ORCL Options History — December 2008

In December 2008, ORCL traded between $15.44 and $17.83. ATM implied volatility averaged 56.6%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 4.3% (HV 20d: 60.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.90.

Notable Days

2008-12-18: Highest Volume — 111,963 contracts
2008-12-19: Largest IV drop — 17.2% change
2008-12-01: Highest IV Rank — 83.7%
2008-12-01: Largest Expected Move — 24.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.86	$15.44	$17.83	$15.47	$17.73
Max Pain	$19.68	$18.00	$20.00	$19.00	$20.00
ATM IV	56.6%	38.3%	84.4%	84.4%	38.3%
Expected Move	15.7%	11.0%	24.2%	24.2%	11.0%
HV 20d	60.8%	53.1%	67.0%	65.9%	53.1%
HV 60d	76.1%	73.1%	78.1%	75.5%	73.1%
IV Rank	46.9%	22.7%	83.7%	83.7%	22.7%
IV Percentile	80.5%	57.5%	98.0%	98.0%	57.5%
Term Structure	-1.0%	-11.1%	5.3%	-11.1%	2.1%
VWIV	54.1%	37.2%	81.1%	81.1%	37.2%
Skew 25d	11.6%	6.7%	17.1%	11.8%	7.6%
Skew 10d	24.1%	11.4%	33.4%	19.5%	24.9%
Call IV 25d	49.6%	34.9%	75.8%	75.8%	34.9%
Put IV 25d	61.1%	42.6%	87.6%	87.6%	42.6%
Bid-Ask Spread %	10.79	8.30	13.60	12.83	8.84
Gamma HHI	0.19	0.17	0.22	0.18	0.21
Net GEX	-2.2M	-4.0M	-609.3K	-3.1M	-714.1K
Net DEX	252.7M	84.2M	454.1M	416.8M	95.6M
Net VEX	-2.5M	-2.7M	-2.2M	-2.3M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.15	2.62	0.86	1.35
Total Volume	35,992.591	2,916	111,963	38,711	20,754
Total OI	1,285,557.273	1,126,637	1,452,202	1,261,727	1,147,351

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-12-01	$15.47	$19.00	84.4%	24.2%	65.9%	83.7%	81.1%	11.8%	-11.1%	-3.1M	416.8M	-2.3M	0.86	12.83	20,798	17,913	633,412	628,315
2008-12-02	$15.79	$18.00	74.4%	21.3%	66.6%	70.5%	75.9%	15.9%	-7.0%	-3.1M	390.9M	-2.4M	0.72	13.60	11,168	8,065	650,930	636,716
2008-12-03	$16.13	$18.00	70.4%	20.2%	66.0%	65.2%	68.6%	12.8%	-5.5%	-3.5M	382.6M	-2.4M	0.57	13.30	19,593	11,108	649,315	639,915
2008-12-04	$15.44	$18.00	75.4%	21.6%	64.6%	71.9%	71.5%	17.1%	-8.5%	-4.0M	454.1M	-2.2M	1.52	11.40	7,052	10,725	657,874	646,112
2008-12-05	$16.32	$20.00	66.1%	17.4%	65.5%	59.5%	55.4%	14.3%	-2.5%	-3.7M	363.0M	-2.4M	0.51	9.00	27,573	14,158	658,376	635,117
2008-12-08	$17.04	$20.00	64.9%	15.5%	65.9%	58.0%	60.1%	13.2%	1.8%	-2.7M	272.9M	-2.5M	0.57	12.20	45,565	26,083	667,122	636,530
2008-12-09	$16.94	$20.00	70.1%	16.4%	65.9%	64.8%	57.5%	13.8%	-0.3%	-2.1M	254.3M	-2.5M	2.17	12.10	10,938	23,770	688,611	643,701
2008-12-10	$17.39	$20.00	68.0%	16.6%	66.4%	62.1%	57.7%	14.1%	-0.3%	-1.7M	192.9M	-2.6M	1.11	12.72	41,961	46,726	694,609	652,900
2008-12-11	$16.46	$20.00	61.8%	17.7%	67.0%	53.8%	59.2%	13.2%	-1.6%	-2.9M	316.2M	-2.7M	0.56	9.16	13,717	7,617	727,873	676,051
2008-12-12	$16.84	$20.00	56.1%	16.1%	61.9%	46.3%	56.9%	14.5%	0.0%	-2.3M	271.3M	-2.7M	0.74	8.30	8,972	6,620	729,309	664,301
2008-12-15	$16.45	$20.00	62.2%	17.8%	60.2%	54.4%	56.7%	12.8%	-2.1%	-3.0M	324.1M	-2.6M	2.62	10.70	4,282	11,202	728,561	666,153
2008-12-16	$17.27	$20.00	53.9%	15.5%	61.7%	43.4%	53.4%	12.8%	0.5%	-1.8M	211.8M	-2.6M	0.26	11.98	48,686	12,742	728,547	660,958
2008-12-17	$16.74	$20.00	57.0%	16.3%	61.5%	47.5%	54.9%	11.5%	-3.8%	-2.2M	271.7M	-2.6M	1.50	11.59	6,328	9,486	767,557	662,927
2008-12-18	$16.61	$20.00	52.1%	14.9%	57.2%	41.0%	53.8%	10.9%	-5.2%	-3.0M	333.1M	-2.4M	1.29	10.80	48,937	63,026	760,588	658,356
2008-12-19	$17.78	$20.00	43.1%	12.4%	59.7%	29.1%	43.1%	9.5%	2.6%	-846.8K	93.2M	-2.6M	0.47	12.19	69,906	32,842	777,801	674,401
2008-12-22	$17.52	$20.00	42.2%	12.1%	56.5%	28.0%	42.0%	10.6%	0.1%	-1.4M	160.5M	-2.6M	0.49	8.40	26,085	12,748	601,634	525,003
2008-12-23	$17.30	$20.00	40.3%	11.6%	56.6%	25.4%	41.0%	7.5%	4.8%	-1.0M	175.1M	-2.6M	0.38	8.53	5,011	1,886	623,217	531,243
2008-12-24	$17.32	$20.00	40.5%	11.6%	54.4%	25.7%	41.1%	7.5%	5.3%	-1.2M	164.4M	-2.6M	0.15	10.36	3,559	550	617,340	524,506
2008-12-26	$17.43	$20.00	40.8%	11.7%	54.3%	26.1%	40.2%	7.8%	4.5%	-1.2M	157.0M	-2.6M	0.74	9.53	1,675	1,241	619,472	524,886
2008-12-29	$17.22	$20.00	42.0%	12.1%	54.6%	27.7%	42.2%	6.7%	3.8%	-1.9M	174.7M	-2.4M	0.51	9.20	3,688	1,864	620,251	514,723
2008-12-30	$17.83	$20.00	40.7%	11.7%	53.2%	26.0%	39.9%	8.6%	0.9%	-609.3K	84.2M	-2.5M	0.64	10.69	15,420	9,797	621,683	508,013
2008-12-31	$17.73	$20.00	38.3%	11.0%	53.1%	22.7%	37.2%	7.6%	2.1%	-714.1K	95.6M	-2.5M	1.35	8.84	8,843	11,911	632,735	514,616