ORCL Options History — October 2007

In October 2007, ORCL traded between $20.75 and $22.92. ATM implied volatility averaged 25.3%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.9% (HV 20d: 24.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.62.

Notable Days

  • 2007-10-12: Highest Volume — 38,177 contracts
  • 2007-10-24: Largest IV spike — 20.3% change
  • 2007-10-24: Highest IV Rank — 67.2%
  • 2007-10-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.80$20.75$22.92$21.97$22.17
Max Pain$22.07$20.00$22.50$20.00$22.50
ATM IV25.3%20.2%31.1%21.1%26.5%
Expected Move7.3%5.9%8.9%6.1%7.6%
HV 20d24.4%21.4%26.0%25.4%25.9%
HV 60d26.1%25.3%26.9%26.3%25.3%
IV Rank40.4%16.7%67.2%21.1%46.0%
IV Percentile63.2%20.4%90.2%33.7%72.2%
Term Structure2.9%1.0%4.6%2.5%4.6%
VWIV25.9%20.9%29.9%20.9%26.8%
Skew 25d1.6%-6.3%10.0%-3.5%10.0%
Skew 10d2.7%-7.8%16.1%-3.6%16.1%
Call IV 25d24.9%20.4%30.2%20.4%22.9%
Put IV 25d26.5%15.5%32.9%16.8%32.9%
Bid-Ask Spread %9.614.5916.006.335.99
Gamma HHI0.480.400.540.480.49
Net GEX9.6M6.0M12.8M10.8M10.0M
Net DEX-702.2M-906.6M-540.6M-757.3M-720.1M
Net VEX-3.0M-3.2M-2.8M-3.0M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.221.340.420.27
Total Volume19,995.3047,47138,17713,18627,105
Total OI975,759.783942,5261,016,376961,004968,275

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$21.97$20.0021.1%6.1%25.4%21.1%20.9%-3.5%2.5%10.8M-757.3M-3.0M0.426.339,3073,879543,460417,544
2007-10-02$21.85$20.0022.9%6.6%24.7%29.3%22.6%-4.8%1.1%10.6M-741.2M-3.1M0.858.2011,6099,854545,981418,307
2007-10-03$21.57$20.0022.0%6.3%25.3%25.0%21.6%-6.3%1.4%9.4M-688.1M-3.1M1.0610.628,6299,169543,564421,216
2007-10-04$21.76$20.0020.6%5.9%25.1%18.5%21.2%-4.5%2.4%10.1M-719.4M-3.0M0.658.715,3123,430545,920423,656
2007-10-05$22.18$22.5020.2%6.7%24.3%16.7%23.8%2.5%2.5%11.5M-779.3M-3.0M0.289.1719,0145,303546,364425,775
2007-10-08$22.51$22.5021.4%7.0%24.5%22.3%24.5%4.9%3.0%12.7M-838.1M-2.9M0.228.8722,7205,016549,161426,078
2007-10-09$22.59$22.5023.9%7.1%24.3%33.8%25.1%5.6%2.8%12.8M-849.9M-2.9M0.4311.0917,1917,405554,243428,835
2007-10-10$22.92$22.5023.6%6.9%24.5%32.7%23.6%5.7%3.4%12.1M-906.6M-2.8M0.286.1517,4234,902557,053431,181
2007-10-11$22.46$22.5025.2%7.2%26.0%39.9%25.0%2.7%3.1%12.1M-828.1M-3.0M0.334.5912,8764,208557,096432,546
2007-10-12$22.44$22.5024.7%7.1%24.6%37.7%28.1%3.2%3.1%12.3M-825.2M-2.9M0.4516.0026,28311,894556,410433,349
2007-10-15$22.07$22.5026.5%7.6%25.7%45.9%26.7%1.5%3.1%11.8M-760.9M-3.0M0.7712.0413,59210,454562,691439,803
2007-10-16$21.75$22.5026.2%7.5%24.0%44.8%26.3%-0.4%2.7%10.2M-709.8M-3.0M0.8310.5012,83310,685564,728442,659
2007-10-17$21.49$22.5025.4%7.3%24.5%40.9%26.4%-0.1%3.6%7.7M-651.8M-3.1M0.4715.0419,0248,957567,936447,023
2007-10-18$21.43$22.5026.4%7.6%24.3%45.5%26.9%2.9%2.5%7.5M-649.0M-3.1M0.6010.264,6712,800571,135445,241
2007-10-19$20.75$22.5029.9%8.6%21.4%61.7%29.4%0.1%2.4%6.0M-556.6M-3.2M0.6311.9310,6426,752570,079443,975
2007-10-22$21.20$22.5027.7%7.9%22.9%51.6%28.1%-0.4%3.9%7.2M-570.3M-3.2M0.4511.0715,5346,989527,448415,078
2007-10-23$21.45$22.5025.8%7.4%23.2%42.9%27.6%5.3%4.2%7.5M-614.2M-3.1M1.349.126,4098,581528,201417,822
2007-10-24$21.18$22.5031.1%8.9%23.5%67.2%29.4%3.3%1.0%6.9M-561.9M-3.2M0.539.198,2984,431529,343419,596
2007-10-25$21.00$22.5029.7%8.5%23.5%60.9%29.9%-0.4%3.5%6.4M-540.6M-3.2M0.798.906,1694,868529,266419,362
2007-10-26$21.35$22.5026.4%7.6%24.4%45.4%27.1%1.2%4.1%7.2M-584.3M-3.2M0.6111.888,7295,300531,288421,482
2007-10-29$21.77$22.5027.0%7.7%24.8%48.3%27.3%4.6%3.5%8.4M-659.3M-3.0M0.856.8415,18412,892533,057422,125
2007-10-30$21.63$22.5027.5%7.9%24.9%50.4%27.9%2.5%3.7%8.6M-639.2M-3.0M1.108.636,4677,102538,345428,778
2007-10-31$22.17$22.5026.5%7.6%25.9%46.0%26.8%10.0%4.6%10.0M-720.1M-3.0M0.275.9921,3995,706537,101431,174