ORCL Options History — February 2009

In February 2009, ORCL traded between $15.54 and $18.05. ATM implied volatility averaged 43.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.6% (HV 20d: 39.6%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2009-02-24: Highest Volume — 90,331 contracts
2009-02-23: Largest IV spike — 16.8% change
2009-02-23: Highest IV Rank — 42.2%
2009-02-23: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.99	$15.54	$18.05	$16.90	$15.54
Max Pain	$17.63	$17.00	$18.00	$17.00	$17.00
ATM IV	43.2%	35.8%	53.0%	42.0%	47.1%
Expected Move	12.7%	10.3%	15.2%	12.0%	13.5%
HV 20d	39.6%	34.5%	42.9%	42.9%	38.0%
HV 60d	48.9%	44.7%	55.1%	55.1%	45.1%
IV Rank	29.3%	19.5%	42.2%	27.7%	34.5%
IV Percentile	63.2%	44.4%	78.2%	63.5%	71.4%
Term Structure	1.9%	-1.9%	6.3%	5.5%	2.6%
VWIV	44.2%	37.4%	50.5%	39.8%	47.2%
Skew 25d	10.7%	7.9%	12.5%	9.1%	7.9%
Skew 10d	21.3%	9.5%	32.5%	17.4%	9.5%
Call IV 25d	39.8%	34.1%	47.3%	37.2%	43.9%
Put IV 25d	50.5%	43.5%	58.9%	46.3%	51.8%
Bid-Ask Spread %	11.57	7.75	15.40	12.63	7.75
Gamma HHI	0.14	0.12	0.17	0.14	0.13
Net GEX	5.0M	1.5M	7.7M	4.2M	1.5M
Net DEX	-25.9M	-142.8M	118.9M	-18.6M	118.9M
Net VEX	-2.7M	-2.9M	-2.5M	-2.5M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.26	1.71	1.41	0.53
Total Volume	29,275.421	12,178	90,331	44,425	26,349
Total OI	886,265.632	781,692	968,431	781,692	968,431

Daily Data (19 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
2009-02-02	$16.90	$17.00	42.0%	12.0%	42.9%	27.7%	39.8%	9.1%	5.5%	4.2M	-18.6M	-2.5M	1.41	12.63	18,452	25,973	455,499	326,193
2009-02-03	$17.05	$17.00	39.7%	11.4%	42.9%	24.6%	38.5%	11.2%	5.7%	4.2M	-15.1M	-2.6M	1.71	12.11	8,030	13,702	464,932	349,466
2009-02-04	$17.21	$17.00	40.3%	11.6%	42.5%	25.4%	37.4%	11.3%	5.5%	5.0M	-44.0M	-2.6M	1.58	11.46	10,592	16,747	466,556	352,724
2009-02-05	$17.62	$17.00	35.8%	10.3%	41.1%	19.5%	37.5%	9.4%	6.3%	5.8M	-75.0M	-2.7M	0.42	14.28	12,923	5,374	468,687	363,524
2009-02-06	$17.97	$18.00	36.0%	12.1%	41.6%	19.7%	41.5%	11.1%	0.8%	7.1M	-125.2M	-2.7M	0.41	15.40	8,649	3,529	474,269	363,897
2009-02-09	$18.05	$18.00	36.3%	12.2%	41.2%	20.2%	40.6%	11.8%	0.5%	7.6M	-142.8M	-2.7M	0.37	9.84	11,540	4,235	479,046	365,846
2009-02-10	$17.58	$18.00	39.5%	12.8%	41.9%	24.3%	48.1%	11.7%	0.6%	6.5M	-95.9M	-2.7M	0.94	13.83	35,978	33,871	487,302	368,531
2009-02-11	$17.80	$18.00	37.5%	12.4%	42.0%	21.7%	40.8%	12.2%	1.1%	7.6M	-131.7M	-2.9M	0.46	10.68	9,747	4,491	508,333	390,014
2009-02-12	$17.55	$18.00	43.1%	12.4%	38.5%	29.1%	45.6%	12.5%	1.0%	7.3M	-100.2M	-2.9M	0.64	15.06	12,459	8,021	512,603	389,970
2009-02-13	$17.72	$18.00	41.6%	11.9%	38.5%	27.1%	41.6%	12.0%	1.1%	7.7M	-110.7M	-2.9M	0.98	10.37	6,573	6,462	512,910	393,590
2009-02-17	$16.96	$18.00	48.0%	13.8%	41.2%	35.6%	48.3%	11.8%	-1.9%	4.7M	-15.1M	-2.7M	1.10	10.31	9,648	10,599	515,477	398,921
2009-02-18	$17.24	$18.00	46.9%	13.4%	37.2%	34.2%	49.2%	12.5%	-0.9%	5.7M	-42.2M	-2.8M	0.26	10.13	23,224	5,995	518,225	404,851
2009-02-19	$16.83	$18.00	46.4%	13.3%	34.5%	33.5%	44.7%	10.0%	-0.7%	5.1M	-8.1M	-2.8M	0.34	10.87	12,740	4,352	533,936	406,432
2009-02-20	$16.56	$18.00	45.4%	13.0%	34.6%	32.1%	46.6%	10.9%	1.1%	4.1M	28.9M	-2.7M	1.05	10.91	9,669	10,126	532,671	405,836
2009-02-23	$15.86	$18.00	53.0%	15.2%	37.6%	42.2%	50.5%	11.6%	-0.1%	2.0M	90.2M	-2.5M	0.55	11.41	22,241	12,158	484,072	383,635
2009-02-24	$16.44	$18.00	49.3%	14.1%	39.8%	37.3%	48.3%	9.8%	1.7%	2.9M	50.4M	-2.6M	0.51	8.14	59,988	30,343	492,482	391,057
2009-02-25	$16.24	$17.00	46.5%	13.3%	39.2%	33.7%	47.6%	9.2%	2.6%	3.4M	52.2M	-2.7M	0.41	11.88	19,016	7,717	536,458	411,700
2009-02-26	$15.78	$17.00	46.9%	13.4%	37.9%	34.1%	46.2%	8.1%	2.8%	2.4M	92.0M	-2.6M	0.89	12.84	18,347	16,373	550,816	410,155
2009-02-27	$15.54	$17.00	47.1%	13.5%	38.0%	34.5%	47.2%	7.9%	2.6%	1.5M	118.9M	-2.5M	0.53	7.75	17,272	9,077	548,507	419,924