ORCL Options History — April 2008

In April 2008, ORCL traded between $19.84 and $22.01. ATM implied volatility averaged 27.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 10.2% (HV 20d: 38.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-04-01: Highest Volume — 71,575 contracts
  • 2008-04-04: Largest IV spike — 13.9% change
  • 2008-04-14: Highest IV Rank — 43.6%
  • 2008-04-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.89$19.84$22.01$20.41$20.85
Max Pain$20.36$20.00$21.00$20.00$21.00
ATM IV27.9%23.5%32.9%27.9%24.8%
Expected Move8.1%6.7%9.5%8.0%7.1%
HV 20d38.1%24.6%43.1%43.1%29.5%
HV 60d35.7%33.6%40.2%40.2%34.6%
IV Rank30.3%18.5%43.6%30.2%21.9%
IV Percentile43.1%22.6%64.7%47.2%25.8%
Term Structure2.0%0.4%5.0%3.4%2.9%
VWIV28.9%24.4%32.9%29.5%25.4%
Skew 25d4.5%1.2%6.3%2.4%1.2%
Skew 10d10.9%0.9%18.7%16.1%0.9%
Call IV 25d26.9%22.9%31.0%28.2%26.4%
Put IV 25d31.3%26.5%36.6%30.6%27.6%
Bid-Ask Spread %14.439.1219.889.9714.44
Gamma HHI0.220.180.370.180.20
Net GEX8.6M1.9M24.1M7.7M7.2M
Net DEX-267.6M-504.9M-106.6M-218.0M-206.9M
Net VEX-3.4M-3.5M-3.2M-3.5M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.231.400.481.04
Total Volume25,235.7276,21871,57571,57526,498
Total OI847,457.364712,183935,019888,297737,978

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$20.41$20.0027.9%8.0%43.1%30.2%29.5%2.4%3.4%7.7M-218.0M-3.5M0.489.9748,35923,216480,094408,203
2008-04-02$20.49$20.0030.3%8.7%41.5%36.7%29.4%4.7%1.9%7.4M-225.8M-3.5M0.3111.4514,8504,632478,620409,857
2008-04-03$20.68$20.0027.0%7.7%41.2%27.8%29.6%5.8%3.5%9.0M-263.6M-3.5M0.5012.1328,14114,152480,300410,978
2008-04-04$20.35$20.0030.7%9.5%41.2%37.9%32.9%4.4%0.5%6.2M-196.8M-3.5M0.7517.558,5946,487494,698421,315
2008-04-07$20.23$20.0030.0%9.2%41.0%36.0%31.2%6.3%1.4%6.3M-196.6M-3.5M0.8916.187,7436,910493,993418,881
2008-04-08$19.92$20.0029.7%9.2%41.3%35.1%32.1%4.8%0.4%3.5M-130.9M-3.4M0.2512.7123,4835,755495,323421,326
2008-04-09$20.22$20.0028.3%9.2%41.4%31.5%32.1%5.4%1.0%6.7M-185.4M-3.4M1.3110.839,59212,550502,745423,136
2008-04-10$20.45$20.0031.5%9.0%41.5%39.9%30.7%5.1%0.4%8.5M-236.7M-3.4M0.5119.8815,5757,999494,260423,809
2008-04-11$19.84$20.0032.0%9.2%42.9%41.2%32.6%6.3%1.6%1.9M-106.6M-3.4M0.5916.8818,46310,844495,638421,980
2008-04-14$19.86$20.0032.9%9.4%42.5%43.6%32.8%5.6%0.5%2.5M-114.0M-3.3M0.6617.497,4524,919503,070422,602
2008-04-15$20.18$20.0031.9%9.1%42.5%41.0%30.9%5.4%2.0%6.3M-182.1M-3.3M0.2316.878,4891,989502,711423,998
2008-04-16$20.77$20.0028.6%8.2%41.6%32.2%28.7%4.2%3.0%13.2M-314.8M-3.3M0.7613.6020,97115,868501,621424,617
2008-04-17$21.20$20.0027.7%8.0%41.0%29.9%27.9%5.2%3.2%17.0M-397.8M-3.3M0.5016.5916,6468,244502,955428,376
2008-04-18$21.80$20.0026.2%7.5%41.2%25.8%27.7%4.1%1.0%24.1M-504.9M-3.3M0.2513.4346,34711,732503,125431,894
2008-04-21$21.76$21.0027.1%7.8%39.7%28.0%27.6%3.4%1.2%8.2M-338.5M-3.3M0.4312.7516,5727,093393,713318,709
2008-04-22$21.78$21.0026.0%7.4%39.4%25.1%27.4%4.1%1.6%8.3M-342.6M-3.2M1.4012.754,1055,756393,531318,652
2008-04-23$21.91$21.0025.5%7.3%39.3%23.9%27.3%5.8%1.4%9.4M-370.1M-3.3M0.3713.249,0653,344408,641323,782
2008-04-24$22.01$21.0023.8%6.8%26.7%19.4%24.4%4.2%2.9%9.5M-386.7M-3.3M0.639.1219,51412,219406,289324,792
2008-04-25$21.59$21.0023.5%6.7%28.1%18.5%24.6%4.0%5.0%9.0M-320.1M-3.2M0.6218.5314,0678,728401,800330,262
2008-04-28$21.51$21.0023.9%6.9%28.2%19.7%24.9%2.7%3.7%8.8M-305.6M-3.2M0.5218.574,0862,132403,287328,332
2008-04-29$21.76$21.0024.7%7.1%24.6%21.7%26.8%3.6%1.7%9.3M-342.4M-3.2M0.6612.437,2434,762404,206329,963
2008-04-30$20.85$21.0024.8%7.1%29.5%21.9%25.4%1.2%2.9%7.2M-206.9M-3.2M1.0414.4412,96213,536406,092331,886