ORCL Options History — July 2007

In July 2007, ORCL traded between $19.12 and $20.78. ATM implied volatility averaged 22.2%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.6% (HV 20d: 22.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-07-20: Highest Volume — 52,859 contracts
  • 2007-07-05: Largest IV spike — 16.2% change
  • 2007-07-27: Highest IV Rank — 60.2%
  • 2007-07-27: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.20$19.12$20.78$19.92$19.12
Max Pain$19.86$19.00$20.00$19.00$20.00
ATM IV22.2%18.0%26.8%19.2%25.5%
Expected Move6.5%5.4%7.7%5.5%7.3%
HV 20d22.8%20.2%25.8%25.3%23.1%
HV 60d21.0%20.0%22.4%20.0%22.4%
IV Rank35.4%8.5%60.2%32.3%52.6%
IV Percentile60.5%3.9%84.5%59.5%80.6%
Term Structure2.9%0.4%4.6%1.9%4.0%
VWIV22.7%19.0%27.1%19.7%27.1%
Skew 25d-0.4%-8.1%5.9%2.0%-1.7%
Skew 10d-2.2%-22.6%13.0%1.4%-0.2%
Call IV 25d23.3%17.8%31.8%18.4%27.4%
Put IV 25d22.9%20.4%26.6%20.4%25.8%
Bid-Ask Spread %8.055.9011.926.4310.04
Gamma HHI0.510.310.760.610.31
Net GEX14.4M5.7M22.3M19.5M5.7M
Net DEX-671.7M-877.5M-380.0M-656.1M-380.0M
Net VEX-3.5M-3.9M-2.0M-3.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.111.470.370.71
Total Volume20,590.3337,80752,85911,12213,532
Total OI996,085.095591,4111,090,2181,055,310928,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$19.92$19.0019.2%5.5%25.3%0.0%19.7%2.0%1.9%19.5M-656.1M-3.9M0.376.438,1093,013635,921419,389
2007-07-03$20.07$19.0019.0%5.4%25.1%0.0%19.0%3.4%2.1%19.8M-686.3M-3.8M1.477.636,1529,018632,656417,503
2007-07-05$20.49$19.0022.0%6.3%25.8%32.3%23.2%5.9%0.4%16.7M-790.8M-3.7M0.217.2825,8115,305634,604423,070
2007-07-06$20.40$20.0020.7%6.2%22.4%24.4%21.5%0.9%3.0%17.8M-783.5M-3.6M0.578.824,9822,825635,321424,316
2007-07-09$20.16$20.0018.0%6.4%22.5%8.5%22.1%-2.3%2.0%20.9M-735.7M-3.6M1.007.609,1569,120634,096424,672
2007-07-10$19.72$20.0020.4%6.3%24.1%22.6%21.7%-3.4%2.8%19.5M-592.4M-3.7M0.578.6114,3618,232635,696427,904
2007-07-11$19.98$20.0020.8%6.2%23.1%24.8%22.0%-2.3%3.0%20.8M-671.6M-3.7M0.188.258,3681,522639,708429,119
2007-07-12$20.50$20.0022.3%6.4%23.3%33.9%22.1%1.3%3.1%18.5M-816.1M-3.6M0.228.3324,3855,247643,295429,422
2007-07-13$20.40$20.0021.2%6.1%22.8%27.5%21.9%-0.1%3.7%19.3M-801.5M-3.5M0.658.437,0904,598639,940430,539
2007-07-16$20.20$20.0022.8%6.5%22.9%36.8%22.8%-2.2%2.2%22.3M-389.1M-2.0M0.368.956,3472,262360,308231,103
2007-07-17$20.38$20.0023.2%6.7%23.0%39.2%23.1%-1.9%2.9%19.7M-805.2M-3.5M0.516.276,2163,169640,331434,428
2007-07-18$20.41$20.0022.9%6.6%23.0%37.3%22.0%-0.1%2.7%14.1M-836.3M-3.4M0.628.7918,04411,268638,104435,580
2007-07-19$20.60$20.0021.4%6.1%22.0%28.5%21.2%-1.0%4.3%10.5M-877.5M-3.4M0.186.2232,3015,662640,703443,424
2007-07-20$20.61$20.0021.8%6.2%22.0%30.7%22.0%-1.1%4.4%12.4M-864.8M-3.4M0.175.9545,3497,510640,918449,300
2007-07-23$20.78$20.0022.4%6.4%21.1%34.2%22.0%-1.1%3.2%7.9M-675.0M-3.4M0.116.5121,4642,286524,466386,353
2007-07-24$20.64$20.0023.5%6.7%21.4%40.7%23.4%-2.8%2.3%8.0M-654.4M-3.4M0.285.9020,6135,819528,721387,437
2007-07-25$20.58$20.0022.8%6.5%20.2%36.5%23.0%-2.2%4.6%7.7M-630.3M-3.5M0.976.898,5048,237525,043390,228
2007-07-26$20.01$20.0024.7%7.1%21.2%48.1%24.5%4.3%3.4%7.1M-538.5M-3.6M0.8511.6717,16214,663524,452392,692
2007-07-27$19.62$20.0026.8%7.7%22.2%60.2%26.8%-8.1%3.0%6.6M-467.6M-3.7M0.618.548,5075,209527,101399,552
2007-07-30$19.58$20.0025.6%7.3%22.0%53.6%25.9%3.3%2.9%6.9M-452.1M-3.7M0.5711.926,9963,983530,084401,521
2007-07-31$19.12$20.0025.5%7.3%23.1%52.6%27.1%-1.7%4.0%5.7M-380.0M-3.7M0.7110.047,9275,605527,352401,415