ORCL Options History — June 2007

In June 2007, ORCL traded between $18.73 and $19.88. ATM implied volatility averaged 25.8%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.8% (HV 20d: 23.0%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2007-06-07: Highest Volume — 82,725 contracts
  • 2007-06-14: Largest IV spike — 38.0% change
  • 2007-06-26: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$18.73$19.88$19.66$19.71
Max Pain$19.10$17.00$20.00$17.00$19.00
ATM IV25.8%19.8%32.2%22.0%21.8%
Expected Move7.9%5.7%9.2%6.3%6.3%
HV 20d23.0%19.2%25.4%19.2%25.1%
HV 60d19.7%18.6%20.6%20.1%19.9%
Term Structure-1.9%-5.0%2.7%2.7%0.4%
VWIV27.7%18.7%32.8%21.9%21.4%
Skew 25d-0.6%-3.5%2.8%1.8%0.7%
Skew 10d-2.9%-11.2%10.3%-3.0%-2.6%
Call IV 25d28.4%17.9%35.7%21.9%20.1%
Put IV 25d27.9%19.2%34.2%23.7%20.9%
Bid-Ask Spread %8.815.7114.209.869.78
Gamma HHI0.460.340.720.360.57
Net GEX17.2M11.8M33.9M12.6M17.0M
Net DEX-633.3M-864.4M-472.0M-685.3M-590.7M
Net VEX-3.8M-4.0M-3.4M-3.4M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.090.770.090.30
Total Volume41,160.85714,81882,72561,19627,843
Total OI1,024,986.429921,5431,136,670944,6401,048,209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$19.66$17.0022.0%6.3%19.2%0.0%21.9%1.8%2.7%12.6M-685.3M-3.4M0.099.8656,0565,140576,171368,469
2007-06-04$19.67$20.0020.9%7.5%19.2%0.0%26.2%1.8%-0.9%15.6M-729.5M-3.5M0.557.839,9365,500618,008369,305
2007-06-05$19.48$20.0025.6%8.1%19.6%0.0%27.8%1.3%-2.0%15.7M-689.5M-3.6M0.108.3535,7283,595623,060372,971
2007-06-06$19.35$20.0023.6%8.0%19.7%0.0%28.8%-0.9%-0.7%18.3M-682.4M-3.7M0.577.6539,31222,448647,387375,238
2007-06-07$18.73$20.0026.3%8.7%22.9%0.0%31.7%-3.0%-2.4%17.4M-542.6M-3.9M0.199.7069,37613,349663,420383,037
2007-06-08$19.06$19.0022.1%8.3%22.7%0.0%28.9%-1.9%-1.7%22.6M-644.1M-3.9M0.5613.7312,9567,220710,617388,381
2007-06-11$19.21$19.0025.3%8.5%20.9%0.0%29.5%-0.8%-1.7%21.3M-677.2M-3.8M0.298.6017,7605,142689,834390,796
2007-06-12$18.84$19.0027.5%8.5%22.1%0.0%30.2%-2.5%-2.4%21.1M-577.2M-3.9M0.529.1921,16110,926700,710393,954
2007-06-13$19.30$19.0021.3%8.2%23.6%0.0%29.1%-1.1%-1.4%23.1M-699.1M-3.8M0.267.4337,8329,679704,814400,589
2007-06-14$19.64$19.0029.4%8.4%24.2%0.0%29.8%0.7%-1.8%19.7M-823.4M-3.7M0.447.9528,22712,357726,421406,236
2007-06-15$19.86$19.0027.9%8.0%24.4%0.0%28.0%1.0%-2.4%33.9M-864.4M-3.7M0.427.9342,97118,073727,943408,727
2007-06-18$19.79$19.0028.1%8.0%24.3%0.0%28.0%-1.0%-2.8%12.1M-596.2M-3.7M0.777.0612,0649,321557,985363,558
2007-06-19$19.88$19.0028.5%8.2%24.3%0.0%28.6%-0.5%-4.0%11.9M-605.9M-3.7M0.706.1513,8199,649558,055370,733
2007-06-20$19.53$19.0029.0%8.3%25.3%0.0%29.0%-2.2%-3.4%11.8M-541.4M-3.8M0.508.9813,7396,806567,895378,864
2007-06-21$19.68$19.0028.8%8.2%25.0%0.0%28.7%-2.0%-4.1%12.6M-573.0M-3.8M0.6914.208,8756,113578,765382,067
2007-06-22$19.39$19.0028.3%8.1%24.3%0.0%28.8%-3.5%-3.4%12.6M-528.6M-3.9M0.649.189,0345,784584,989385,443
2007-06-25$19.48$19.0031.5%9.0%22.6%0.0%31.0%-2.1%-3.7%12.6M-526.0M-3.9M0.6210.4333,88920,998590,328389,480
2007-06-26$19.16$19.0032.2%9.2%23.4%0.0%32.8%-1.5%-5.0%12.7M-472.0M-4.0M0.507.1751,26225,474609,659405,423
2007-06-27$19.69$19.0022.7%6.5%25.3%0.0%22.9%2.8%-0.3%18.3M-589.0M-4.0M0.398.2052,85720,409635,050415,115
2007-06-28$19.85$19.0019.8%5.7%25.4%0.0%18.7%1.4%1.4%19.0M-662.0M-4.0M0.475.7135,11216,586639,054417,955
2007-06-29$19.71$19.0021.8%6.3%25.1%0.0%21.4%0.7%0.4%17.0M-590.7M-4.0M0.309.7821,4346,409629,172419,037