ORCL Options History — February 2008

In February 2008, ORCL traded between $18.80 and $20.68. ATM implied volatility averaged 38.4%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.0% (HV 20d: 36.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2008-02-12: Highest Volume — 40,970 contracts
  • 2008-02-05: Largest IV spike — 14.3% change
  • 2008-02-07: Highest IV Rank — 71.5%
  • 2008-02-11: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.34$18.80$20.68$20.68$18.80
Max Pain$20.50$20.00$22.50$20.00$20.00
ATM IV38.4%33.8%43.3%33.8%38.3%
Expected Move11.4%9.7%12.8%9.7%11.0%
HV 20d36.4%29.4%45.2%45.2%31.2%
HV 60d40.3%38.7%44.8%44.6%39.2%
IV Rank58.4%46.1%71.5%46.1%58.1%
IV Percentile84.9%76.6%92.9%81.0%83.3%
Term Structure-2.0%-3.7%6.3%6.3%-2.3%
VWIV39.7%33.6%45.9%33.6%39.4%
Skew 25d4.3%-0.7%6.9%-0.7%4.6%
Skew 10d10.5%-4.4%22.0%-4.4%11.6%
Call IV 25d38.2%32.6%43.1%33.2%37.8%
Put IV 25d42.5%32.5%47.2%32.5%42.5%
Bid-Ask Spread %10.586.4517.556.459.69
Gamma HHI0.240.200.290.290.22
Net GEX401.0K-866.7K2.4M2.1M231.1K
Net DEX23.2M-82.1M66.5M-82.1M43.6M
Net VEX-2.8M-3.0M-2.7M-3.0M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.111.220.510.91
Total Volume21,457.211,05440,97014,55716,148
Total OI637,949.55602,683677,772602,683677,772

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$20.68$20.0033.8%9.7%45.2%46.1%33.6%-0.7%6.3%2.1M-82.1M-3.0M0.516.459,6614,896314,523288,160
2008-02-04$20.20$22.5035.7%11.5%43.0%51.1%38.3%5.3%-1.8%1.4M-40.7M-2.9M0.868.578,8607,610315,458288,522
2008-02-05$19.26$22.5040.8%11.8%45.2%64.7%41.4%4.4%-2.6%328.9K33.0M-2.8M0.8210.828,6457,084314,214292,125
2008-02-06$19.68$22.5039.8%11.9%43.3%62.1%40.2%4.7%-2.4%821.9K-632.2K-2.9M1.107.208,9899,872316,749293,048
2008-02-07$19.20$22.5043.3%12.4%42.8%71.5%43.5%3.5%-2.9%192.9K40.0M-2.8M0.5211.4926,18713,638319,318296,600
2008-02-08$19.19$20.0039.7%12.5%42.7%61.8%45.1%3.6%-3.3%961.1K38.3M-2.8M0.8511.4914,46012,294335,667303,112
2008-02-11$19.44$20.0036.4%12.8%42.5%53.1%45.9%5.3%-3.7%1.3M14.0M-2.8M0.6216.699,6595,970335,432300,489
2008-02-12$19.41$20.0040.6%12.6%38.4%64.4%43.5%3.8%-3.6%1.6M14.8M-2.8M0.6710.1624,46616,504339,674302,424
2008-02-13$19.66$20.0036.6%11.6%37.5%53.7%41.4%3.5%-2.0%2.4M-6.8M-3.0M0.7014.226,5144,540350,381313,740
2008-02-14$19.09$20.0040.2%11.5%36.5%63.2%40.9%3.8%-2.0%194.1K53.8M-2.8M1.2112.6314,34617,315348,821313,378
2008-02-15$19.09$20.0040.2%11.5%36.0%63.3%39.9%3.6%-1.3%-595.9K66.5M-2.8M0.6911.367,4265,096349,064322,670
2008-02-19$19.02$20.0040.0%11.5%35.7%62.8%39.4%2.1%-3.2%-749.8K42.5M-2.8M1.227.678,61410,507301,163305,348
2008-02-20$19.43$20.0038.4%11.0%29.4%58.3%37.2%4.7%-2.2%-392.8K21.5M-2.8M0.588.2311,1556,461307,457308,812
2008-02-21$18.89$20.0038.6%11.1%29.7%58.9%40.0%3.5%-1.2%-866.7K59.3M-2.7M0.618.4111,7407,118313,663311,708
2008-02-22$18.90$20.0038.1%10.9%29.7%57.5%38.8%5.8%-2.2%-855.7K62.1M-2.7M0.3417.5523,9238,078318,899315,382
2008-02-25$18.97$20.0038.3%11.0%29.5%58.2%37.9%5.5%-3.0%-426.1K48.4M-2.7M0.738.458,4846,172331,156318,973
2008-02-26$19.21$20.0036.8%10.5%30.0%54.1%36.7%6.9%-1.1%-300.2K35.5M-2.8M0.9110.4910,7899,811334,764323,274
2008-02-27$19.19$20.0035.4%10.2%29.9%50.5%34.5%5.8%-2.4%-70.9K25.0M-2.8M0.1110.9230,2243,426338,508322,289
2008-02-28$19.41$20.0036.7%10.5%30.0%53.9%36.7%6.1%-2.2%807.3K-3.9M-2.9M0.539.148,1564,306352,720323,534
2008-02-29$18.80$20.0038.3%11.0%31.2%58.1%39.4%4.6%-2.3%231.1K43.6M-2.8M0.919.698,4707,678354,852322,920