ORCL Options History — March 2008

In March 2008, ORCL traded between $18.44 and $21.08. ATM implied volatility averaged 39.2%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.2% (HV 20d: 31.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2008-03-27: Highest Volume — 195,574 contracts
  • 2008-03-13: Largest IV spike — 27.2% change
  • 2008-03-17: Highest IV Rank — 91.8%
  • 2008-03-17: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.62$18.44$21.08$18.95$19.56
Max Pain$19.60$19.00$20.00$20.00$20.00
ATM IV39.2%30.4%50.9%39.0%31.1%
Expected Move11.6%8.7%14.6%11.2%8.9%
HV 20d31.0%26.2%42.4%31.3%40.6%
HV 60d37.7%35.8%39.6%39.2%39.6%
IV Rank60.6%36.9%91.8%60.0%39.0%
IV Percentile81.4%58.7%99.6%84.9%58.7%
Term Structure-2.5%-8.3%5.5%-3.9%1.8%
VWIV40.6%30.7%51.1%38.9%32.1%
Skew 25d5.5%0.8%12.3%6.3%3.5%
Skew 10d10.2%1.9%20.7%14.9%17.4%
Call IV 25d38.5%30.3%46.1%37.7%31.4%
Put IV 25d44.0%34.2%55.3%44.0%34.8%
Bid-Ask Spread %13.618.8121.919.9813.68
Gamma HHI0.190.140.250.210.18
Net GEX1.8M-1.5M4.7M686.0K1.8M
Net DEX-85.6M-264.9M82.3M28.7M-54.2M
Net VEX-3.4M-3.6M-2.7M-2.8M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.187.622.051.33
Total Volume58,14812,037195,57415,30421,856
Total OI826,950.25680,968924,683680,968888,971

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$18.95$20.0039.0%11.2%31.3%60.0%38.9%6.3%-3.9%686.0K28.7M-2.8M2.059.985,02310,281359,841321,127
2008-03-04$18.44$20.0040.9%11.7%31.6%65.1%41.3%4.2%-3.5%-482.3K82.3M-2.7M0.338.8171,35423,487361,179328,938
2008-03-05$18.80$20.0030.4%8.7%28.2%36.9%30.7%3.9%5.5%1.8M-6.4M-3.4M0.8411.5041,83435,211465,716345,480
2008-03-06$19.23$20.0032.2%9.2%28.4%41.9%32.1%2.6%5.3%2.9M-78.5M-3.6M0.789.3016,10812,544487,467364,098
2008-03-07$19.00$19.0032.4%10.9%27.3%42.4%37.6%3.9%0.2%1.3M-16.0M-3.3M0.4321.9113,7155,845444,728366,979
2008-03-10$19.28$19.0036.8%11.6%27.8%54.1%40.8%3.8%-1.7%1.8M-54.8M-3.3M0.2817.9816,7584,726448,863366,429
2008-03-11$19.51$19.0031.4%11.1%27.8%39.6%39.4%5.8%-0.2%2.9M-86.2M-3.4M0.8515.9018,70915,939457,097368,103
2008-03-12$19.68$19.0030.6%11.3%27.9%37.6%39.3%5.1%-2.2%3.5M-114.6M-3.4M0.5814.7414,5738,409465,228375,181
2008-03-13$19.84$19.0038.9%11.2%27.7%59.9%39.7%4.6%-2.1%4.7M-142.3M-3.4M0.7018.597,0714,966463,970365,565
2008-03-14$19.52$19.0040.3%11.6%26.2%63.6%41.8%6.6%-2.2%3.0M-99.4M-3.3M0.4119.8311,5134,770466,452367,938
2008-03-17$19.28$19.0050.9%14.6%26.6%91.8%51.1%9.2%-7.2%2.3M-65.7M-3.3M7.6215.4011,35486,529471,740370,313
2008-03-18$20.02$19.0046.1%13.2%29.6%78.9%46.1%12.3%-5.7%535.4K-131.9M-3.5M0.6715.1420,27713,562470,860438,273
2008-03-19$19.56$20.0046.8%13.4%30.1%80.8%47.4%7.4%-6.8%-579.3K-52.8M-3.4M1.1516.7314,07016,205473,598442,332
2008-03-20$20.08$20.0047.9%13.7%29.4%83.9%47.3%8.3%-8.3%-1.5M-161.2M-3.5M0.7911.6917,61113,846475,216449,467
2008-03-24$20.77$20.0048.2%13.8%31.4%84.6%49.0%7.6%-7.2%1.3M-193.5M-3.5M0.1811.5855,10010,055358,009358,657
2008-03-25$21.08$20.0044.3%12.7%31.6%74.2%44.1%5.8%-5.6%3.4M-264.9M-3.5M0.529.37100,51851,999391,507364,529
2008-03-26$20.94$20.0044.3%12.7%31.7%74.1%45.0%5.2%-5.3%4.2M-253.2M-3.6M0.479.57104,75349,452430,079393,796
2008-03-27$19.43$20.0036.9%10.6%42.4%54.5%35.4%3.4%-0.0%447.2K-12.9M-3.5M0.6711.07117,10378,471466,253415,406
2008-03-28$19.37$20.0034.8%10.0%42.2%48.9%33.3%0.8%-0.5%1.5M-34.8M-3.5M0.479.5125,33712,026482,405407,215
2008-03-31$19.56$20.0031.1%8.9%40.6%39.0%32.1%3.5%1.8%1.8M-54.2M-3.5M1.3313.689,39912,457483,089405,882