ORCL Options History — June 2008

In June 2008, ORCL traded between $21.00 and $23.18. ATM implied volatility averaged 32.4%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.8% (HV 20d: 25.6%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2008-06-25: Highest Volume — 175,368 contracts
  • 2008-06-12: Largest IV spike — 26.2% change
  • 2008-06-24: Highest IV Rank — 56.0%
  • 2008-06-24: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.33$21.00$23.18$22.68$21.00
Max Pain$22.38$21.00$23.00$21.00$22.00
ATM IV32.4%27.3%38.1%28.2%30.0%
Expected Move9.7%8.1%10.9%8.1%8.6%
HV 20d25.6%21.0%30.7%23.1%30.7%
HV 60d31.3%27.3%33.3%32.8%29.3%
IV Rank40.1%25.8%56.0%28.2%33.4%
IV Percentile59.1%35.3%78.2%44.4%49.6%
Term Structure-0.9%-5.0%6.5%6.0%1.1%
VWIV33.6%26.7%39.1%28.1%29.5%
Skew 25d5.6%2.8%7.6%7.4%2.8%
Skew 10d12.0%4.1%23.1%19.5%4.1%
Call IV 25d31.2%23.8%35.2%23.8%29.7%
Put IV 25d36.8%29.7%41.6%31.2%32.5%
Bid-Ask Spread %13.149.3720.5616.3010.76
Gamma HHI0.210.140.340.210.14
Net GEX9.4M924.9K17.2M9.9M924.9K
Net DEX-346.0M-539.3M-10.4M-438.4M-10.4M
Net VEX-3.3M-3.8M-3.0M-3.2M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.131.760.840.55
Total Volume48,427.04811,880175,36818,33311,880
Total OI909,985.857759,9721,009,673862,3201,009,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$22.68$21.0028.2%8.1%23.1%28.2%28.1%7.4%6.0%9.9M-438.4M-3.2M0.8416.309,9558,378441,885420,435
2008-06-03$22.91$21.0028.7%8.2%23.2%29.9%28.0%7.2%5.7%8.7M-468.1M-3.2M0.8211.6425,06820,434440,695423,985
2008-06-04$22.91$21.0028.3%8.1%23.2%28.5%26.7%4.9%6.5%10.1M-468.7M-3.1M0.899.548,3057,403444,878421,674
2008-06-05$23.18$21.0028.6%8.2%21.0%29.4%27.4%6.6%5.5%9.9M-514.5M-3.0M0.139.3716,8242,165447,696422,861
2008-06-06$22.46$23.0027.3%10.4%24.7%25.8%35.5%4.8%-2.3%10.6M-420.2M-3.2M0.4211.9326,16810,909460,148423,142
2008-06-09$22.55$23.0028.9%10.3%24.5%30.4%37.0%4.7%-1.3%12.8M-447.9M-3.2M1.1315.549,50510,754475,225426,952
2008-06-10$22.50$23.0029.6%10.8%23.3%32.3%36.3%6.0%-4.1%12.2M-426.3M-3.2M0.1512.7354,9188,466473,799428,525
2008-06-11$22.07$23.0029.5%10.6%24.4%31.9%35.4%4.7%-3.7%10.8M-342.8M-3.2M1.3510.1423,26531,403469,515430,821
2008-06-12$21.86$23.0037.2%10.7%24.7%53.4%36.5%6.5%-4.2%10.2M-279.4M-3.2M0.3914.3410,3964,005477,509443,565
2008-06-13$22.63$22.0033.8%9.7%27.5%43.8%34.2%5.8%-0.4%14.6M-468.4M-3.3M1.7618.9510,56818,602510,261443,612
2008-06-16$22.94$22.0035.8%10.3%27.5%49.5%39.1%4.6%-1.8%14.4M-539.3M-3.3M1.1017.1113,83315,182512,458454,602
2008-06-17$22.53$22.0036.1%10.4%25.9%50.5%36.7%5.9%-2.6%14.8M-450.0M-3.3M0.5520.568,2284,530515,295463,603
2008-06-18$22.44$22.0037.5%10.8%25.5%54.3%37.9%5.3%-4.7%17.2M-422.5M-3.2M1.5017.6116,08524,195514,844465,853
2008-06-19$22.70$23.0035.1%10.1%25.6%47.6%36.3%5.1%-1.8%16.6M-488.1M-3.3M0.5011.1227,72113,725514,684481,285
2008-06-20$22.10$23.0036.7%10.5%27.1%52.1%35.2%7.1%-3.7%6.6M-287.8M-3.3M0.9914.1530,36130,005511,774487,812
2008-06-23$22.08$23.0037.7%10.8%26.5%54.8%36.5%5.6%-4.7%2.9M-191.7M-3.3M0.4111.2331,97313,197385,737374,235
2008-06-24$22.23$23.0038.1%10.9%24.2%56.0%37.2%7.6%-5.0%4.6M-219.2M-3.4M1.4711.2928,42941,722403,651379,313
2008-06-25$22.55$23.0034.4%9.8%24.7%45.5%36.2%6.2%-3.3%5.1M-251.7M-3.6M0.6210.75108,28067,088422,230407,261
2008-06-26$21.42$23.0030.3%8.7%30.6%34.3%28.9%3.7%-0.2%2.9M-88.9M-3.7M0.649.7988,96156,705495,431443,674
2008-06-27$21.29$23.0029.1%8.3%30.5%30.9%27.5%4.8%1.2%1.3M-41.8M-3.6M0.4411.1446,79820,579495,431443,674
2008-06-30$21.00$22.0030.0%8.6%30.7%33.4%29.5%2.8%1.1%924.9K-10.4M-3.8M0.5510.767,6594,221531,358478,315