ORCL Options History — August 2007

In August 2007, ORCL traded between $19.11 and $20.28. ATM implied volatility averaged 28.6%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.0% (HV 20d: 27.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2007-08-16: Highest Volume — 44,649 contracts
  • 2007-08-13: Largest IV spike — 15.2% change
  • 2007-08-16: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$19.11$20.28$19.79$20.28
Max Pain$19.13$19.00$20.00$20.00$19.00
ATM IV28.6%25.3%35.3%25.9%26.4%
Expected Move8.4%7.2%10.1%7.4%7.6%
HV 20d27.6%25.8%28.9%26.4%27.2%
HV 60d24.7%23.5%26.4%23.5%25.5%
IV Rank67.7%47.8%100.0%55.1%52.5%
IV Percentile86.9%72.8%100.0%82.1%76.0%
Term Structure1.1%-1.7%4.9%4.9%2.6%
VWIV29.3%25.6%35.4%26.5%26.6%
Skew 25d3.6%-1.8%9.1%5.9%-1.8%
Skew 10d8.1%-6.5%21.6%15.0%-6.5%
Call IV 25d27.2%19.5%34.8%23.0%29.6%
Put IV 25d30.8%25.1%38.8%28.9%27.8%
Bid-Ask Spread %14.285.6924.197.6710.41
Gamma HHI0.320.250.350.320.30
Net GEX7.4M4.6M9.6M6.6M9.3M
Net DEX-467.9M-590.2M-354.1M-477.0M-590.2M
Net VEX-3.6M-3.7M-3.4M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.071.960.401.48
Total Volume18,415.1745,24244,64924,13318,391
Total OI940,475.609903,994991,504934,537991,504

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$19.79$20.0025.9%7.4%26.4%55.1%26.5%5.9%4.9%6.6M-477.0M-3.7M0.407.6717,2256,908529,373405,164
2007-08-02$20.09$20.0025.3%7.2%25.8%51.5%25.6%3.8%4.7%7.5M-536.8M-3.6M0.185.6916,1102,861533,269405,905
2007-08-03$19.66$20.0027.8%8.0%26.8%66.5%27.1%1.6%3.3%7.1M-476.2M-3.7M1.9612.735,90511,584538,089406,583
2007-08-06$20.08$19.0027.4%8.7%27.7%64.1%31.3%0.7%1.2%7.8M-530.9M-3.7M0.5621.4810,0445,671539,228405,801
2007-08-07$19.68$19.0026.5%8.6%27.5%58.9%30.0%-0.9%0.4%7.2M-459.4M-3.6M0.1922.288,8541,702533,654407,124
2007-08-08$20.20$19.0027.6%7.9%28.7%65.3%27.9%2.2%2.2%7.9M-548.0M-3.5M0.7318.559,4936,950529,956407,587
2007-08-09$20.09$19.0029.3%8.5%27.2%75.2%30.2%0.4%1.3%7.8M-541.1M-3.5M0.5412.865,8353,142530,147407,486
2007-08-10$19.99$19.0027.3%8.9%27.2%63.2%30.6%1.8%0.9%7.9M-514.9M-3.6M0.4316.2812,7195,414530,887409,373
2007-08-13$19.72$19.0031.4%8.9%27.4%87.7%30.8%0.5%0.3%7.7M-467.4M-3.6M0.0719.816,707468537,457412,974
2007-08-14$19.35$19.0029.9%9.0%27.8%78.7%29.6%-0.9%-0.0%6.7M-408.8M-3.6M0.5016.974,0071,991537,544412,596
2007-08-15$19.18$19.0031.5%9.2%27.9%88.1%33.2%0.3%0.2%5.8M-370.4M-3.6M0.3919.183,7701,472538,332413,007
2007-08-16$19.14$19.0035.3%10.1%27.5%100.0%35.4%4.0%-0.8%4.6M-354.1M-3.7M0.4624.1930,58314,066538,213413,140
2007-08-17$19.35$19.0032.1%9.2%27.9%83.3%31.9%2.6%1.2%6.0M-376.5M-3.7M0.9614.376,3246,100537,293417,446
2007-08-20$19.11$19.0034.3%9.8%27.8%94.7%33.7%1.5%-1.7%5.1M-356.5M-3.6M1.8715.776,46212,078506,102399,979
2007-08-21$19.27$19.0030.8%8.8%28.1%76.3%30.5%8.9%1.4%6.1M-382.2M-3.5M0.0815.6812,898970507,900396,094
2007-08-22$19.32$19.0030.1%8.6%28.2%72.2%28.5%8.0%0.3%6.9M-396.2M-3.5M0.1716.019,8791,693516,327394,782
2007-08-23$19.37$19.0028.8%8.3%26.7%65.5%29.0%7.2%0.9%7.4M-419.3M-3.6M0.6310.513,8612,426524,252395,063
2007-08-24$19.94$19.0025.5%7.3%27.9%47.8%27.4%8.4%0.9%8.4M-502.9M-3.5M0.9610.3516,87716,187525,432395,979
2007-08-27$19.86$19.0025.8%7.4%27.9%49.1%27.3%7.8%-0.2%8.4M-501.9M-3.4M0.307.4826,0977,885525,696402,582
2007-08-28$19.36$19.0027.8%8.0%28.1%60.3%28.3%4.8%-0.6%8.4M-427.4M-3.4M1.0410.3811,44511,905539,268407,720
2007-08-29$20.13$19.0025.9%7.4%28.9%50.0%26.8%9.1%-1.1%9.4M-554.1M-3.5M0.339.2410,6943,490544,399416,944
2007-08-30$20.21$19.0026.3%7.5%28.4%51.8%26.0%6.2%2.7%9.6M-569.3M-3.4M0.5110.4629,35715,049544,338418,950
2007-08-31$20.28$19.0026.4%7.6%27.2%52.5%26.6%-1.8%2.6%9.3M-590.2M-3.5M1.4810.417,42110,970559,983431,521