ORCL Options History — August 2008

In August 2008, ORCL traded between $21.25 and $23.52. ATM implied volatility averaged 29.6%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.1% (HV 20d: 29.7%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2008-08-08: Highest Volume — 73,826 contracts
  • 2008-08-11: Largest IV spike — 21.4% change
  • 2008-08-14: Highest IV Rank — 41.7%
  • 2008-08-11: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.55$21.25$23.52$21.50$21.93
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV29.6%23.4%34.3%26.7%30.6%
Expected Move9.2%7.6%10.2%7.6%8.8%
HV 20d29.7%27.1%31.5%27.4%30.8%
HV 60d29.0%27.3%30.0%27.3%29.8%
IV Rank28.0%9.4%41.7%19.3%31.0%
IV Percentile40.5%4.4%63.9%21.0%47.2%
Term Structure0.5%-2.0%6.1%6.1%1.6%
VWIV31.8%25.5%34.9%25.5%31.5%
Skew 25d4.6%2.8%6.6%6.6%5.4%
Skew 10d9.8%2.4%15.3%15.3%5.0%
Call IV 25d29.7%21.0%33.2%21.0%29.2%
Put IV 25d34.3%27.6%37.4%27.6%34.6%
Bid-Ask Spread %12.098.5716.0311.1311.88
Gamma HHI0.170.120.490.130.15
Net GEX11.8M4.5M43.9M7.1M4.5M
Net DEX-340.0M-597.3M-124.9M-168.7M-172.8M
Net VEX-3.4M-3.5M-3.3M-3.3M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.133.150.651.18
Total Volume26,160.6677,87673,82645,76818,412
Total OI977,095.381916,1151,055,668916,115990,314

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$21.50$21.0026.7%7.6%27.4%19.3%25.5%6.6%6.1%7.1M-168.7M-3.3M0.6511.1327,74918,019488,926427,189
2008-08-04$21.25$21.0028.7%9.4%27.1%25.2%33.6%4.6%0.6%5.3M-124.9M-3.4M0.1310.7917,6072,233501,592440,079
2008-08-05$22.21$21.0025.7%8.4%30.3%16.2%30.4%5.4%1.9%13.0M-326.6M-3.4M1.2412.9515,62419,384510,900439,176
2008-08-06$22.86$21.0023.6%8.5%30.5%10.3%30.8%3.8%0.9%17.0M-477.5M-3.4M1.2512.0718,78223,564515,608451,372
2008-08-07$22.75$21.0023.4%9.0%30.6%9.4%31.2%4.1%-0.3%16.9M-452.7M-3.4M3.1515.126,35020,032518,704453,581
2008-08-08$23.52$21.0023.8%9.0%31.5%10.7%32.1%6.1%0.2%16.6M-597.3M-3.3M0.5811.3546,87026,956521,680469,395
2008-08-11$23.08$21.0028.9%10.2%30.8%25.8%34.2%4.2%-2.0%16.2M-505.5M-3.5M0.8615.7517,99115,472541,277487,412
2008-08-12$22.90$21.0026.8%10.0%30.7%19.5%33.8%4.6%-1.3%16.3M-447.7M-3.5M1.1416.035,9966,831545,471497,197
2008-08-13$23.01$21.0030.0%10.2%30.7%29.0%34.9%5.4%-1.4%16.8M-471.2M-3.5M0.2010.7620,4613,997544,915500,837
2008-08-14$23.19$21.0034.3%9.8%30.2%41.7%33.2%4.4%-1.0%16.9M-515.4M-3.4M0.5111.1211,6315,903544,351502,328
2008-08-15$23.04$21.0032.8%9.4%30.2%37.3%31.6%4.4%-0.2%43.9M-488.2M-3.5M0.5213.7716,8768,734550,029505,639
2008-08-18$22.77$21.0032.3%9.3%30.6%35.9%31.1%4.2%-1.0%7.3M-323.4M-3.4M1.089.5012,38413,342469,340465,682
2008-08-19$22.56$21.0032.8%9.4%30.1%37.4%32.6%4.1%-1.3%6.5M-286.2M-3.4M1.3710.976,8779,437469,079465,342
2008-08-20$22.66$21.0032.2%9.2%30.0%35.6%31.7%5.2%-0.1%6.5M-295.1M-3.4M0.8913.544,1603,716466,208471,438
2008-08-21$22.30$21.0031.6%9.1%28.9%33.8%31.9%4.0%1.8%5.5M-231.0M-3.4M2.9712.489,50928,195468,196468,415
2008-08-22$22.70$21.0030.8%8.8%29.3%31.3%29.5%4.4%0.7%6.7M-293.5M-3.5M0.9513.135,1054,865471,743485,559
2008-08-25$22.21$21.0032.3%9.2%30.3%35.7%32.2%2.8%1.4%5.0M-217.4M-3.4M0.9011.688,0897,245474,589485,817
2008-08-26$22.15$21.0032.8%9.4%28.2%37.3%34.1%3.3%0.8%5.1M-203.5M-3.4M1.148.579,23510,489479,580482,446
2008-08-27$22.34$21.0030.9%8.9%28.1%31.9%31.3%5.0%3.3%6.0M-233.7M-3.4M0.9312.128,5617,973484,968486,143
2008-08-28$22.64$21.0031.3%9.0%28.3%33.0%30.5%3.9%0.2%8.1M-308.1M-3.4M0.569.1915,8858,833488,676487,810
2008-08-29$21.93$21.0030.6%8.8%30.8%31.0%31.5%5.4%1.6%4.5M-172.8M-3.4M1.1811.888,4309,982498,614491,700