ORCL Options History — September 2008

In September 2008, ORCL traded between $18.10 and $21.55. ATM implied volatility averaged 44.6%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 5.5% (HV 20d: 39.1%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-09-18: Highest Volume — 131,199 contracts
  • 2008-09-29: Largest IV spike — 57.2% change
  • 2008-09-09: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$18.10$21.55$21.55$20.31
Max Pain$20.57$20.00$22.00$21.00$20.00
ATM IV44.6%35.2%55.9%35.2%42.7%
Expected Move12.2%10.1%16.0%10.1%12.2%
HV 20d39.1%27.1%64.2%31.2%64.2%
HV 60d33.9%29.3%43.4%29.3%43.4%
IV Rank69.9%43.4%100.0%44.5%63.1%
IV Percentile86.5%61.9%100.0%66.7%84.5%
Term Structure-4.0%-11.8%-1.1%-1.3%-2.3%
VWIV41.9%33.9%49.9%33.9%43.1%
Skew 25d5.2%0.9%14.7%3.2%8.1%
Skew 10d7.1%-0.7%16.5%4.9%16.5%
Call IV 25d39.8%33.3%49.6%33.4%37.5%
Put IV 25d45.1%36.6%62.6%36.6%45.6%
Bid-Ask Spread %15.357.7825.657.7822.45
Gamma HHI0.140.110.250.150.13
Net GEX-325.7K-3.9M8.7M1.9M3.3M
Net DEX140.9M-98.9M420.5M-87.3M-56.5M
Net VEX-3.2M-3.6M-2.8M-3.4M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.171.470.441.47
Total Volume45,370.9526,075131,19914,50525,502
Total OI1,025,245.619848,4801,218,026993,049920,845

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$21.55$21.0035.2%10.1%31.2%44.5%33.9%3.2%-1.3%1.9M-87.3M-3.4M0.447.7810,0544,451498,640494,409
2008-09-03$21.19$21.0043.8%12.6%27.1%70.0%43.5%2.9%-6.6%1.2M-31.2M-3.4M1.0012.7344,89144,915502,452494,576
2008-09-04$19.93$21.0048.6%13.9%31.8%84.3%48.9%2.3%-8.8%-3.4M189.7M-3.2M0.379.1731,03811,623509,355515,798
2008-09-05$20.07$22.0047.7%11.3%32.2%81.5%39.2%4.3%-1.1%-2.2M156.3M-3.2M0.6012.0119,37611,718520,615504,083
2008-09-08$19.26$22.0052.7%11.8%30.9%96.3%39.6%5.1%-1.7%-3.9M296.2M-2.9M0.8411.3632,89927,799524,749508,304
2008-09-09$19.17$21.0055.5%12.1%30.8%100.0%40.6%4.4%-3.5%-3.6M296.2M-2.9M1.0015.0547,72947,593535,537513,564
2008-09-10$19.16$21.0055.1%11.9%30.9%98.8%40.7%3.4%-3.3%-3.4M287.0M-3.1M0.4812.0612,1155,786566,465536,274
2008-09-11$19.35$21.0041.0%11.8%31.3%59.0%41.3%4.3%-2.0%-3.1M257.1M-3.1M0.6812.8012,5198,563571,199531,677
2008-09-12$19.61$21.0040.4%11.6%31.7%57.2%41.8%5.3%-3.2%-3.0M212.9M-3.2M0.8314.8420,78717,304574,180537,054
2008-09-15$19.01$21.0045.0%12.9%32.7%70.0%45.3%4.0%-5.2%-2.9M296.8M-3.0M0.2816.8423,5476,611583,895540,000
2008-09-16$18.96$20.0045.2%12.9%32.8%70.6%43.8%3.8%-5.1%-2.6M304.5M-3.0M0.9321.0520,35619,028590,892541,821
2008-09-17$18.10$20.0051.0%14.6%35.4%87.2%49.9%1.7%-8.2%-3.0M390.1M-2.8M0.8114.3233,04226,670597,775547,234
2008-09-18$18.75$20.0050.0%14.3%38.7%84.2%48.9%0.9%-11.8%-3.2M420.5M-2.8M0.3115.75100,05131,148615,813559,994
2008-09-19$20.07$20.0038.2%10.9%47.3%50.9%38.0%7.1%-3.1%8.7M91.6M-3.3M0.1725.6570,04011,989651,409566,617
2008-09-22$19.75$20.0038.7%11.1%46.7%52.4%40.1%7.2%-2.7%675.1K42.9M-3.2M0.4415.5841,88118,563426,044422,436
2008-09-23$19.69$20.0039.4%11.3%46.4%54.4%40.3%6.0%-3.6%1.1M34.2M-3.4M0.2714.8315,7654,220450,408434,163
2008-09-24$19.95$20.0039.1%11.2%46.9%53.4%38.2%7.5%-2.2%1.9M2.7M-3.4M1.0916.559,0649,924458,822434,939
2008-09-25$20.47$20.0036.9%10.6%47.9%47.2%36.0%5.5%-1.2%2.9M-65.7M-3.5M0.4514.4629,78013,400464,187442,021
2008-09-26$20.62$20.0035.5%10.2%47.7%43.4%37.5%8.1%-1.9%3.9M-98.9M-3.6M0.4913.134,0781,997475,747444,366
2008-09-29$18.77$20.0055.9%16.0%56.6%100.0%49.0%14.7%-4.9%1.8M20.5M-3.4M1.0823.9111,99412,980476,931444,868
2008-09-30$20.31$20.0042.7%12.2%64.2%63.1%43.1%8.1%-2.3%3.3M-56.5M-3.5M1.4722.4510,34215,160479,296441,549