ORCL Options History — November 2008

In November 2008, ORCL traded between $15.40 and $18.90. ATM implied volatility averaged 68.6%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 11.2% (HV 20d: 79.8%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2008-11-19: Highest Volume — 69,420 contracts
  • 2008-11-12: Largest IV spike — 19.7% change
  • 2008-11-20: Highest IV Rank — 99.1%
  • 2008-11-20: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.92$15.40$18.90$18.33$16.09
Max Pain$18.79$18.00$19.00$18.00$19.00
ATM IV68.6%47.5%96.1%50.8%68.4%
Expected Move20.3%13.6%27.5%14.6%19.6%
HV 20d79.8%64.9%95.4%95.4%64.9%
HV 60d72.4%67.6%76.1%67.6%75.2%
IV Rank62.9%35.0%99.1%39.3%62.5%
IV Percentile94.0%84.5%99.6%89.3%92.1%
Term Structure-1.4%-11.5%14.2%14.2%-2.9%
VWIV71.3%46.2%93.4%51.6%75.5%
Skew 25d17.2%11.1%21.1%11.1%13.6%
Skew 10d34.4%29.2%40.1%33.8%29.9%
Call IV 25d62.4%40.8%84.5%46.3%62.7%
Put IV 25d79.6%55.7%103.5%57.4%76.3%
Bid-Ask Spread %13.709.9217.2113.3612.36
Gamma HHI0.120.090.180.100.18
Net GEX-890.4K-3.9M3.8M2.5M-3.2M
Net DEX283.0M-4.8M434.6M92.5M390.6M
Net VEX-3.1M-3.6M-2.5M-3.5M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.261.680.440.26
Total Volume33,645.1056,99569,42024,6316,995
Total OI1,348,876.7371,227,9351,438,3071,292,0401,257,146

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$18.33$18.0050.8%14.6%95.4%39.3%51.6%11.1%14.2%2.5M92.5M-3.5M0.4413.3617,0787,553647,650644,390
2008-11-04$18.90$18.0047.5%13.6%90.2%35.0%46.2%15.0%10.6%3.8M-4.8M-3.6M1.2017.1821,92926,324655,937649,281
2008-11-05$17.82$18.0053.3%15.3%93.1%42.5%54.1%13.2%12.5%1.5M161.1M-3.5M1.6814.2625,28242,403668,545662,645
2008-11-06$16.85$18.0063.5%18.2%94.2%56.0%66.4%16.6%8.8%-870.3K301.5M-3.2M1.5814.6014,72023,279672,087685,092
2008-11-07$17.53$19.0053.1%19.4%94.7%42.3%75.2%21.1%-2.6%-79.5K226.1M-3.4M0.7413.289,1326,795668,563690,126
2008-11-10$17.56$19.0054.6%18.7%83.4%44.3%66.5%19.3%-1.2%337.8K217.5M-3.3M0.8716.5317,65915,296674,855687,083
2008-11-11$17.29$19.0060.4%20.2%80.4%51.9%78.7%18.8%-6.7%-181.3K265.3M-3.2M1.5711.236,94310,905680,869687,801
2008-11-12$16.47$19.0072.2%22.2%73.2%67.6%77.7%17.2%-9.4%-1.6M348.5M-3.0M1.4612.1912,56518,387683,648689,746
2008-11-13$17.72$19.0066.0%18.9%74.4%59.4%68.4%18.4%-0.8%1.1M198.5M-3.3M0.4415.6438,04116,740686,107693,761
2008-11-14$16.90$19.0072.4%20.8%76.4%67.8%71.6%17.0%-5.5%-674.7K306.9M-3.1M0.3014.4238,36611,491706,383694,233
2008-11-17$16.41$19.0081.4%23.3%73.0%79.7%79.0%18.1%-10.1%-1.4M350.5M-2.9M0.409.927,7573,134710,477703,066
2008-11-18$17.02$19.0078.0%22.3%74.0%75.2%79.3%19.0%-5.6%-153.4K297.7M-3.0M0.3214.2113,4504,290709,005702,638
2008-11-19$16.00$19.0089.0%25.5%76.4%89.8%82.6%19.6%-2.1%-2.5M367.4M-2.9M0.4916.6546,50022,920710,064704,417
2008-11-20$15.40$19.0096.1%27.5%77.3%99.1%93.4%19.0%-9.4%-3.9M434.6M-2.7M1.3012.8819,79725,676721,273715,334
2008-11-21$16.38$19.0083.5%23.9%79.2%82.5%75.0%18.8%-11.5%-3.5M351.7M-2.9M0.8217.2117,32214,270725,747712,560
2008-11-24$16.64$19.0071.4%20.5%78.7%66.5%72.0%19.0%1.2%-2.4M324.5M-2.7M0.5912.2522,19212,988606,181621,754
2008-11-25$15.98$19.0072.7%20.8%68.8%68.3%70.1%16.5%-3.2%-2.7M367.2M-2.6M0.3611.7119,5437,030622,626622,762
2008-11-26$16.14$19.0069.9%20.0%68.8%64.6%72.3%15.4%-3.7%-3.0M379.9M-2.6M0.8410.407,8756,630628,377626,429
2008-11-28$16.09$19.0068.4%19.6%64.9%62.5%75.5%13.6%-2.9%-3.2M390.6M-2.5M0.2612.365,5331,462629,366627,780