ORCL Options History — March 2009

In March 2009, ORCL traded between $13.85 and $18.68. ATM implied volatility averaged 48.0%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 2.8% (HV 20d: 50.8%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-03-19: Highest Volume — 195,599 contracts
  • 2009-03-12: Largest IV drop — 25.6% change
  • 2009-03-09: Highest IV Rank — 57.1%
  • 2009-03-04: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.23$13.85$18.68$15.20$18.07
Max Pain$15.95$15.00$17.00$17.00$16.00
ATM IV48.0%37.1%64.3%54.1%40.5%
Expected Move13.2%10.6%16.1%15.5%11.6%
HV 20d50.8%33.6%62.9%35.8%62.5%
HV 60d45.9%41.9%49.2%45.2%48.8%
IV Rank35.6%21.2%57.1%43.6%25.7%
IV Percentile66.4%46.0%87.7%80.2%52.8%
Term Structure-0.8%-7.4%2.6%0.1%2.6%
VWIV45.9%38.3%60.2%50.2%39.7%
Skew 25d8.5%5.1%12.8%12.8%6.2%
Skew 10d17.7%10.4%27.3%20.8%12.6%
Call IV 25d42.0%34.8%52.5%47.3%38.1%
Put IV 25d50.5%41.2%64.2%60.0%44.3%
Bid-Ask Spread %10.966.4117.2110.4612.38
Gamma HHI0.140.110.310.130.14
Net GEX3.6M-841.7K15.6M888.3K6.0M
Net DEX-10.0M-297.2M236.5M147.7M-234.8M
Net VEX-2.7M-3.3M-2.1M-2.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.141.670.510.67
Total Volume50,563.72711,787195,59920,62635,154
Total OI986,900.909808,3271,207,982972,290860,149

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$15.20$17.0054.1%15.5%35.8%43.6%50.2%12.8%0.1%888.3K147.7M-2.4M0.5110.4613,6326,994550,832421,458
2009-03-03$15.01$17.0052.6%15.1%35.7%41.7%52.5%10.5%0.5%378.3K162.2M-2.4M1.099.988,5259,266555,197420,928
2009-03-04$14.96$17.0056.1%16.1%35.3%46.3%54.3%11.1%-6.4%149.1K174.9M-2.3M0.756.4134,70425,931558,299419,770
2009-03-05$14.53$17.0055.9%16.0%35.6%46.1%60.2%11.7%-7.4%-354.6K199.4M-2.2M0.657.2722,55514,548569,390426,626
2009-03-06$14.47$16.0058.3%14.8%33.6%49.2%49.1%10.1%-3.2%-318.8K203.3M-2.2M0.548.6914,4907,758578,064432,164
2009-03-09$13.85$16.0064.3%15.2%33.8%57.1%50.0%11.2%-4.1%-841.7K236.5M-2.1M0.4513.6547,74821,398588,736436,696
2009-03-10$15.09$15.0059.8%13.7%48.5%51.1%47.3%8.3%-1.5%955.0K141.5M-2.5M1.0310.5316,51217,022607,315442,260
2009-03-11$15.34$15.0061.1%13.6%48.8%52.9%45.4%8.5%-1.9%1.4M116.9M-2.5M0.1417.2135,2465,070605,069443,476
2009-03-12$15.63$15.0045.5%13.0%49.2%32.3%48.1%9.5%-1.3%2.6M74.2M-2.7M0.6511.9013,1438,483622,858443,825
2009-03-13$15.56$15.0043.2%12.4%49.1%29.3%43.3%9.9%-0.5%2.2M95.9M-2.5M0.5410.6918,4589,989603,243442,015
2009-03-16$14.90$16.0047.3%13.6%50.5%34.7%46.6%6.8%-1.8%490.8K163.8M-2.3M0.8511.7335,27930,138607,505446,924
2009-03-17$15.40$16.0046.7%13.4%50.7%33.9%45.1%8.8%-1.9%1.2M123.0M-2.4M0.787.7444,81834,917621,736456,117
2009-03-18$15.83$16.0045.7%13.1%51.5%32.6%46.5%8.1%-1.2%3.4M48.9M-2.7M0.3812.58117,01644,800647,220474,144
2009-03-19$17.37$15.0044.3%12.7%61.3%30.7%45.5%9.2%-0.1%9.7M-263.3M-3.0M0.369.84143,54752,052710,997488,920
2009-03-20$17.10$16.0043.6%12.5%61.3%29.8%45.0%6.3%1.5%15.6M-194.1M-3.0M0.5813.0349,27128,416704,057503,925
2009-03-23$18.25$16.0039.2%11.2%62.8%24.0%39.9%7.7%1.1%6.3M-263.7M-3.0M0.6611.1928,76719,043443,395364,932
2009-03-24$17.97$16.0040.4%11.6%62.4%25.6%40.6%6.0%0.2%5.8M-224.2M-3.1M1.6713.7712,99521,694448,131378,136
2009-03-25$18.09$16.0039.2%11.2%62.0%23.9%39.4%6.0%2.2%5.6M-229.9M-3.3M0.4313.3614,5626,290452,672390,604
2009-03-26$18.68$16.0037.1%10.6%61.4%21.2%38.3%6.4%1.4%6.9M-297.2M-3.2M0.688.7310,2066,933455,589385,125
2009-03-27$18.01$16.0040.3%11.5%62.9%25.4%39.7%5.1%1.7%5.8M-223.2M-3.2M0.3610.489,7203,525459,001389,618
2009-03-30$17.66$16.0041.0%11.8%62.7%26.3%43.1%5.7%2.2%5.4M-178.7M-3.1M0.609.417,3874,400463,796390,906
2009-03-31$18.07$16.0040.5%11.6%62.5%25.7%39.7%6.2%2.6%6.0M-234.8M-3.2M0.6712.3821,02014,134468,025392,124