ORCL Options History — September 2007

In September 2007, ORCL traded between $20.02 and $21.98. ATM implied volatility averaged 30.7%, placing in the 67.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.3% (HV 20d: 26.4%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2007-09-21: Highest Volume — 110,913 contracts
  • 2007-09-21: Largest IV drop — 31.0% change
  • 2007-09-10: Highest IV Rank — 100.0%
  • 2007-09-20: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.91$20.02$21.98$20.72$21.65
Max Pain$19.84$19.00$20.00$19.00$20.00
ATM IV30.7%21.6%38.2%28.6%21.6%
Expected Move8.6%6.2%10.3%8.2%6.2%
HV 20d26.4%24.0%30.5%27.2%25.1%
HV 60d25.6%24.9%26.5%25.6%26.2%
IV Rank67.9%23.2%100.0%64.1%23.2%
IV Percentile83.8%38.7%100.0%86.9%38.7%
Term Structure-1.1%-5.7%2.3%0.1%2.3%
VWIV30.0%22.7%33.9%29.1%22.7%
Skew 25d3.5%-0.3%6.3%-0.3%4.3%
Skew 10d9.6%-3.3%16.6%0.5%7.6%
Call IV 25d28.2%20.0%33.5%29.3%21.5%
Put IV 25d31.7%25.8%36.4%29.0%25.8%
Bid-Ask Spread %9.535.6014.126.978.16
Gamma HHI0.350.270.450.280.45
Net GEX9.4M8.4M10.5M9.0M9.5M
Net DEX-666.2M-916.8M-539.3M-662.1M-704.3M
Net VEX-3.4M-3.6M-3.0M-3.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.251.090.420.68
Total Volume30,934.3168,382110,91316,4438,391
Total OI1,012,341.684939,4971,112,985996,958959,215

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$20.72$19.0028.6%8.2%27.2%64.1%29.1%-0.3%0.1%9.0M-662.1M-3.4M0.426.9711,5814,862559,160437,798
2007-09-05$20.73$19.0033.1%9.5%26.0%88.6%33.1%3.9%-2.1%9.3M-663.7M-3.5M1.0110.259,1379,262565,207435,081
2007-09-06$20.54$19.0033.4%9.6%24.8%90.1%33.4%1.5%-1.7%9.2M-628.8M-3.5M1.0910.174,0054,377567,988441,161
2007-09-07$20.16$20.0035.0%9.3%25.6%98.4%33.4%5.1%-1.9%8.8M-562.2M-3.6M0.7111.9418,50613,074568,985442,693
2007-09-10$20.17$20.0038.1%9.8%25.6%100.0%33.9%2.9%-1.9%8.4M-554.4M-3.5M0.4510.5224,33410,904564,946445,358
2007-09-11$20.46$20.0037.7%9.3%25.5%98.1%32.8%3.2%-0.6%8.6M-608.2M-3.5M1.048.517,2717,594570,148447,752
2007-09-12$20.54$20.0038.2%9.6%24.2%100.0%33.2%3.8%-1.5%9.4M-630.7M-3.5M0.2514.1213,9233,463571,172447,050
2007-09-13$20.45$20.0031.9%9.1%24.0%71.0%31.9%4.3%-2.5%9.7M-621.3M-3.5M0.4314.0627,71712,024578,712448,513
2007-09-14$20.07$20.0031.7%9.1%25.2%70.0%32.4%-0.3%-2.5%10.5M-547.0M-3.6M0.6013.3410,0136,053587,498454,770
2007-09-17$20.02$20.0032.6%9.4%25.0%74.4%33.1%3.2%-2.2%10.1M-539.3M-3.5M0.8910.7410,5339,425589,660457,476
2007-09-18$20.73$20.0032.2%9.2%27.0%72.4%32.1%3.9%-2.7%10.2M-678.7M-3.4M0.2513.0216,7824,270592,099459,313
2007-09-19$20.84$20.0032.2%9.2%27.0%72.4%31.6%2.3%-2.0%9.8M-711.8M-3.3M0.4610.1321,1309,750591,443460,503
2007-09-20$21.04$20.0036.0%10.3%27.1%89.8%33.2%5.5%-5.7%10.0M-753.6M-3.3M0.748.9959,41643,743599,424461,988
2007-09-21$21.98$20.0024.8%7.1%30.5%38.3%25.4%6.3%1.2%8.8M-916.8M-3.0M0.315.6084,79126,122620,229492,756
2007-09-24$21.79$20.0025.1%7.2%29.7%39.4%25.4%3.6%-0.5%8.8M-717.5M-3.2M0.265.9934,6199,034524,184415,313
2007-09-25$21.94$20.0023.1%6.6%29.5%30.1%24.8%6.3%1.0%9.7M-742.9M-3.2M0.426.359,2883,883537,126418,622
2007-09-26$21.77$20.0024.0%6.9%27.7%34.5%24.1%4.1%0.9%9.6M-722.2M-3.2M0.945.7611,19210,498540,554418,054
2007-09-27$21.63$20.0024.3%7.0%25.0%35.7%24.5%2.1%0.4%9.4M-691.3M-3.3M0.586.5610,6516,134542,439420,102
2007-09-28$21.65$20.0021.6%6.2%25.1%23.2%22.7%4.3%2.3%9.5M-704.3M-3.2M0.688.164,9833,408541,428417,787