ORCL Options History — November 2007

In November 2007, ORCL traded between $19.36 and $22.83. ATM implied volatility averaged 41.1%, placing in the 73.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.8% (HV 20d: 42.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-11-08: Highest Volume — 107,764 contracts
  • 2007-11-08: Largest IV spike — 47.3% change
  • 2007-11-08: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.68$19.36$22.83$21.76$20.18
Max Pain$20.24$20.00$22.50$22.50$20.00
ATM IV41.1%26.7%53.9%29.4%44.3%
Expected Move11.6%7.6%13.3%8.4%12.7%
HV 20d42.9%25.6%50.1%26.7%48.9%
HV 60d32.3%25.2%35.3%25.2%35.0%
IV Rank73.1%46.8%100.0%59.4%74.3%
IV Percentile93.9%72.5%100.0%87.1%97.4%
Term Structure-2.5%-5.7%5.7%3.5%-5.7%
VWIV40.5%28.6%46.9%29.8%44.5%
Skew 25d3.3%0.2%9.6%5.1%4.8%
Skew 10d8.2%-2.8%19.6%10.4%19.6%
Call IV 25d39.4%24.3%47.8%27.2%43.0%
Put IV 25d42.7%32.3%48.9%32.3%47.8%
Bid-Ask Spread %11.916.8019.036.8010.48
Gamma HHI0.370.250.520.500.34
Net GEX6.2M2.2M11.1M8.4M4.5M
Net DEX-496.3M-823.7M-262.7M-661.1M-412.8M
Net VEX-3.3M-3.5M-3.0M-3.0M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.194.750.361.16
Total Volume32,059.3337,459107,76430,17936,269
Total OI1,021,227.667972,1521,085,708972,1521,014,283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$21.76$22.5029.4%8.4%26.7%59.4%29.8%5.1%3.5%8.4M-661.1M-3.0M0.366.8022,1857,994536,591435,561
2007-11-02$22.03$22.5026.7%7.6%26.2%46.8%28.6%9.6%5.7%9.5M-693.7M-3.2M1.438.9412,10017,266547,090439,798
2007-11-05$22.07$20.0028.7%9.2%25.6%56.2%32.9%3.4%-0.4%9.6M-704.4M-3.1M0.2112.928,1291,683548,297450,816
2007-11-06$22.83$20.0027.2%9.2%28.4%49.2%32.7%4.4%-1.2%10.8M-823.7M-3.0M0.488.9027,75713,397549,819450,825
2007-11-07$22.10$20.0029.6%9.8%30.2%60.2%35.7%2.2%-0.7%9.2M-696.2M-3.1M0.489.6311,0965,376548,406455,614
2007-11-08$20.35$20.0043.6%11.4%41.3%100.0%39.7%2.7%-1.9%3.7M-409.4M-3.4M1.0114.1353,71654,048548,170457,538
2007-11-09$19.36$20.0049.4%13.0%44.2%100.0%45.1%1.0%-3.9%2.2M-262.7M-3.5M0.2819.0351,18414,103568,354470,489
2007-11-12$19.44$20.0053.9%13.0%44.2%100.0%45.9%0.2%-2.4%5.1M-303.4M-3.5M0.4712.4326,07712,366591,091466,684
2007-11-13$20.52$20.0049.3%12.4%49.0%87.6%43.4%2.8%-3.2%7.1M-474.0M-3.4M0.2717.2833,3088,889594,371465,233
2007-11-14$20.18$20.0048.9%12.6%49.1%86.4%44.0%2.7%-3.4%7.6M-435.1M-3.5M0.2811.0518,3665,076606,764466,996
2007-11-15$20.42$20.0042.7%12.3%49.4%70.0%43.0%1.7%-3.4%11.1M-507.4M-3.4M0.3518.6835,62212,302614,211464,822
2007-11-16$20.80$20.0040.9%11.7%48.6%65.1%40.8%1.8%-1.6%6.2M-581.1M-3.4M0.5613.5226,50414,709619,512466,196
2007-11-19$20.53$20.0042.5%12.2%48.2%69.3%41.7%3.0%-2.8%4.8M-470.5M-3.3M0.5214.439,8265,102545,211450,370
2007-11-20$20.69$20.0041.9%12.0%48.0%67.8%40.8%2.9%-3.8%5.1M-489.3M-3.4M0.217.8211,4332,454548,497450,599
2007-11-21$20.21$20.0042.0%12.0%48.5%68.0%42.3%2.4%-2.8%4.5M-423.6M-3.3M1.0412.008,3258,646553,210448,933
2007-11-23$20.31$20.0043.7%12.5%48.5%72.5%44.2%2.8%-3.3%4.5M-431.5M-3.3M4.7510.693,25315,461552,715455,431
2007-11-26$19.70$20.0046.5%13.3%49.1%80.0%46.9%1.1%-4.9%3.0M-343.6M-3.3M1.159.406,9427,995552,392463,711
2007-11-27$19.89$20.0045.5%13.1%48.5%77.5%44.1%3.8%-5.5%3.5M-362.7M-3.3M0.1912.7935,6936,729552,644458,423
2007-11-28$20.51$20.0043.9%12.6%50.1%73.1%41.5%5.6%-5.4%5.2M-467.5M-3.2M0.3510.1810,6583,748562,777457,287
2007-11-29$20.48$20.0043.6%12.5%49.1%72.2%43.7%4.4%-5.5%5.3M-469.8M-3.2M0.478.975,0882,371561,839454,211
2007-11-30$20.18$20.0044.3%12.7%48.9%74.3%44.5%4.8%-5.7%4.5M-412.8M-3.2M1.1610.4816,80419,465560,947453,336