2007-05-03$19.02$18.0017.3%5.0%15.2%0.0%20.1%1.6%4.4%18.0M-611.9M-3.3M0.487.1014,6017,006560,248329,470
2007-05-04$19.03$17.0017.1%5.8%15.1%0.0%21.2%2.0%3.3%18.7M-621.7M-3.3M2.9810.993,75011,180570,271334,348
2007-05-07$19.05$17.0018.9%5.9%14.9%0.0%20.3%0.4%3.3%18.1M-635.9M-3.3M0.7110.655,3023,742571,225343,407
2007-05-08$18.95$17.0018.0%6.0%14.1%0.0%21.2%2.0%1.9%19.2M-609.3M-3.3M0.3710.586,3072,321572,389345,286
2007-05-09$18.83$17.0018.3%6.0%13.4%0.0%21.2%1.9%2.9%19.6M-590.5M-3.3M0.5910.636,1653,607576,421345,736
2007-05-10$18.49$17.0022.4%6.4%14.8%0.0%21.8%0.3%1.9%16.6M-507.9M-3.4M0.3910.3213,8145,360578,120348,228
2007-05-11$18.98$17.0021.4%6.1%17.5%0.0%21.1%0.3%2.4%22.1M-633.5M-3.4M0.2810.886,4601,815584,339351,316
2007-05-14$18.94$17.0021.4%6.1%16.8%0.0%21.4%0.9%3.4%23.7M-617.2M-3.4M0.2116.4411,2522,409585,632352,000
2007-05-15$18.84$17.0021.6%6.2%16.9%0.0%21.7%2.0%3.2%25.4M-597.0M-3.3M0.3711.089,1523,375587,913352,480
2007-05-16$18.99$17.0020.3%5.8%16.8%0.0%20.8%1.8%4.1%25.8M-626.8M-3.4M0.2711.434,8301,284585,785354,203
2007-05-17$19.05$17.0020.3%5.8%16.8%0.0%21.4%0.9%4.3%29.0M-645.9M-3.3M4.5710.856,13428,059585,074354,151
2007-05-18$19.25$17.0021.3%6.1%16.6%0.0%21.1%2.1%3.0%18.0M-688.5M-3.4M0.297.5231,6779,187585,903380,216
2007-05-21$19.32$17.0020.9%6.0%16.6%0.0%20.9%2.3%4.4%10.8M-600.2M-3.4M0.417.5823,3049,525535,021351,216
2007-05-22$19.37$17.0020.7%5.9%16.4%0.0%19.9%-0.9%3.3%11.1M-626.3M-3.4M0.308.0217,5235,208548,002355,011
2007-05-23$19.16$17.0019.8%5.7%16.9%0.0%19.7%1.7%4.0%12.5M-598.7M-3.4M0.249.466,0971,494563,787358,892
2007-05-24$18.75$17.0020.0%5.7%18.6%0.0%18.7%1.0%4.6%12.9M-515.2M-3.5M0.4611.3713,6906,251566,477359,763
2007-05-25$19.24$17.0018.8%5.4%20.7%0.0%18.0%2.1%6.6%13.3M-617.1M-3.5M0.419.574,8461,997571,821361,063
2007-05-29$19.31$17.0022.0%6.3%19.8%0.0%21.2%-2.0%3.0%13.4M-630.1M-3.4M1.049.617,3057,614574,286362,029
2007-05-30$19.42$17.0021.0%6.0%19.3%0.0%20.7%-0.5%4.3%13.4M-646.0M-3.5M0.3311.0930,3529,963577,536367,734
2007-05-31$19.38$17.0020.3%5.8%18.8%0.0%20.5%-1.2%3.8%12.9M-641.0M-3.5M0.5314.556,9523,689577,283371,200