ORCL Options History — July 2008

In July 2008, ORCL traded between $20.25 and $21.59. ATM implied volatility averaged 30.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.1% (HV 20d: 30.4%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2008-07-01: Highest Volume — 50,979 contracts
  • 2008-07-22: Largest IV drop — 13.0% change
  • 2008-07-15: Highest IV Rank — 48.1%
  • 2008-07-15: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.05$20.25$21.59$21.31$21.53
Max Pain$21.73$21.00$22.00$22.00$21.00
ATM IV30.4%26.3%36.4%30.0%26.3%
Expected Move8.7%7.5%10.4%8.6%7.5%
HV 20d30.4%26.5%32.7%31.0%27.4%
HV 60d28.9%26.9%29.8%29.4%27.8%
IV Rank31.2%18.0%48.1%33.3%18.0%
IV Percentile45.8%16.7%71.0%49.2%16.7%
Term Structure3.3%0.6%7.7%1.8%7.7%
VWIV30.6%25.5%35.7%30.0%26.5%
Skew 25d5.4%2.6%7.0%4.2%2.7%
Skew 10d11.4%0.6%19.0%10.7%4.1%
Call IV 25d27.9%22.8%32.7%28.7%26.1%
Put IV 25d33.4%28.7%37.9%32.9%28.7%
Bid-Ask Spread %14.328.4425.329.458.44
Gamma HHI0.150.130.220.140.13
Net GEX551.7K-7.3M6.8M1.6M6.8M
Net DEX-35.2M-180.9M147.5M-44.3M-180.9M
Net VEX-3.4M-3.8M-1.5M-3.8M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.121.210.650.28
Total Volume23,979.3187,48050,97950,97925,415
Total OI962,130.636646,6571,055,2471,005,243908,415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$21.31$22.0030.0%8.6%31.0%33.3%30.0%4.2%1.8%1.6M-44.3M-3.8M0.659.4530,85620,123527,041478,202
2008-07-02$20.82$22.0029.6%8.5%31.8%32.3%31.8%2.7%1.6%-546.8K24.6M-3.8M0.5212.768,4734,414545,771488,471
2008-07-03$20.73$22.0028.8%8.2%31.2%29.9%29.4%2.6%3.8%-2.4M58.1M-3.7M0.4713.3610,3114,815523,962489,476
2008-07-07$21.09$22.0031.0%9.1%30.6%36.2%30.5%6.0%2.5%-644.4K-7.4M-3.7M0.7215.959,3196,753527,951488,628
2008-07-08$21.58$22.0027.6%8.3%31.9%26.8%31.3%6.4%5.5%2.8M-104.9M-3.7M0.7921.3116,59013,125531,179488,854
2008-07-09$21.11$22.0030.4%9.1%32.7%30.3%30.8%5.2%2.4%-194.3K-18.9M-3.7M0.2513.7811,7862,987544,256494,109
2008-07-10$21.29$22.0032.1%9.2%32.3%35.4%31.2%6.9%2.2%1.2M-62.3M-3.7M1.0617.274,1504,410549,940493,823
2008-07-11$20.96$22.0033.7%9.7%32.6%40.1%33.6%5.5%0.6%-1.3M5.8M-3.6M0.6014.2827,99816,836550,957493,969
2008-07-14$20.45$22.0035.8%10.3%30.4%46.2%33.6%6.7%1.0%-5.1M147.5M-1.5M0.8718.1415,78513,694364,808281,849
2008-07-15$20.25$22.0036.4%10.4%29.7%48.1%35.7%5.1%1.7%-6.1M138.2M-3.4M1.2111.129,43411,420553,886501,361
2008-07-16$20.44$22.0035.1%10.1%29.8%44.2%35.0%6.2%1.4%-7.3M116.4M-3.5M0.5612.6527,72615,423543,383504,710
2008-07-17$20.86$22.0031.8%9.1%31.1%34.3%30.8%6.6%2.9%-6.2M36.3M-3.5M0.7325.3214,66210,647542,569511,819
2008-07-18$21.18$22.0030.8%8.8%31.4%31.5%30.9%7.0%3.7%-4.4M-37.1M-3.5M0.5412.2613,7707,459530,690502,009
2008-07-21$21.09$22.0030.5%8.8%30.2%30.7%29.4%5.3%2.6%2.8M-81.0M-3.4M0.3211.829,1242,958454,640414,907
2008-07-22$21.59$22.0026.6%7.6%31.5%18.9%25.5%6.3%6.2%5.5M-158.1M-3.4M0.1211.508,5431,002460,054416,407
2008-07-23$21.50$22.0028.4%8.2%31.4%24.5%30.2%6.7%3.9%5.2M-140.2M-3.4M0.2412.0038,3309,172465,421416,698
2008-07-24$20.95$21.0030.3%8.7%31.9%30.0%32.3%5.9%3.9%4.4M-89.6M-3.4M0.5613.6717,5719,884496,307420,814
2008-07-25$20.95$21.0028.5%8.2%26.5%24.8%27.9%5.0%4.6%4.1M-83.0M-3.4M0.2518.6924,7386,063499,263425,437
2008-07-28$20.72$21.0030.5%8.7%26.7%30.5%31.0%6.2%3.5%1.8M-26.8M-3.3M1.0114.853,7293,751484,783429,509
2008-07-29$21.43$21.0027.0%7.7%29.0%20.3%27.2%3.9%5.1%5.4M-145.8M-3.4M0.8213.0510,7448,799486,146430,028
2008-07-30$21.31$21.0026.7%7.6%28.6%19.2%28.1%6.1%5.0%4.7M-120.5M-3.3M0.3613.3510,8153,941477,564426,808
2008-07-31$21.53$21.0026.3%7.5%27.4%18.0%26.5%2.7%7.7%6.8M-180.9M-3.4M0.288.4419,8205,595482,378426,037