ORCL Options History — April 2009

In April 2009, ORCL traded between $18.54 and $19.79. ATM implied volatility averaged 37.1%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 8.0% (HV 20d: 45.1%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2009-04-21: Highest Volume — 98,209 contracts
  • 2009-04-23: Largest IV drop — 12.6% change
  • 2009-04-13: Highest IV Rank — 25.7%
  • 2009-04-07: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.16$18.54$19.79$18.58$19.34
Max Pain$18.14$16.00$19.00$16.00$19.00
ATM IV37.1%32.4%40.5%38.2%35.9%
Expected Move10.8%9.3%12.1%11.0%10.3%
HV 20d45.1%28.3%62.6%62.6%28.3%
HV 60d47.3%45.2%49.0%49.0%45.3%
IV Rank21.2%14.9%25.7%22.7%19.5%
IV Percentile41.5%27.4%52.4%47.2%35.3%
Term Structure2.8%1.1%4.3%3.2%2.8%
VWIV38.7%33.5%45.3%40.4%33.5%
Skew 25d7.8%5.1%10.2%6.4%5.7%
Skew 10d18.3%8.7%29.4%21.0%10.9%
Call IV 25d34.8%30.6%38.7%36.6%32.7%
Put IV 25d42.6%37.2%47.9%43.0%38.4%
Bid-Ask Spread %11.708.2214.649.9610.06
Gamma HHI0.180.160.290.160.21
Net GEX8.3M6.0M14.4M7.0M9.1M
Net DEX-302.4M-375.6M-227.5M-303.1M-280.2M
Net VEX-3.3M-3.4M-3.1M-3.3M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.092.570.401.04
Total Volume29,325.9057,25598,20912,74157,066
Total OI875,499.333784,797927,368878,147927,368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$18.58$16.0038.2%11.0%62.6%22.7%40.4%6.4%3.2%7.0M-303.1M-3.3M0.409.969,0773,664477,287400,860
2009-04-02$18.82$16.0038.7%11.1%60.8%23.3%38.8%7.7%3.7%7.4M-325.0M-3.3M0.5811.3623,90913,965475,410402,005
2009-04-03$19.29$18.0037.3%11.9%60.6%21.4%42.1%8.3%2.2%7.9M-375.6M-3.3M0.3010.9641,37812,433471,956409,578
2009-04-06$19.11$18.0038.9%12.1%57.4%23.5%45.3%8.7%1.1%7.0M-297.2M-3.3M2.2714.645,06611,491440,078418,552
2009-04-07$18.54$18.0038.7%12.1%53.4%23.3%42.2%9.2%2.1%6.0M-234.0M-3.2M0.4811.7620,5929,789441,818424,018
2009-04-08$18.57$18.0036.4%11.8%53.4%20.3%44.4%8.6%2.2%6.7M-244.0M-3.3M0.619.484,4952,760459,206431,204
2009-04-09$19.11$18.0039.7%11.4%53.7%24.6%41.5%8.3%3.0%8.0M-310.7M-3.3M0.3514.168,3522,960457,880432,190
2009-04-13$19.06$18.0040.5%11.6%53.7%25.7%37.0%9.3%2.1%8.8M-310.7M-3.2M0.0912.3912,6781,170462,187433,451
2009-04-14$18.87$18.0039.5%11.3%50.5%24.4%40.5%8.9%2.3%9.0M-287.0M-3.2M0.9713.197,8727,609468,194433,546
2009-04-15$18.59$18.0039.2%11.2%50.7%23.9%41.7%10.2%3.3%8.1M-243.1M-3.2M2.5713.517,13518,334470,295437,344
2009-04-16$19.18$18.0038.8%11.1%50.9%23.5%39.6%8.0%2.9%9.5M-322.0M-3.1M1.069.499,4229,971459,938427,302
2009-04-17$19.06$18.0036.2%10.4%40.4%20.0%37.5%7.7%3.8%14.4M-309.4M-3.1M0.6811.9710,8907,356461,428427,488
2009-04-20$18.82$18.0037.7%10.8%40.3%21.9%39.1%7.5%2.2%6.7M-227.5M-3.1M0.8112.4615,96712,875417,137367,660
2009-04-21$19.53$18.0037.0%10.6%35.7%21.0%38.5%6.2%1.7%7.4M-303.1M-3.1M0.848.9553,45744,752418,953373,318
2009-04-22$19.35$19.0038.8%11.1%35.3%23.5%36.9%5.1%2.5%7.3M-290.5M-3.3M0.9910.048,4318,340444,724398,272
2009-04-23$19.68$19.0033.9%9.7%35.6%17.0%35.2%8.4%3.1%7.9M-322.2M-3.3M0.6210.6414,0308,689448,127402,231
2009-04-24$19.79$19.0032.9%9.4%34.0%15.7%33.7%7.4%4.3%8.2M-333.6M-3.3M0.538.229,4434,981453,279409,247
2009-04-27$19.77$19.0033.5%9.6%30.8%16.4%34.2%8.6%3.7%8.3M-339.4M-3.3M0.2013.6658,58711,522454,308408,993
2009-04-28$19.74$19.0035.0%10.0%29.5%18.4%35.4%7.7%2.8%10.3M-362.2M-3.4M0.8414.5214,99312,559504,174412,160
2009-04-29$19.60$19.0032.4%9.3%29.1%14.9%34.7%6.4%3.4%10.1M-329.0M-3.4M2.3014.255,39412,390503,024419,296
2009-04-30$19.34$19.0035.9%10.3%28.3%19.5%33.5%5.7%2.8%9.1M-280.2M-3.4M1.0410.0628,04129,025502,211425,157