ORCL Options History — December 2007

In December 2007, ORCL traded between $20.03 and $23.04. ATM implied volatility averaged 37.5%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.3% (HV 20d: 39.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.66.

Notable Days

2007-12-19: Highest Volume — 177,357 contracts
2007-12-13: Largest IV drop — 28.9% change
2007-12-11: Highest IV Rank — 87.6%
2007-12-05: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.65	$20.03	$23.04	$20.24	$22.58
Max Pain	$18.00	$17.50	$20.00	$20.00	$17.50
ATM IV	37.5%	26.6%	49.3%	45.1%	28.4%
Expected Move	10.2%	7.6%	13.2%	12.9%	8.2%
HV 20d	39.8%	33.6%	51.8%	48.6%	38.2%
HV 60d	37.2%	34.8%	38.9%	34.8%	38.9%
IV Rank	56.0%	26.9%	87.6%	76.3%	31.8%
IV Percentile	84.6%	62.4%	98.7%	97.4%	70.8%
Term Structure	-1.4%	-7.7%	4.1%	-6.0%	1.8%
VWIV	35.1%	26.6%	45.3%	45.2%	29.7%
Skew 25d	4.1%	-0.5%	8.3%	2.0%	2.9%
Skew 10d	9.8%	-3.0%	23.8%	16.1%	5.7%
Call IV 25d	34.0%	25.2%	44.4%	44.2%	30.9%
Put IV 25d	38.2%	30.8%	46.8%	46.3%	33.9%
Bid-Ask Spread %	8.63	3.81	15.96	9.74	5.01
Gamma HHI	0.52	0.31	0.81	0.34	0.56
Net GEX	11.5M	4.2M	37.2M	4.8M	11.7M
Net DEX	-684.4M	-1.03B	-404.4M	-437.5M	-769.2M
Net VEX	-3.0M	-3.2M	-2.8M	-3.2M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.14	1.95	0.58	0.47
Total Volume	44,422.2	12,794	177,357	22,657	14,367
Total OI	1,079,662.7	1,002,687	1,211,370	1,029,393	1,024,416

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-12-03	$20.24	$20.00	45.1%	12.9%	48.6%	76.3%	45.2%	2.0%	-6.0%	4.8M	-437.5M	-3.2M	0.58	9.74	14,307	8,350	568,562	460,831
2007-12-04	$20.03	$20.00	45.1%	12.9%	48.6%	76.3%	44.9%	2.4%	-7.0%	4.2M	-404.4M	-3.2M	0.20	10.02	18,766	3,696	573,313	464,706
2007-12-05	$21.22	$20.00	46.1%	13.2%	51.8%	78.9%	45.3%	6.6%	-7.7%	7.8M	-615.7M	-3.1M	0.94	11.40	26,187	24,545	577,885	464,923
2007-12-06	$21.42	$20.00	39.8%	11.4%	50.8%	62.2%	42.8%	8.3%	-6.0%	8.4M	-640.2M	-3.1M	1.95	9.43	4,841	9,423	581,740	475,115
2007-12-07	$21.14	$17.50	43.5%	10.5%	41.2%	72.1%	35.0%	3.0%	-0.4%	7.6M	-597.6M	-3.0M	0.46	9.92	10,822	4,972	581,565	480,491
2007-12-10	$21.64	$17.50	44.4%	9.9%	37.0%	74.5%	35.9%	4.3%	-0.1%	9.2M	-682.6M	-2.9M	0.23	9.36	36,576	8,296	585,260	482,491
2007-12-11	$21.07	$17.50	49.3%	10.8%	38.7%	87.6%	36.5%	4.4%	-1.7%	8.7M	-595.5M	-3.0M	1.21	15.96	8,896	10,725	604,461	483,765
2007-12-12	$21.37	$17.50	48.2%	10.2%	34.2%	84.5%	36.4%	2.6%	-1.5%	9.8M	-647.4M	-3.0M	0.66	8.75	16,688	11,070	606,202	491,401
2007-12-13	$21.61	$17.50	34.2%	9.8%	33.6%	47.3%	34.9%	3.8%	-0.3%	11.3M	-698.2M	-3.0M	0.46	7.97	10,134	4,696	616,701	495,989
2007-12-14	$21.20	$17.50	37.6%	10.8%	34.4%	56.3%	33.6%	2.9%	-1.1%	9.6M	-628.6M	-3.0M	1.08	11.14	6,142	6,652	616,309	497,473
2007-12-17	$20.94	$17.50	39.8%	11.4%	34.2%	62.2%	37.6%	5.8%	-3.0%	8.0M	-567.9M	-2.9M	1.24	8.42	10,758	13,339	616,649	499,311
2007-12-18	$21.25	$17.50	41.8%	12.0%	34.1%	67.4%	38.3%	6.0%	-3.9%	9.3M	-615.4M	-2.9M	0.14	9.75	64,390	8,859	619,941	505,998
2007-12-19	$20.76	$17.50	39.6%	11.4%	35.2%	61.6%	38.6%	1.9%	-3.4%	7.8M	-552.1M	-2.9M	0.48	6.65	119,514	57,843	644,880	509,772
2007-12-20	$22.10	$17.50	28.4%	8.1%	40.4%	31.5%	29.0%	-0.5%	3.1%	28.3M	-861.4M	-2.9M	0.29	10.41	113,829	32,545	686,329	525,041
2007-12-21	$22.71	$17.50	26.6%	7.6%	41.2%	26.9%	27.4%	3.3%	4.1%	37.2M	-1.03B	-2.9M	0.30	10.79	78,768	23,423	667,833	539,458
2007-12-24	$22.76	$17.50	27.9%	8.0%	39.0%	30.4%	28.1%	4.7%	0.1%	11.5M	-813.5M	-2.9M	0.55	4.53	10,964	6,011	548,232	454,455
2007-12-26	$23.00	$17.50	28.1%	8.1%	39.0%	30.9%	28.0%	6.2%	1.5%	11.6M	-836.7M	-2.8M	0.67	4.86	15,672	10,572	550,082	457,392
2007-12-27	$23.04	$17.50	28.3%	8.1%	38.0%	31.5%	27.5%	6.6%	1.5%	11.5M	-854.5M	-2.8M	0.90	3.81	15,975	14,418	550,122	464,076
2007-12-28	$22.97	$17.50	27.4%	7.8%	38.0%	28.9%	26.6%	5.0%	2.9%	11.6M	-836.8M	-2.8M	0.44	4.76	21,787	9,626	552,059	468,025
2007-12-31	$22.58	$17.50	28.4%	8.2%	38.2%	31.8%	29.7%	2.9%	1.8%	11.7M	-769.2M	-2.8M	0.47	5.01	9,774	4,593	555,558	468,858