ORCL Options History — January 2009

In January 2009, ORCL traded between $16.10 and $18.41. ATM implied volatility averaged 43.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 1.9% (HV 20d: 45.6%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2009-01-15: Highest Volume — 84,398 contracts
  • 2009-01-12: Largest IV spike — 25.2% change
  • 2009-01-14: Highest IV Rank — 46.2%
  • 2009-01-14: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$16.10$18.41$18.41$16.83
Max Pain$17.55$17.00$20.00$20.00$17.00
ATM IV43.7%34.9%56.0%34.9%41.3%
Expected Move12.4%10.0%15.0%10.0%11.8%
HV 20d45.6%42.2%54.1%54.1%45.4%
HV 60d61.8%54.7%71.4%71.3%55.5%
IV Rank29.9%18.3%46.2%18.3%26.7%
IV Percentile65.9%42.5%82.9%44.8%62.7%
Term Structure4.3%2.0%7.5%4.5%6.0%
VWIV43.4%36.5%54.1%38.9%41.7%
Skew 25d10.4%6.5%13.0%6.5%8.0%
Skew 10d23.6%14.2%30.3%15.0%14.2%
Call IV 25d39.1%33.2%44.8%34.9%38.1%
Put IV 25d49.4%41.3%57.6%41.3%46.1%
Bid-Ask Spread %15.118.4825.888.489.85
Gamma HHI0.200.130.320.200.15
Net GEX1.1M-4.5M5.9M1.4M4.1M
Net DEX63.6M-111.4M249.2M-4.5M-20.0M
Net VEX-2.3M-2.6M-2.0M-2.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.092.321.351.20
Total Volume33,422.510,36584,39832,33137,088
Total OI960,336.85627,1401,204,9821,147,945756,778

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$18.41$20.0034.9%10.0%54.1%18.3%38.9%6.5%4.5%1.4M-4.5M-2.6M1.358.4813,75018,581628,467519,478
2009-01-05$18.09$18.0043.1%11.6%51.6%29.1%41.5%10.2%2.0%428.7K41.1M-2.4M0.7125.627,2205,119638,060519,169
2009-01-06$18.39$18.0036.5%11.8%48.6%20.3%37.7%10.6%2.6%2.0M-8.0M-2.5M0.4525.887,1453,220638,145519,333
2009-01-07$17.65$18.0041.7%12.1%49.2%27.3%41.4%9.8%2.9%-1.7M101.8M-2.3M0.8619.6316,20914,006641,761518,531
2009-01-08$17.62$18.0046.4%12.2%49.2%33.4%44.6%11.1%3.4%-2.4M113.9M-2.4M2.3222.9514,48333,575644,320520,891
2009-01-09$17.36$18.0043.3%13.3%48.6%29.3%46.8%10.1%3.0%-4.5M155.0M-2.3M1.4514.2713,14819,012654,385537,204
2009-01-12$17.05$18.0054.2%13.7%44.7%43.8%47.4%11.3%2.3%-2.4M170.5M-2.2M2.0914.4218,79439,317657,937510,982
2009-01-13$17.14$18.0046.6%13.5%44.1%33.7%45.6%10.8%2.1%-4.5M178.5M-2.2M0.6113.257,4334,554664,933532,353
2009-01-14$16.36$18.0056.0%15.0%46.4%46.2%54.1%11.1%2.9%-1.1M249.2M-2.0M1.9610.8419,55738,337664,638512,681
2009-01-15$16.53$17.0047.4%13.6%43.0%34.8%48.7%12.7%4.3%756.8K244.4M-2.1M1.0112.6342,01042,388667,927532,442
2009-01-16$16.91$17.0044.7%12.8%42.4%31.2%46.0%11.7%4.5%1.1M226.3M-2.1M0.4613.7411,3735,194667,973537,009
2009-01-20$16.10$17.0051.3%14.7%45.9%40.0%48.9%13.0%3.5%1.8M50.1M-2.0M0.9613.0512,27611,803364,656262,484
2009-01-21$16.89$17.0044.3%12.7%42.2%30.6%43.7%12.2%5.8%2.5M6.3M-2.1M0.3516.4121,3527,580366,769266,662
2009-01-22$16.65$17.0044.9%12.9%42.2%31.5%45.6%10.9%6.0%2.6M11.7M-2.1M1.4012.0611,25415,730382,784271,652
2009-01-23$16.78$17.0042.5%12.2%42.2%28.4%42.9%9.8%6.6%2.7M9.2M-2.2M0.8115.1531,46025,504388,497283,105
2009-01-26$16.96$17.0042.8%12.3%42.4%28.8%40.4%9.3%4.9%3.2M-8.4M-2.4M0.6412.8714,9659,552415,880304,851
2009-01-27$17.28$17.0041.3%11.9%42.9%26.8%37.8%9.7%4.4%4.4M-48.1M-2.4M0.0915.1030,9152,650425,637300,973
2009-01-28$17.84$17.0035.2%10.1%44.1%18.7%36.5%9.1%7.5%5.9M-111.4M-2.6M0.6013.6111,4396,848445,616300,279
2009-01-29$17.59$17.0036.1%10.3%42.7%19.9%37.6%9.3%7.3%5.4M-85.3M-2.5M0.8612.4212,66410,945437,328304,167
2009-01-30$16.83$17.0041.3%11.8%45.4%26.7%41.7%8.0%6.0%4.1M-20.0M-2.5M1.209.8516,85420,234445,588311,190