ORCL Options History — May 2008

In May 2008, ORCL traded between $20.99 and $22.84. ATM implied volatility averaged 25.9%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 5.4% (HV 20d: 31.3%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2008-05-19: Highest Volume — 88,886 contracts
  • 2008-05-13: Largest IV drop — 21.1% change
  • 2008-05-28: Highest IV Rank — 29.5%
  • 2008-05-07: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.90$20.99$22.84$21.82$22.84
Max Pain$20.14$20.00$21.00$21.00$21.00
ATM IV25.9%21.1%28.6%24.3%26.4%
Expected Move7.8%6.4%8.3%7.0%7.6%
HV 20d31.3%23.6%33.6%33.4%23.6%
HV 60d33.8%33.0%34.3%34.3%33.0%
IV Rank22.3%8.5%29.5%20.6%23.4%
IV Percentile31.5%7.5%48.0%23.8%30.6%
Term Structure5.2%2.3%7.5%2.3%7.1%
VWIV28.2%23.6%32.2%26.1%25.8%
Skew 25d4.7%3.2%7.4%3.6%6.2%
Skew 10d10.6%4.3%20.1%12.2%17.3%
Call IV 25d25.3%21.2%27.7%23.1%23.2%
Put IV 25d30.0%26.7%32.1%26.7%29.4%
Bid-Ask Spread %12.788.6522.0512.4812.48
Gamma HHI0.210.190.250.210.21
Net GEX9.1M6.1M13.6M9.5M9.8M
Net DEX-338.9M-449.6M-210.1M-342.1M-449.6M
Net VEX-3.2M-3.3M-3.1M-3.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.272.610.610.27
Total Volume23,478.2385,17788,88622,40712,848
Total OI795,680.571739,483860,952739,483860,952

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$21.82$21.0024.3%7.0%33.4%20.6%26.1%3.6%2.3%9.5M-342.1M-3.2M0.6112.4813,9518,456405,408334,075
2008-05-02$21.51$21.0022.3%6.4%33.3%14.3%23.6%5.9%4.5%8.6M-301.2M-3.2M0.5316.028,5114,550413,727339,631
2008-05-05$21.55$20.0025.3%8.2%33.1%22.3%27.8%3.8%3.2%9.2M-319.4M-3.2M0.8514.9610,0068,508417,701341,388
2008-05-06$21.50$20.0025.8%8.1%32.5%21.7%32.2%4.3%3.8%9.4M-316.4M-3.3M1.1612.6911,65913,542425,531348,381
2008-05-07$20.99$20.0027.0%8.3%33.6%25.1%28.9%3.4%4.3%6.9M-225.7M-3.3M2.6111.835,19413,572426,606358,519
2008-05-08$21.10$20.0025.2%8.1%33.5%20.1%27.1%5.0%4.5%6.6M-222.2M-3.2M0.4312.843,6101,567413,412360,005
2008-05-09$21.00$20.0025.1%8.1%31.4%19.8%28.7%4.0%4.1%6.1M-210.1M-3.2M0.3510.8611,4434,003415,203360,399
2008-05-12$21.51$20.0026.7%7.9%32.3%24.2%30.4%4.2%4.8%9.2M-293.4M-3.2M0.4711.5016,8187,904418,970362,443
2008-05-13$21.67$20.0021.1%8.1%32.0%8.5%30.3%5.5%4.0%11.0M-334.3M-3.2M1.2611.266,1427,761431,062368,502
2008-05-14$21.78$20.0021.5%7.4%30.6%9.7%28.2%3.5%5.2%12.6M-356.9M-3.1M2.2416.3614,33532,158427,727367,175
2008-05-15$21.87$20.0025.6%7.4%29.8%21.2%26.6%3.4%4.2%13.6M-358.5M-3.2M0.7422.059,0876,739430,860390,439
2008-05-16$21.68$20.0027.1%7.8%28.3%25.2%24.4%3.7%4.9%10.6M-317.0M-3.2M0.618.6510,1456,147430,882387,081
2008-05-19$22.43$20.0027.3%7.8%30.8%25.8%27.8%6.0%6.7%9.0M-401.6M-3.1M1.6311.6733,83455,052397,983351,638
2008-05-20$22.16$20.0026.6%7.6%31.2%23.8%27.5%5.2%6.6%7.9M-342.2M-3.3M1.1613.888,0029,300407,847384,401
2008-05-21$22.01$20.0028.1%8.0%31.3%28.0%31.3%4.9%6.9%7.6M-325.6M-3.3M0.5810.7217,31110,100411,578387,068
2008-05-22$22.31$20.0027.2%7.8%31.6%25.5%27.9%5.0%6.6%7.9M-363.8M-3.3M0.4214.187,6083,232416,778394,597
2008-05-23$21.98$20.0027.4%7.8%31.3%26.0%29.6%3.2%6.9%7.7M-315.8M-3.3M0.4211.1910,6604,460421,267396,429
2008-05-27$22.66$20.0027.3%7.8%32.9%25.9%29.8%5.0%5.9%9.2M-432.4M-3.2M0.8910.1110,8059,669426,461397,986
2008-05-28$22.79$20.0028.6%8.2%32.8%29.5%28.5%7.4%5.5%9.2M-445.8M-3.2M2.139.9010,48022,372428,612398,599
2008-05-29$22.79$20.0027.7%7.9%28.2%26.8%28.8%5.9%7.5%8.7M-443.1M-3.2M1.4712.6712,74618,756434,599417,370
2008-05-30$22.84$21.0026.4%7.6%23.6%23.4%25.8%6.2%7.1%9.8M-449.6M-3.2M0.2712.4810,1312,717441,015419,937