ORCL Options History — May 2009

In May 2009, ORCL traded between $18.07 and $19.59. ATM implied volatility averaged 33.8%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 8.5% (HV 20d: 25.3%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-05-21: Highest Volume — 43,445 contracts
  • 2009-05-07: Largest IV spike — 15.2% change
  • 2009-05-07: Highest IV Rank — 24.9%
  • 2009-05-07: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.80$18.07$19.59$19.34$19.59
Max Pain$17.20$17.00$19.00$19.00$18.00
ATM IV33.8%26.6%39.9%34.9%26.6%
Expected Move9.9%7.6%11.6%10.0%7.6%
HV 20d25.3%22.4%28.0%28.0%25.1%
HV 60d44.0%42.1%45.3%45.3%42.2%
IV Rank15.4%4.5%24.9%18.3%4.5%
IV Percentile27.2%2.8%50.0%31.0%2.8%
Term Structure2.8%-0.0%5.8%3.2%5.8%
VWIV34.6%28.0%46.3%31.7%28.0%
Skew 25d6.2%3.9%9.6%9.5%4.9%
Skew 10d13.4%5.7%25.5%25.5%5.9%
Call IV 25d31.6%25.9%36.8%27.0%25.9%
Put IV 25d37.8%30.8%43.8%36.5%30.8%
Bid-Ask Spread %10.386.8814.969.768.24
Gamma HHI0.200.160.230.210.22
Net GEX8.7M5.5M13.1M9.3M13.1M
Net DEX-204.4M-325.6M-94.6M-287.2M-325.6M
Net VEX-3.1M-3.5M-3.0M-3.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.195.150.461.35
Total Volume23,352.958,30343,4458,30334,096
Total OI940,580.6881,494968,283954,961968,283

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$19.34$19.0034.9%10.0%28.0%18.3%31.7%9.5%3.2%9.3M-287.2M-3.5M0.469.765,6952,608513,191441,770
2009-05-04$18.97$17.0036.9%11.1%27.5%20.9%40.4%8.9%0.6%8.5M-243.5M-3.3M1.099.4410,36611,349501,551429,348
2009-05-05$19.01$17.0035.1%11.1%27.3%18.5%46.3%7.9%0.4%8.3M-224.2M-3.3M5.1513.514,57923,604505,479433,792
2009-05-06$19.06$17.0034.7%10.7%24.9%18.0%37.2%9.6%0.8%8.7M-237.8M-3.2M0.4714.5415,6277,270505,515445,560
2009-05-07$18.42$17.0039.9%11.6%27.9%24.9%39.0%7.7%-0.0%6.7M-152.6M-3.2M0.9610.1714,28713,711511,559429,492
2009-05-08$18.32$17.0035.4%11.0%25.8%19.0%37.9%6.4%1.2%6.4M-133.5M-3.1M1.119.2812,62414,063513,025433,550
2009-05-11$18.56$17.0038.2%10.7%26.3%22.6%37.1%5.6%1.8%7.4M-173.1M-3.2M0.6712.0012,6088,403517,489440,248
2009-05-12$18.38$17.0037.1%11.0%26.3%21.2%36.3%7.0%1.3%6.7M-142.7M-3.2M0.319.5320,9636,518522,325440,454
2009-05-13$18.07$17.0036.0%11.1%26.5%19.8%38.2%5.1%1.1%5.5M-94.6M-3.1M0.5410.7211,7986,345517,828443,648
2009-05-14$18.46$17.0038.0%10.9%25.0%22.0%37.0%4.7%1.6%6.6M-144.9M-3.1M0.4612.7610,8645,030516,673445,801
2009-05-15$18.42$17.0036.4%10.4%25.0%17.8%35.7%5.5%2.0%6.8M-136.5M-3.1M0.6111.5811,6957,185519,855447,028
2009-05-18$18.92$17.0031.3%9.0%26.6%10.8%31.9%5.7%2.9%8.7M-209.1M-3.0M0.406.8816,4796,524472,741408,753
2009-05-19$18.97$17.0030.1%8.6%22.8%9.1%30.7%5.3%4.2%9.8M-226.9M-3.0M0.698.718,0225,535484,552411,712
2009-05-20$18.94$17.0029.4%8.4%22.6%8.3%28.8%6.1%4.0%9.6M-214.6M-3.0M0.199.3129,6815,590485,342413,210
2009-05-21$18.57$17.0031.7%9.1%22.5%11.3%32.0%4.4%5.3%8.5M-176.0M-3.1M0.3314.9632,60010,845496,838422,050
2009-05-22$18.65$17.0030.6%8.8%22.4%9.9%30.4%5.3%5.2%9.1M-189.3M-3.1M0.367.8312,7204,632504,937424,942
2009-05-26$19.07$17.0031.9%9.1%24.1%11.6%32.5%5.1%4.7%11.1M-260.4M-3.1M0.547.9715,1108,102511,981426,970
2009-05-27$18.99$17.0031.5%9.0%24.1%11.1%31.0%5.8%4.6%11.0M-238.8M-3.1M0.4010.9412,1194,863520,170431,735
2009-05-28$19.21$18.0029.5%8.5%24.5%8.4%29.2%3.9%5.5%12.0M-276.6M-3.1M1.079.3611,10311,846518,295433,920
2009-05-29$19.59$18.0026.6%7.6%25.1%4.5%28.0%4.9%5.8%13.1M-325.6M-3.1M1.358.2414,49819,598525,046443,237