ORCL Options History — January 2008

In January 2008, ORCL traded between $20.07 and $23.11. ATM implied volatility averaged 35.4%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 8.6% (HV 20d: 44.0%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2008-01-04: Highest Volume — 57,974 contracts
2008-01-22: Largest IV spike — 20.0% change
2008-01-22: Highest IV Rank — 70.1%
2008-01-22: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.27	$20.07	$23.11	$22.49	$20.55
Max Pain	$21.31	$17.50	$22.50	$17.50	$20.00
ATM IV	35.4%	29.7%	42.8%	29.7%	37.9%
Expected Move	10.1%	8.5%	12.3%	8.5%	10.9%
HV 20d	44.0%	38.4%	47.6%	38.4%	46.5%
HV 60d	42.7%	38.7%	45.2%	38.7%	44.6%
IV Rank	50.5%	35.1%	70.1%	35.1%	57.2%
IV Percentile	85.3%	77.7%	92.9%	77.7%	86.9%
Term Structure	4.1%	0.6%	7.0%	2.0%	3.6%
VWIV	35.6%	30.0%	43.1%	30.0%	35.8%
Skew 25d	4.0%	-7.0%	13.2%	13.2%	7.3%
Skew 10d	9.0%	-12.9%	21.0%	21.0%	15.0%
Call IV 25d	34.2%	22.2%	43.9%	22.2%	35.6%
Put IV 25d	38.2%	28.2%	45.7%	35.4%	42.9%
Bid-Ask Spread %	9.15	4.32	17.65	4.32	7.07
Gamma HHI	0.39	0.22	0.59	0.57	0.29
Net GEX	5.7M	560.8K	12.5M	11.8M	1.9M
Net DEX	-398.5M	-841.7M	-29.2M	-751.6M	-65.8M
Net VEX	-3.0M	-3.1M	-2.9M	-2.9M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.20	1.96	1.43	0.50
Total Volume	26,483.19	6,727	57,974	31,522	17,499
Total OI	888,989.667	556,257	1,114,029	1,028,013	601,066

Daily Data (21 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
2008-01-02	$22.49	$17.50	29.7%	8.5%	38.4%	35.1%	30.0%	13.2%	2.0%	11.8M	-751.6M	-2.9M	1.43	4.32	12,965	18,557	558,413	469,600
2008-01-03	$23.11	$17.50	30.2%	8.7%	38.6%	36.6%	30.0%	-1.7%	0.6%	12.1M	-841.7M	-2.9M	1.36	4.68	12,481	16,927	558,586	478,910
2008-01-04	$22.03	$22.50	34.0%	9.4%	38.5%	46.6%	33.8%	4.0%	3.1%	9.6M	-658.7M	-3.0M	1.96	9.34	19,556	38,418	558,006	491,606
2008-01-07	$22.25	$22.50	32.7%	9.5%	38.5%	43.1%	33.3%	4.0%	2.5%	10.0M	-686.5M	-3.0M	0.32	11.43	15,601	4,959	561,837	507,465
2008-01-08	$21.15	$22.50	37.4%	10.1%	42.6%	55.8%	33.8%	1.5%	3.6%	5.7M	-501.8M	-3.0M	1.79	12.58	9,610	17,188	562,878	507,385
2008-01-09	$21.61	$22.50	33.2%	9.4%	42.4%	44.4%	35.4%	5.4%	3.9%	8.0M	-575.2M	-3.0M	0.92	6.29	10,920	10,031	565,623	509,958
2008-01-10	$21.68	$22.50	32.4%	9.3%	41.2%	42.4%	33.1%	3.2%	5.2%	8.9M	-583.4M	-3.0M	1.11	17.22	18,650	20,639	568,710	512,097
2008-01-11	$21.10	$22.50	35.7%	10.2%	42.1%	51.3%	34.1%	3.0%	4.4%	4.9M	-494.1M	-3.1M	1.23	8.97	16,133	19,876	578,416	520,469
2008-01-14	$22.06	$22.50	33.1%	9.5%	45.0%	44.3%	34.9%	8.0%	4.6%	12.5M	-648.1M	-3.1M	0.54	7.61	17,531	9,550	578,042	525,150
2008-01-15	$21.31	$22.50	33.3%	9.5%	46.2%	44.6%	35.1%	3.8%	5.3%	6.1M	-527.1M	-3.0M	0.36	6.39	17,692	6,397	581,670	525,249
2008-01-16	$21.92	$22.50	33.3%	9.5%	47.0%	44.6%	36.2%	4.6%	6.0%	11.5M	-614.5M	-3.0M	0.66	17.65	25,387	16,814	579,261	528,515
2008-01-17	$21.41	$22.50	33.3%	9.6%	47.6%	44.8%	36.3%	5.0%	7.0%	2.3M	-535.5M	-3.0M	0.23	7.01	10,167	2,308	581,599	532,430
2008-01-18	$21.58	$22.50	35.6%	10.2%	46.8%	51.1%	35.8%	5.2%	5.5%	4.3M	-548.2M	-3.0M	0.20	7.81	17,252	3,479	573,097	529,108
2008-01-22	$20.22	$22.50	42.8%	12.3%	46.8%	70.1%	43.1%	0.2%	3.2%	560.8K	-29.2M	-2.9M	0.42	11.23	23,533	10,002	281,604	274,653
2008-01-23	$20.61	$22.50	41.8%	12.0%	46.2%	67.5%	41.8%	6.2%	2.9%	1.4M	-63.5M	-3.0M	0.35	12.19	18,565	6,577	289,873	274,885
2008-01-24	$20.61	$20.00	39.3%	11.3%	46.1%	60.8%	37.7%	5.1%	4.2%	1.7M	-68.2M	-2.9M	0.37	9.28	16,149	5,936	293,654	274,571
2008-01-25	$20.28	$20.00	36.7%	10.5%	45.9%	54.0%	36.7%	3.3%	6.3%	1.7M	-55.5M	-2.9M	0.25	10.10	18,584	4,622	301,993	276,936
2008-01-28	$20.26	$20.00	38.5%	11.0%	45.9%	58.8%	37.8%	5.7%	4.7%	1.4M	-42.6M	-2.9M	1.23	6.77	3,017	3,710	302,108	276,693
2008-01-29	$20.07	$20.00	37.3%	10.7%	45.8%	55.4%	37.7%	3.9%	4.4%	1.2M	-30.5M	-2.9M	0.76	6.70	12,325	9,313	303,096	278,527
2008-01-30	$20.27	$20.00	35.6%	10.2%	46.0%	50.8%	35.4%	-7.0%	3.7%	1.3M	-45.8M	-2.9M	0.80	7.62	9,559	7,668	310,360	284,684
2008-01-31	$20.55	$20.00	37.9%	10.9%	46.5%	57.2%	35.8%	7.3%	3.6%	1.9M	-65.8M	-3.0M	0.50	7.07	11,662	5,837	313,899	287,167